In an on-demand video server environment, clients make requests for movies to a centralized
video server. Due to the stringent response time requirements, continuous delivery of a …

This paper develops efficient methods for computing portfolio value‐at‐risk (VAR) when the
underlying risk factors have a heavy‐tailed distribution. In modeling heavy tails, we focus on …

In a video-on-demand environment, continuous delivery of video streams to the clients is
guaranteed by sufficient reserved network and server resources. This leads to a hard limit on …

We analyze the performance of a splittingtechnique for the estimation of rare event probabilities
by simulation. A straightforward estimator of the probability of an event evaluates the …

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss
probabilities using Monte Carlo simulation.Obtaining accurate estimates of such loss …

This paper develops a variance reduction technique for Monte Carlo simulations of path‐dependent
options driven by high‐dimensional Gaussian vectors. The method combines …

In this chapter we review some of the recent developments for efficient estimation of rare-events,
most of which involve application of importance sampling techniques to achieve …

In this paper we present a unified framework for simulating Markovian models of highly
dependable systems. Since the failure event is a rare event, the estimation of system …

In this paper we investigate importance sampling techniques for the simulation of Markovian
systems with highly reliable components. The need for simulation arises because the state …

This paper develops rare-event simulation methods for the estimation of portfolio credit risk—the
risk of losses to a portfolio resulting from defaults of assets in the portfolio. Portfolio …