Rare-event Simulation with Markov Chain Monte Carlo
In this thesis, we consider random sums with heavy-tailed increments. By the term random sum, we mean a sum of random variables where the number of summands is also random. Our interest is to analyse the tail behaviour of random sums and to construct an efficient method to calculate quantiles. For t...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2013
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-138950 |