New efficient estimators in rare event simulation with heavy tails

Christian Yann Robert and Quang Huy Nguyen
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Christian Yann Robert: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Quang Huy Nguyen: LORIA - Laboratoire Lorrain de Recherche en Informatique et ses Applications - Inria - Institut National de Recherche en Informatique et en Automatique - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique

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Date: 2014-05
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Published in Journal of Computational and Applied Mathematics, 2014, 261, pp.39-47. ⟨10.1016/j.cam.2013.10.044⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02006632

DOI: 10.1016/j.cam.2013.10.044

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