| Publication | Date of Publication | Type |
|---|
| Refined behaviour of a conditioned random walk in the large deviations regime | 2024-01-16 | Paper |
| On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance | 2022-07-05 | Paper |
| Moments and polynomial expansions in discrete matrix-analytic models | 2022-06-20 | Paper |
| From PH/MAP to ME/RAP | 2022-06-16 | Paper |
| Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models | 2022-05-27 | Paper |
| On the risk of credibility premium rules | 2022-03-02 | Paper |
| Matrix representations of life insurance payments | 2020-11-04 | Paper |
| Risk and Insurance | 2020-02-20 | Paper |
| Regular variation in a fixed-point problem for single- and multi-class branching processes and queues | 2020-02-05 | Paper |
| Approximating the Laplace transform of the sum of dependent lognormals | 2019-09-23 | Paper |
| Parallel computing, failure recovery, and extreme values | 2019-09-13 | Paper |
| Stability and busy periods in a multiclass queue with state-dependent arrival rates | 2019-07-31 | Paper |
| Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market | 2019-06-17 | Paper |
| A factorization of a Lévy process over a phase-type horizon | 2019-05-07 | Paper |
| On the longest gap between power-rate arrivals | 2019-01-28 | Paper |
| Discretization error for a two-sided reflected Lévy process | 2018-11-02 | Paper |
| Tail asymptotics of light-tailed Weibull-like sums | 2018-08-08 | Paper |
| On preemptive-repeat LIFO queues | 2018-06-13 | Paper |
| Markov dependence in renewal equations and random sums with heavy tails | 2018-02-19 | Paper |
| Markov Renewal Methods in Restart Problems in Complex Systems | 2017-01-16 | Paper |
| Time inhomogeneity in longest gap and longest run problems | 2016-12-27 | Paper |
| Exponential Family Techniques for the Lognormal Left Tail | 2016-09-21 | Paper |
| On the Laplace transform of the lognormal distribution | 2016-06-08 | Paper |
| Lévy Processes with Two-Sided Reflection | 2016-05-19 | Paper |
| Orthonormal polynomial expansions and lognormal sum densities | 2016-01-07 | Paper |
| Lévy matters V. Functionals of Lévy processes | 2015-09-14 | Paper |
| Error rates and improved algorithms for rare event simulation with heavy Weibull tails | 2015-07-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5176507 | 2015-02-26 | Paper |
| Lévy Processes, Phase-Type Distributions, and Martingales | 2015-01-09 | Paper |
| Second order corrections for the limits of normalized ruin times in the presence of heavy tails | 2014-07-21 | Paper |
| On Exceedance Times for Some Processes with Dependent Increments | 2014-05-14 | Paper |
| Portfolio size as function of the premium: modelling and optimization | 2014-04-17 | Paper |
| The M/M/1 queue with inventory, lost sale, and general lead times | 2013-09-05 | Paper |
| Markov Bridges, Bisection and Variance Reduction | 2013-07-31 | Paper |
| Tail asymptotics for dependent subexponential differences | 2013-02-19 | Paper |
| Efficient simulation of tail probabilities of sums of correlated lognormals | 2012-03-08 | Paper |
| Sensitivity Analysis of Insurance Risk Models via Simulation | 2012-02-12 | Paper |
| Ruin probabilities for a regenerative Poisson gap generated risk process | 2011-08-25 | Paper |
| A new proof of convergence of MCMC via the ergodic theorem | 2011-08-16 | Paper |
| Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection | 2011-06-20 | Paper |
| Asymptotic Behavior of Total Times for Jobs That Must Start Over if a Failure Occurs | 2011-04-27 | Paper |
| A Note on Skewness in Regenerative Simulation | 2011-03-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3560912 | 2010-05-17 | Paper |
| Importance Sampling for Failure Probabilities in Computing and Data Transmission | 2009-10-08 | Paper |
| On the Tail of the Waiting Time in a Markov-Modulated M/G/1 Queue | 2009-07-03 | Paper |
| Asymptotics of sums of lognormal random variables with Gaussian copula | 2008-11-14 | Paper |
| Loss Rates for Lévy Processes with Two Reflecting Barriers | 2008-05-27 | Paper |
| Efficient simulation of finite horizon problems in queueing and insurance risk | 2008-01-07 | Paper |
| Tail asymptotics for the sum of two heavy-tailed dependent risks | 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 | 2007-09-07 | Paper |
| Ruin probabilities and aggregrate claims distributions for shot noise Cox processes | 2007-05-29 | Paper |
| Performance analysis with truncated heavy-tailed distributions | 2006-10-27 | Paper |
