01-012/4 - Simulating Tail Probabilities in GI/GI.1 Queues and Insurance Risk Processes with Subexponentail Distributions

• Authors
  Nam Kyoo Boots, Vrije Universiteit Amsterdam; Perwez Shahabuddin, Columbia University
• Publication date
  February 6, 2001

• Keywords
  importance sampling; rare event simulation; subexponential distributions; insurance risk; GI/GI/1 queues