Asghari, N.M.; Dȩbicki, K.; Mandjes, M. - In: Statistics & Probability Letters 96 (2015) C, pp. 180-184
In this short communication we analyze the tail asymptotics corresponding to the maximum value attained by a Lévy process with negative drift. The note has two contributions: a short and elementary proof of these asymptotics, and an importance sampling algorithm to estimate the rare-event...