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Rare-event Simulation for Neural Network and Random Forest Predictors
16 references·0 citing·28 second hop
Rare-event Simulation for Neural Network and Random Forest Predictors (2022)Rare-event Simulation for Neural Network …Ruin Probabilities (2010)Ruin ProbabilitiesAsymptotic robustness of estimators in rare-event simulation (2010)Asymptotic robustness of esti…Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Efficient rare-event simulati…Stochastic Simulation (2007)Stochastic SimulationImproved algorithms for rare event simulation with heavy tails (2006)Improved algorithms for rare …Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Chapter 11 Rare-Event Simulat…Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Introduction to Rare Event Simulation (2004)Introduction to Rare Event Si…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Multilevel Splitting for Estimating Rare Event Probabilities (1999)Multilevel Splitting for Esti…Simulation of Ruin Probabilities for Subexponential Claims (1997)Simulation of Ruin Probabilit…Optimization of computer simulation models with rare events (1997)Optimization of computer simu…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue (1991)Large deviations theory and e…Importance Sampling for Stochastic Simulations (1989)Importance Sampling for Stoch…A quick simulation method for excessive backlogs in networks of queues (1989)A quick simulation method for…Adaptive Importance Sampling (1990)Proceedings of the 2002 Winter Simulation Conference (2002)Rare Event Simulation using Monte Carlo Methods (2009)The future of risk assessment (2018)Applied Probability and Queues (1987)Acceleration of Stochastic Approximation by Averaging (1992)Simulation optimization: A comprehensive review on theory and applications (2004)Proceedings of the 2017 Winter Simulation Conference (2017)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Introduction to Stochastic Processes (2014)CSIM (1986)Rare events, splitting, and quasi-Monte Carlo (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)On Default Correlation (2000)Affine Point Processes and Portfolio Credit Risk (2010)A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Analytics (2012)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Quick simulation: a review of importance sampling techniques in communications systems (1997)Likelihood ratio gradient estimation for stochastic systems (1990)Robust Optimization of Large-Scale Systems (1995)A Guide to Sample Average Approximation (2014)A unified framework for stochastic optimization (2018)Randomly weighted sums of subexponential random variables with application to capital allocation (2014)Exit identities for Lévy processes observed at Poisson arrival times (2016)Quantifying Distributional Model Risk via Optimal Transport (2019)
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  • 1999Multilevel Splitting for Estimating Rare Event Probabilities252 cited
  • 2006Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances180 cited
  • 1991Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue143 cited
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  • 2008Efficient rare-event simulation for the maximum of heavy-tailed random walks103 cited
  • 2010

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Asymptotic robustness of estimators in rare-event simulation
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