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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★ 40 cited
Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
Henrik Hult, Filip Lindskog
We study the extremal behavior of a stochastic integral driven by a multivariate Lévy process that is regularly varying with index . For predictable integrands with a finite $…