  This paper provides a detailed introductory description of Subset Simulation,
an advanced stochastic simulation method for estimation of small probabilities
of rare failure events. A simple and intuitive derivation of the method is
given along with the discussion on its implementation. The method is
illustrated with several easy-to-understand examples. For demonstration
purposes, the MATLAB code for the considered examples is provided. The reader
is assumed to be familiar only with elementary probability theory and
statistics.
