Efficient simulation for dependent rare events with applications to extremes

Lars Nørvang Andersen, Patrick J. Laub, Leonardo Rojas-Nandayapa

Published 2016-09-30Version 1

We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rare-event settings, in particular those associated with extremes. Finally, we examine the performance of our estimators in a numerical example.