Quasi-Monte Carlo Techniques and Rare Event Sampling ?
نویسندگان
چکیده
In the last decade considerable practical interest, e.g. in credit and insurance risk or telecommunication applications, as well as methodological challenges caused intensive research on estimation of rare event probabilities. This article aims to show that recently developed rare event estimators are especially well-suited for a quasiMonte Carlo framework by establishing limit relations for the so-called effective dimension and proposing smoothing methods to overcome problems with cusps of the integrand.
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