| Monotone Stochastic Recursions and their Duals | 2006-08-30 | Paper |
| Variance Reduction for Simulating Transient GI/G/1 Behavior | 2006-08-30 | Paper |
| Improved algorithms for rare event simulation with heavy tails | 2006-07-25 | Paper |
| Computational Science - ICCS 2004 | 2005-12-23 | Paper |
| Large deviations and fast simulation in the presence of boundaries. | 2005-11-29 | Paper |
| Russian and American put options under exponential phase-type Lévy models. | 2005-11-29 | Paper |
| HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY | 2005-05-23 | Paper |
| Erlangian Approximations for Finite-Horizon Ruin Probabilities | 2005-03-30 | Paper |
| On optional stopping of some exponential martingales for Lévy processes with or without reflection. | 2004-09-22 | Paper |
| Transient properties of many-server queues and related QBDs | 2004-08-10 | Paper |
| Risk comparisons of premium rules: Optimality and a life insurance study | 2003-11-16 | Paper |
| Asymptotics for sums of random variables with local subexponential behaviour | 2003-08-06 | Paper |
| Applied Probability and Queues | 2003-06-17 | Paper |
| Exact buffer overflow calculations for queues via martingales | 2002-12-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4549487 | 2002-11-25 | Paper |
| A local limit theorem for random walk maxima with heavy tails | 2002-09-05 | Paper |
| Point processes with finite-dimensional conditional probabilities | 2002-08-29 | Paper |
| Approximations of small jumps of Lévy processes with a view towards simulation | 2002-07-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4494278 | 2002-05-05 | Paper |
| An Operational Calculus for Matrix-Exponential Distributions, with Applications to a Brownian (q, Q) Inventory Model | 2001-11-26 | Paper |
| Calculation of the steady state waiting time distribution in GI/PH/\(c\) and MAP/PH/\(c\) queues | 2001-06-19 | Paper |
| A multi-dimensional martingale for Markov additive processes and its applications | 2001-05-28 | Paper |
| Rare events simulation for heavy-tailed distributions | 2001-03-28 | Paper |
| Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation | 2001-03-01 | Paper |
| Sampling at subexponential times, with queueing applications | 2001-01-17 | Paper |
| Matrix‐analytic Models and their Analysis | 2000-11-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4934905 | 2000-11-19 | Paper |
| Approximations for Finite Horizon Ruin Probabilities in the Renewal Model | 2000-11-01 | Paper |
| Tail probabilities for non-standard risk and queueing processes with subexponential jumps | 2000-08-16 | Paper |
| Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities | 2000-08-16 | Paper |
| Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues | 2000-04-17 | Paper |
| Tail asymptotics for M/G/1 type queueing processes with subexponential increments | 2000-03-30 | Paper |
| Failure rates of regenerative systems with heavy tails | 1999-11-22 | Paper |
| Extreme value theory for queues via cycle maxima | 1999-09-14 | Paper |
| Stationarity properties of neural networks | 1999-08-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4239309 | 1999-04-25 | Paper |
| A Probabilistic Look at the Wiener--Hopf Equation | 1998-09-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3838095 | 1998-08-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4396372 | 1998-06-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4379506 | 1998-03-01 | Paper |
| Convergence rates for M/G/1 queues and ruin problems with heavy tails | 1998-02-03 | Paper |
| Large deviations results for subexponential tails, with applications to insurance risk | 1997-12-10 | Paper |
| Phase-type distributions and risk processes with state-dependent premiums | 1997-12-01 | Paper |
| Stationary M/G/1 excursions in the presence of heavy tails | 1997-11-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5690364 | 1997-10-01 | Paper |
| Rate modulation in dams and ruin problems | 1997-04-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5690357 | 1997-01-15 | Paper |
| Controlled diffusion models for optimal dividend pay-out | 1997-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4895174 | 1996-10-13 | Paper |
| Discretization error in simulation of one-dimensional reflecting Brownian motion | 1996-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4878849 | 1996-06-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4878835 | 1996-05-21 | Paper |
| Stationarity detection in the initial transient problem | 1996-04-28 | Paper |
| Rejection rules in the \(M/G/1\) queue | 1996-04-08 | Paper |
