| Publication | Date of Publication | Type |
|---|
On Erlangization and extrapolation, with applications to financial regime-switching Lévy models
Methodology and Computing in Applied Probability | 2026-03-31 | Paper |
Matrix representations of Wiener-Hopf factorisations for Lévy processes
Journal of Applied Probability | 2026-01-02 | Paper |
Wiener-Hopf factorization, Erlangization and transient solutions in some Markov-modulated queueing models
Queueing Systems | 2025-12-30 | Paper |
Refined behaviour of a conditioned random walk in the large deviations regime
Bernoulli | 2024-01-16 | Paper |
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
Finance and Stochastics | 2022-07-05 | Paper |
Moments and polynomial expansions in discrete matrix-analytic models
Stochastic Processes and their Applications | 2022-06-20 | Paper |
From PH/MAP to ME/RAP
Queueing Systems | 2022-06-16 | Paper |
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Quantitative Finance | 2022-05-27 | Paper |
On the risk of credibility premium rules
Scandinavian Actuarial Journal | 2022-03-02 | Paper |
Matrix representations of life insurance payments
European Actuarial Journal | 2020-11-04 | Paper |
Risk and insurance. A graduate text
Probability Theory and Stochastic Modelling | 2020-02-20 | Paper |
Regular variation in a fixed-point problem for single- and multi-class branching processes and queues
Advances in Applied Probability | 2020-02-05 | Paper |
Approximating the Laplace transform of the sum of dependent lognormals
Advances in Applied Probability | 2019-09-23 | Paper |
Parallel computing, failure recovery, and extreme values
Journal of Statistical Theory and Practice | 2019-09-13 | Paper |
Stability and busy periods in a multiclass queue with state-dependent arrival rates
Queueing Systems | 2019-07-31 | Paper |
Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
Insurance Mathematics & Economics | 2019-06-17 | Paper |
| Matrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes | 2019-05-11 | Paper |
A factorization of a Lévy process over a phase-type horizon
Stochastic Models | 2019-05-07 | Paper |
On the longest gap between power-rate arrivals
Bernoulli | 2019-01-28 | Paper |
On the longest gap between power-rate arrivals
Bernoulli | 2019-01-28 | Paper |
Discretization error for a two-sided reflected Lévy process
Queueing Systems | 2018-11-02 | Paper |
| Tail asymptotics of light-tailed Weibull-like sums | 2018-08-08 | Paper |
Tail asymptotics of light-tailed Weibull-like sums
(available as arXiv preprint) | 2018-08-08 | Paper |
On preemptive-repeat LIFO queues
Queueing Systems | 2018-06-13 | Paper |
Markov dependence in renewal equations and random sums with heavy tails
Stochastic Models | 2018-02-19 | Paper |
Markov Renewal Methods in Restart Problems in Complex Systems
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Time inhomogeneity in longest gap and longest run problems
Stochastic Processes and their Applications | 2016-12-27 | Paper |
Exponential family techniques for the lognormal left tail
Scandinavian Journal of Statistics | 2016-09-21 | Paper |
On the Laplace transform of the lognormal distribution
Methodology and Computing in Applied Probability | 2016-06-08 | Paper |
Lévy processes with two-sided reflection
Lecture Notes in Mathematics | 2016-05-19 | Paper |
| Orthonormal polynomial expansions and lognormal sum densities | 2016-01-07 | Paper |
Lévy matters V. Functionals of Lévy processes
Lecture Notes in Mathematics | 2015-09-14 | Paper |
Error rates and improved algorithms for rare event simulation with heavy Weibull tails
Methodology and Computing in Applied Probability | 2015-07-31 | Paper |
| scientific article; zbMATH DE number 6408791 (Why is no real title available?) | 2015-02-26 | Paper |
Lévy processes, phase-type distributions, and martingales
Stochastic Models | 2015-01-09 | Paper |
Second order corrections for the limits of normalized ruin times in the presence of heavy tails
(available as arXiv preprint) | 2014-07-21 | Paper |
On exceedance times for some processes with dependent increments
Journal of Applied Probability | 2014-05-14 | Paper |
On exceedance times for some processes with dependent increments
Journal of Applied Probability | 2014-05-14 | Paper |
Portfolio size as function of the premium: modelling and optimization
Stochastics | 2014-04-17 | Paper |
The M/M/1 queue with inventory, lost sale, and general lead times
Queueing Systems | 2013-09-05 | Paper |
Markov Bridges, Bisection and Variance Reduction
Springer Proceedings in Mathematics & Statistics | 2013-07-31 | Paper |
Tail asymptotics for dependent subexponential differences
Siberian Mathematical Journal | 2013-02-19 | Paper |
Efficient simulation of tail probabilities of sums of correlated lognormals
