Zhi Huang, Perwez Shahabuddin. New simulation methodology for risk analysis: rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk. In Stephen E. Chick, Paul J. Sanchez, David M. Ferrin, Douglas J. Morrice, editors, Proceedings of the 35th Winter Simulation Conference: Driving Innovation, New Orleans, Louisiana, USA, December 7-10, 2003. pages 276-284, ACM, 2003. [doi]
Abstract is missing.