most citedEfficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

1 citations · 1 across the 2 of their papers we have counts for

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2 papers

math.PR2019

Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes

Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou +1

We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show th…

math.PR2017★ 1 cited

Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Bohan Chen, Jose Blanchet, Chang-Han Rhee +1

We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution…