Efficient Rare-event Simulation for Perpetuities

Jose Blanchet, Henry Lam, Bert Zwart

We consider perpetuities of the form D = B_1 exp(Y_1) + B_2 exp(Y_1+Y_2) + ... where the Y_j's and B_j's might be i.i.d. or jointly driven by a suitable Markov chain. We assume tha…