The first part of the book provides the essential background in probability and statistics and describes the different complex systems considered for the estimation of rare event probabilities. In the second part, we review the main approaches to estimate rare event probabilities. For each technique, its principle and its main theoretical and experimental features are presented. We also propose a mathematical pseudocode and some generally efficient tuning parameters. Some application results on academic test cases are finally given to evaluate the potential of the described method on different situations (high dimension, multiple failure domain, etc.). The performances of the different algorithms to estimate rare event probabilities are then compared in a third part on realistic test cases from the aerospace field. This comparison enables us in the last part of this book to propose some guidelines to determine which methods are the most adapted to a given system, depending on its main characteristics (e.g., dimension, the available simulation budget).