| Ruin probabilities via local adjustment coefficients | 1996-02-01 | Paper |
| Ladder height distributions with marks | 1996-01-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839551 | 1995-11-14 | Paper |
| Busy period analysis, rare events and transient behavior in fluid flow models | 1995-11-14 | Paper |
| The ascending ladder height distribution for a certain class of dependent random walks | 1995-10-17 | Paper |
| Large claims approximations for risk processes in a Markovian environment | 1995-06-18 | Paper |
| Stationary distributions for fluid flow models with or without brownian noise | 1995-04-04 | Paper |
| Poisson's equation for queues driven by a Markovian marked point process | 1995-03-28 | Paper |
| Regenerative rare events simulation via likelihood ratios | 1995-03-20 | Paper |
| A sample path approach to mean busy periods for Markov-modulated queues and fluids | 1995-03-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4322818 | 1995-02-13 | Paper |
| Regenerative simulation of TES processes | 1995-01-22 | Paper |
| Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality | 1994-11-21 | Paper |
| Response surface estimation and sensitivity analysis via efficient change of measure | 1993-12-15 | Paper |
| Marked point processes as limits of Markovian arrival streams | 1993-08-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4026972 | 1993-02-21 | Paper |
| Light traffic equivalence in single-server queues | 1993-01-17 | Paper |
| On coupling and weak convergence to stationarity | 1993-01-17 | Paper |
| On cycle maxima, first passage problems and extreme value theory for queues | 1993-01-17 | Paper |
| Phase-type representations in random walk and queueing problems | 1993-01-16 | Paper |
| Queueing Simulation in Heavy Traffic | 1993-01-16 | Paper |
| Computational methods in risk theory: a matrix-algorithmic approach | 1992-06-28 | Paper |
| The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models | 1992-06-28 | Paper |
| Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory | 1992-06-25 | Paper |
| Ladder heights and the Markov-modulated M/G/1 queue | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3353956 | 1991-01-01 | Paper |
| Exponential families and regression in the Monte Carlo study of queues and random walks | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4207449 | 1989-01-01 | Paper |
| Risk theory in a Markovian environment | 1989-01-01 | Paper |
| Validating the heavy traffic performance of regenerative simulation | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3473919 | 1989-01-01 | Paper |
| Large deviation results for time-dependent queue length distributions | 1988-01-01 | Paper |
| Ruin probabilities expressed in terms of storage processes | 1988-01-01 | Paper |
| The heavy traffic limit of a class of Markovian queueing models | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3026011 | 1987-01-01 | Paper |
| A Markov chain approach to periodic queues | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3029964 | 1986-01-01 | Paper |
| Conjugate processes and the simulation of ruin problems | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3313080 | 1984-01-01 | Paper |
| Approximations for the probability of ruin within finite time | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3664178 | 1983-01-01 | Paper |
| Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue | 1982-01-01 | Paper |
| On The Role of a Certain Eigenvalue in Estimating the Growth Rate of a Branching Process | 1982-01-01 | Paper |
| Equilibrium properties of the M/G/1 queue | 1981-01-01 | Paper |
| Necessary and sufficient conditions for complete convergence in the law of large numbers | 1980-01-01 | Paper |
| On some two-sex population models | 1980-01-01 | Paper |
| Martingale central limit theorems and asymptotic estimation theory for multitype branching processes | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4187124 | 1978-01-01 | Paper |
| Some modified branching diffusion models | 1977-01-01 | Paper |
| Strong limit theorems for supercritical imigration-branching processes. | 1977-01-01 | Paper |
| Almost Sure Behavior of Linear Functionals of Supercritical Branching Processes | 1977-01-01 | Paper |
| Branching random walks. I | 1976-01-01 | Paper |
| Branching random walks. II | 1976-01-01 | Paper |
| Convergence rates for branching processes | 1976-01-01 | Paper |
| Strong limit theorems for general supercritical branching processes with applications to branching diffusions | 1976-01-01 | Paper |