Annals of Operations Research | 2012-03-08 | Paper |
Sensitivity Analysis of Insurance Risk Models via Simulation
Management Science | 2012-02-12 | Paper |
Ruin probabilities for a regenerative Poisson gap generated risk process
European Actuarial Journal | 2011-08-25 | Paper |
A new proof of convergence of MCMC via the ergodic theorem
Statistics & Probability Letters | 2011-08-16 | Paper |
Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
Stochastic Models | 2011-06-20 | Paper |
Asymptotic Behavior of Total Times for Jobs That Must Start Over if a Failure Occurs
Mathematics of Operations Research | 2011-04-27 | Paper |
A note on skewness in regenerative simulation
Communications in Statistics. Simulation and Computation | 2011-03-31 | Paper |
| Ruin probabilities | 2010-05-17 | Paper |
Importance Sampling for Failure Probabilities in Computing and Data Transmission
Journal of Applied Probability | 2009-10-08 | Paper |
On the Tail of the Waiting Time in a Markov-Modulated M/G/1 Queue
Operations Research | 2009-07-03 | Paper |
Asymptotics of sums of lognormal random variables with Gaussian copula
Statistics & Probability Letters | 2008-11-14 | Paper |
Loss Rates for Lévy Processes with Two Reflecting Barriers
Mathematics of Operations Research | 2008-05-27 | Paper |
Efficient simulation of finite horizon problems in queueing and insurance risk
Queueing Systems | 2008-01-07 | Paper |
Tail asymptotics for the sum of two heavy-tailed dependent risks
Extremes | 2007-12-16 | Paper |
| Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model | 2007-11-18 | Paper |
Stochastic simulation: Algorithms and analysis
Stochastic Modelling and Applied Probability | 2007-09-07 | Paper |
Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
Performance analysis with truncated heavy-tailed distributions
Methodology and Computing in Applied Probability | 2006-10-27 | Paper |
Monotone Stochastic Recursions and their Duals
Probability in the Engineering and Informational Sciences | 2006-08-30 | Paper |
Variance Reduction for Simulating Transient GI/G/1 Behavior
Probability in the Engineering and Informational Sciences | 2006-08-30 | Paper |
Improved algorithms for rare event simulation with heavy tails
Advances in Applied Probability | 2006-07-25 | Paper |
Computational Science - ICCS 2004
Lecture Notes in Computer Science | 2005-12-23 | Paper |
Large deviations and fast simulation in the presence of boundaries.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Russian and American put options under exponential phase-type Lévy models.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
Stochastic Models | 2005-05-23 | Paper |
Erlangian Approximations for Finite-Horizon Ruin Probabilities
ASTIN Bulletin | 2005-03-30 | Paper |
On optional stopping of some exponential martingales for Lévy processes with or without reflection.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
Transient properties of many-server queues and related QBDs
Queueing Systems | 2004-08-10 | Paper |
Risk comparisons of premium rules: Optimality and a life insurance study
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Asymptotics for sums of random variables with local subexponential behaviour
Journal of Theoretical Probability | 2003-08-06 | Paper |
Applied Probability and Queues
Stochastic Modelling and Applied Probability | 2003-06-17 | Paper |
Exact buffer overflow calculations for queues via martingales
Queueing Systems | 2002-12-15 | Paper |
| scientific article; zbMATH DE number 1790422 (Why is no real title available?) | 2002-11-25 | Paper |
A local limit theorem for random walk maxima with heavy tails
Statistics & Probability Letters | 2002-09-05 | Paper |
Point processes with finite-dimensional conditional probabilities
Stochastic Processes and their Applications | 2002-08-29 | Paper |
Approximations of small jumps of Lévy processes with a view towards simulation
Journal of Applied Probability | 2002-07-29 | Paper |
| scientific article; zbMATH DE number 1487764 (Why is no real title available?) | 2002-05-05 | Paper |
An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model
Mathematics of Operations Research | 2001-11-26 | Paper |
Calculation of the steady state waiting time distribution in GI/PH/\(c\) and MAP/PH/\(c\) queues
Queueing Systems | 2001-06-19 | Paper |
A multi-dimensional martingale for Markov additive processes and its applications
Advances in Applied Probability | 2001-05-28 | Paper |
Rare events simulation for heavy-tailed distributions
Bernoulli | 2001-03-28 | Paper |
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
Finance and Stochastics | 2001-03-01 | Paper |
Sampling at subexponential times, with queueing applications
Stochastic Processes and their Applications | 2001-01-17 | Paper |
