Rare event simulation in stochastic models

JOURNAL ARTICLE

Year: 1995 Pages: 178-185

DOI: 10.1145/224401.224460

Abstract

We review fast simulation techniques used for estimating probabilities of rare events and related quantities in different types of stochastic models.

Keywords:

Computer science Event (particle physics) Discrete event simulation Rare events Simulation Mathematics Statistics Physics

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Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

Stochastic processes and statistical mechanics

Physical Sciences → Mathematics → Mathematical Physics

Insurance, Mortality, Demography, Risk Management

Social Sciences → Social Sciences → Demography