6 citations · 6 across the 3 of their papers we have counts for
3 papers
math.PR2009★ 6 cited
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…
math.PR2009
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…
math.PR2007
Large Deviations for Heavy-Tailed Factor Models
Boualem Djehiche, Jens Svensson
We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify con…