State-independent Importance Sampling for Random Walks with Regularly Varying Increments
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- Paul Glasserman & Sandeep Juneja, 2008. "Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables," Mathematics of Operations Research, INFORMS, vol. 33(1), pages 36-50, February.
- Paul Glasserman & Jingyi Li, 2005. "Importance Sampling for Portfolio Credit Risk," Management Science, INFORMS, vol. 51(11), pages 1643-1656, November.
- Achal Bassamboo & Sandeep Juneja & Assaf Zeevi, 2008. "Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation," Operations Research, INFORMS, vol. 56(3), pages 593-606, June.
- Asmussen, S. & Binswanger, K., 1997. "Simulation of Ruin Probabilities for Subexponential Claims," ASTIN Bulletin, Cambridge University Press, vol. 27(2), pages 297-318, November.
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