In this paper we present some large deviation results for com-pound Markov renewal processes. We start studying the exponential decayof level crossing probabilities as the level goes to infinity. Furthermore weconsider a technique called importance sampling to estimate a level crossingprobability by Monte Carlo simulations when the level is large; in particu-lar we find an asymptotically e.cient simulation law according to a sensespecified in other works on the same topic
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