Importance Sampling of Compounding Processes (with B. Zwart)

Summary:

This is the conference version of the paper [“Rare Event Simulation Methodology for Perpetuities’’].

Bibtex:

@INPROCEEDINGS {BlanZwartConf07,

AUTHOR={ J. Blanchet and B. Zwart},

YEAR={2007},

TITLE={Importance sampling of compounding processes},

BOOKTITLE={Proceedings of the 2007 Winter Simulation Conference},

EDITOR={S. G. Henderson, B. Biller, M.-H. Hsieh, J. Shortle, J. D. Tew and R. R. Barton},

PUBLISHER={IEEE Press},

PAGES={372-379}

}