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papers

Publications (4)

Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Bohan Chen, Jose Blanchet, Chang-Han Rhee +1

Simulation of stochastic Volterra equations driven by space--time LÃ©vy noise

Bohan Chen, Carsten Chong, Claudia KlÃ¼ppelberg

Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes

HansjÃ¶rg Albrecher, Bohan Chen, Eleni Vatamidou +1

Importance sampling of heavy-tailed iterated random functions

Bohan Chen, Chang-Han Rhee, Bert Zwart