6 citations · 6 across the 4 of their papers we have counts for
4 papers
Efficient calculation of risk measures by importance sampling -- the heavy tailed case
Henrik Hult, Jens Svensson
Computation of extreme quantiles and tail-based risk measures using standard Monte Carlo simulation can be inefficient. A method to speed up computations is provided by importance…
On importance sampling with mixtures for random walks with heavy tails
Henrik Hult, Jens Svensson
Importance sampling algorithms for heavy-tailed random walks are considered. Using a specification with algorithms based on mixtures of the original distribution with some other di…
Large deviations for point processes based on stationary sequences with heavy tails
Henrik Hult, Gennady Samorodnitsky
In this paper we propose a framework that enables the study of large deviations for point processes based on stationary sequences with regularly varying tails. This framework allow…
Ruin probabilities under general investments and heavy-tailed claims
Henrik Hult, Filip Lindskog
In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and ma…