On simulating arbitrary events

In simulation studies, the distributional properties of random variables associated with arbitrary events in point processes, queues, and other stochastic models are to be understood as appropriate averages over long simulation runs. We caution against trying to generate arbitrary events explicitly by some randomized selection. Because of the likelihood of hidden selection biases, that easily results in significant errors. The point is illustrated by an example for which explicit formulas yield computational results that allow comparisons with the simulation estimates.