simulation is too time-consuming, and we have to use fastsimulation techniques instead. Due to the exponential decay (in n …), importance sampling with an exponential change of measureessentially goes through, irrespective of the on-times being heavy …,the change of measure is not constant during the simulation run, which is essentially differentfrom many other studies (usually …

probabilities andspecial fast simulation techniques like importancesampling, multilevel splitting, etc., have to be used. Though …-taileddistributions, previous fast simulation techniques forqueues with subexponential service times have been confined to theM/GI/1 queue. The …

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims … main inspiration of the model comes from the bonus-malus (BM) feature of pricing car insurance. We discuss first the …-form formulae. Additionally, we employ the importance sampling simulations to derive ruin probabilities, which further permit an in …

completely new sequential importance sampling estimator of the desired tail probability. Numerical experiments suggest that the … sequential importance sampling estimator can be significantly more efficient than its competitor. …