4 results
A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
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- Journal:
- Journal of Applied Probability / Volume 54 / Issue 4 / December 2017
- Published online by Cambridge University Press:
- 30 November 2017, pp. 1213-1232
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- December 2017
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Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling
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- Journal:
- Advances in Applied Probability / Volume 44 / Issue 4 / December 2012
- Published online by Cambridge University Press:
- 04 January 2016, pp. 1173-1196
- Print publication:
- December 2012
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Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
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- Journal:
- Advances in Applied Probability / Volume 41 / Issue 1 / March 2009
- Published online by Cambridge University Press:
- 01 July 2016, pp. 206-224
- Print publication:
- March 2009
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The moment index of minima
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- Journal:
- Journal of Applied Probability / Volume 38 / Issue A / 2001
- Published online by Cambridge University Press:
- 14 July 2016, pp. 33-36
- Print publication:
- 2001
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