Matrix‐analytic Models and their Analysis
Scandinavian Journal of Statistics | 2000-11-27 | Paper |
| scientific article; zbMATH DE number 1394784 (Why is no real title available?) | 2000-11-19 | Paper |
Approximations for Finite Horizon Ruin Probabilities in the Renewal Model
Scandinavian Actuarial Journal | 2000-11-01 | Paper |
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
The Annals of Applied Probability | 2000-08-16 | Paper |
Tail probabilities for non-standard risk and queueing processes with subexponential jumps
Advances in Applied Probability | 2000-08-16 | Paper |
Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues
Communications in Statistics. Stochastic Models | 2000-04-17 | Paper |
Tail asymptotics for M/G/1 type queueing processes with subexponential increments
Queueing Systems | 2000-03-30 | Paper |
Failure rates of regenerative systems with heavy tails
Journal of Mathematical Sciences (New York) | 1999-11-22 | Paper |
Extreme value theory for queues via cycle maxima
Extremes | 1999-09-14 | Paper |
Stationarity properties of neural networks
Journal of Applied Probability | 1999-08-16 | Paper |
| scientific article; zbMATH DE number 1278388 (Why is no real title available?) | 1999-04-25 | Paper |
A Probabilistic Look at the Wiener--Hopf Equation
SIAM Review | 1998-09-21 | Paper |
| scientific article; zbMATH DE number 1183924 (Why is no real title available?) | 1998-08-04 | Paper |
| scientific article; zbMATH DE number 1165666 (Why is no real title available?) | 1998-06-14 | Paper |
| scientific article; zbMATH DE number 1122116 (Why is no real title available?) | 1998-03-01 | Paper |
Convergence rates for M/G/1 queues and ruin problems with heavy tails
Journal of Applied Probability | 1998-02-03 | Paper |
Large deviations results for subexponential tails, with applications to insurance risk
Stochastic Processes and their Applications | 1997-12-10 | Paper |
Phase-type distributions and risk processes with state-dependent premiums
Scandinavian Actuarial Journal | 1997-12-01 | Paper |
Stationary M/G/1 excursions in the presence of heavy tails
Journal of Applied Probability | 1997-11-10 | Paper |
| scientific article; zbMATH DE number 967329 (Why is no real title available?) | 1997-10-01 | Paper |
Rate modulation in dams and ruin problems
Journal of Applied Probability | 1997-04-13 | Paper |
| scientific article; zbMATH DE number 967322 (Why is no real title available?) | 1997-01-15 | Paper |
Controlled diffusion models for optimal dividend pay-out
Insurance Mathematics & Economics | 1997-01-01 | Paper |
| scientific article; zbMATH DE number 934477 (Why is no real title available?) | 1996-10-13 | Paper |
Discretization error in simulation of one-dimensional reflecting Brownian motion
The Annals of Applied Probability | 1996-07-08 | Paper |
| scientific article; zbMATH DE number 879791 (Why is no real title available?) | 1996-06-16 | Paper |
| scientific article; zbMATH DE number 879777 (Why is no real title available?) | 1996-05-21 | Paper |
Stationarity detection in the initial transient problem
ACM Transactions on Modeling and Computer Simulation | 1996-04-28 | Paper |
Rejection rules in the \(M/G/1\) queue
Queueing Systems | 1996-04-08 | Paper |
Ruin probabilities via local adjustment coefficients
Journal of Applied Probability | 1996-02-01 | Paper |
Ladder height distributions with marks
Stochastic Processes and their Applications | 1996-01-15 | Paper |
| scientific article; zbMATH DE number 775065 (Why is no real title available?) | 1995-11-14 | Paper |
Busy period analysis, rare events and transient behavior in fluid flow models
Journal of Applied Mathematics and Stochastic Analysis | 1995-11-14 | Paper |
The ascending ladder height distribution for a certain class of dependent random walks
Statistica Neerlandica | 1995-10-17 | Paper |
Large claims approximations for risk processes in a Markovian environment
Stochastic Processes and their Applications | 1995-06-18 | Paper |
Stationary distributions for fluid flow models with or without brownian noise
Communications in Statistics. Stochastic Models | 1995-04-04 | Paper |
Poisson's equation for queues driven by a Markovian marked point process
Queueing Systems | 1995-03-28 | Paper |
Regenerative rare events simulation via likelihood ratios
Journal of Applied Probability | 1995-03-20 | Paper |
A sample path approach to mean busy periods for Markov-modulated queues and fluids
Advances in Applied Probability | 1995-03-20 | Paper |
| scientific article; zbMATH DE number 721868 (Why is no real title available?) | 1995-02-13 | Paper |
Regenerative simulation of TES processes
Acta Applicandae Mathematicae | 1995-01-22 | Paper |
Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
Mathematics of Operations Research | 1994-11-21 | Paper |
