Details of talk
|Title||Rare-Event Simulation for Products of Random Variables|
|Presenter||Hui Yao (The University of Queensland)|
We explore variance reduction techniques for estimating rare-event probabilities associated with products of random variables. While the associated random variables might be light-tailed, their products can be heavy-tailed so their estimation is often difficult. Moreover, since the distribution of a product of random variables is seldom available in explicit form, then it is not always possible to implement traditional methods in a straightforward way. In this talk, we show how to adapt existing techniques for estimating the probabilities of interest and we further analyse their asymptotic performance. We complement our results with applications in risk. This is joint work with Leonardo Rojas-Nandayapa and Thomas Taimre.