Bounded relative error importance sampling and rare event simulation

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<title>Bounded relative error importance sampling and rare event simulation</title>
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<namePart>McLeish, Don L.</namePart>
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<abstract displayLabel="Summary">We consider estimating tail events using exponential families of importance sampling distributions. When the cannonical sufficient statistic for the exponential family mimics the tail behaviour of the underlying cumulative distribution function, we can achieve bounded relative error for estimating tail probabilities. Examples of rare event simulation from various distributions including Tukey's g&h distribution are provided.
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<note type="statement of responsibility">Don L. McLeish</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 377-398</text>
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