Response surface estimation and sensitivity analysis via efficient change of measure
Communications in Statistics. Stochastic Models | 1993-12-15 | Paper |
Marked point processes as limits of Markovian arrival streams
Journal of Applied Probability | 1993-08-30 | Paper |
| scientific article; zbMATH DE number 125278 (Why is no real title available?) | 1993-02-21 | Paper |
On cycle maxima, first passage problems and extreme value theory for queues
Communications in Statistics. Stochastic Models | 1993-01-17 | Paper |
Light traffic equivalence in single-server queues
The Annals of Applied Probability | 1993-01-17 | Paper |
On coupling and weak convergence to stationarity
The Annals of Applied Probability | 1993-01-17 | Paper |
Queueing Simulation in Heavy Traffic
Mathematics of Operations Research | 1993-01-16 | Paper |
Phase-type representations in random walk and queueing problems
The Annals of Probability | 1993-01-16 | Paper |
Computational methods in risk theory: a matrix-algorithmic approach
Insurance Mathematics & Economics | 1992-06-28 | Paper |
The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models
Advances in Applied Probability | 1992-06-28 | Paper |
Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory
Communications in Statistics. Stochastic Models | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4205604 (Why is no real title available?) | 1991-01-01 | Paper |
Ladder heights and the Markov-modulated M/G/1 queue
Stochastic Processes and their Applications | 1991-01-01 | Paper |
Exponential families and regression in the Monte Carlo study of queues and random walks
The Annals of Statistics | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4143195 (Why is no real title available?) | 1989-01-01 | Paper |
Validating the heavy traffic performance of regenerative simulation
Communications in Statistics. Stochastic Models | 1989-01-01 | Paper |
Risk theory in a Markovian environment
Scandinavian Actuarial Journal | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4128189 (Why is no real title available?) | 1989-01-01 | Paper |
Large deviation results for time-dependent queue length distributions
Communications in Statistics. Stochastic Models | 1988-01-01 | Paper |
Ruin probabilities expressed in terms of storage processes
Advances in Applied Probability | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4013703 (Why is no real title available?) | 1987-01-01 | Paper |
The heavy traffic limit of a class of Markovian queueing models
Operations Research Letters | 1987-01-01 | Paper |
A Markov chain approach to periodic queues
Journal of Applied Probability | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4018074 (Why is no real title available?) | 1986-01-01 | Paper |
Conjugate processes and the simulation of ruin problems
Stochastic Processes and their Applications | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3842939 (Why is no real title available?) | 1984-01-01 | Paper |
Approximations for the probability of ruin within finite time
Scandinavian Actuarial Journal | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3816788 (Why is no real title available?) | 1983-01-01 | Paper |
On The Role of a Certain Eigenvalue in Estimating the Growth Rate of a Branching Process
Australian Journal of Statistics | 1982-01-01 | Paper |
Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
Advances in Applied Probability | 1982-01-01 | Paper |
Equilibrium properties of the M/G/1 queue
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1981-01-01 | Paper |
Necessary and sufficient conditions for complete convergence in the law of large numbers
The Annals of Probability | 1980-01-01 | Paper |
On some two-sex population models
The Annals of Probability | 1980-01-01 | Paper |
Martingale central limit theorems and asymptotic estimation theory for multitype branching processes
Advances in Applied Probability | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3624575 (Why is no real title available?) | 1978-01-01 | Paper |
| Almost Sure Behavior of Linear Functionals of Supercritical Branching Processes | 1977-01-01 | Paper |
Strong limit theorems for supercritical imigration-branching processes.
MATHEMATICA SCANDINAVICA | 1977-01-01 | Paper |
Some modified branching diffusion models
Mathematical Biosciences | 1977-01-01 | Paper |
Strong limit theorems for general supercritical branching processes with applications to branching diffusions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1976-01-01 | Paper |
Branching random walks. I
Stochastic Processes and their Applications | 1976-01-01 | Paper |
Branching random walks. II
Stochastic Processes and their Applications | 1976-01-01 | Paper |
Convergence rates for branching processes
The Annals of Probability | 1976-01-01 | Paper |
