| Publication | Date of Publication | Type |
|---|
Exact simulation of a truncated Lévy subordinator
ACM Transactions on Modeling and Computer Simulation | 2024-09-08 | Paper |
Random variate generation for exponential and gamma tilted stable distributions
ACM Transactions on Modeling and Computer Simulation | 2024-08-08 | Paper |
Exact simulation for a class of tempered stable and related distributions
ACM Transactions on Modeling and Computer Simulation | 2024-08-06 | Paper |
EM estimation for bivariate mixed Poisson INAR(1) claim count regression models with correlated random effects
European Actuarial Journal | 2024-06-04 | Paper |
Truncated two-parameter Poisson-Dirichlet approximation for Pitman-Yor process hierarchical models
Scandinavian Journal of Statistics | 2024-05-14 | Paper |
An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options
Mathematical Finance | 2024-05-06 | Paper |
INAR approximation of bivariate linear birth and death process
Statistical Inference for Stochastic Processes | 2024-02-06 | Paper |
Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression
Computational Statistics | 2023-08-29 | Paper |
Exact simulation of Poisson-Dirichlet distribution and generalised gamma process
Methodology and Computing in Applied Probability | 2023-07-25 | Paper |
A first-order binomial-mixed Poisson integer-valued autoregressive model with serially dependent innovations
Journal of Applied Statistics | 2023-06-19 | Paper |
A Cox model for gradually disappearing events
Probability in the Engineering and Informational Sciences | 2023-06-16 | Paper |
Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models
Statistics and Computing | 2023-02-10 | Paper |
First hitting time of Brownian motion on simple graph with skew semiaxes
Methodology and Computing in Applied Probability | 2022-07-28 | Paper |
Cluster point processes and Poisson thinning INARMA
Stochastic Processes and their Applications | 2022-04-01 | Paper |
Explicit asymptotics on first passage times of diffusion processes
Advances in Applied Probability | 2021-08-04 | Paper |
Exact simulation of two-parameter Poisson-Dirichlet random variables
Electronic Journal of Probability | 2021-07-21 | Paper |
Exact simulation of Ornstein–Uhlenbeck tempered stable processes
Journal of Applied Probability | 2021-06-28 | Paper |
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds
Mathematical Finance | 2021-03-23 | Paper |
Efficient simulation of Lévy-driven point processes
Advances in Applied Probability | 2019-12-09 | Paper |
A variation of the Azéma martingale and drawdown options
Mathematical Finance | 2019-12-05 | Paper |
Exact simulation of generalised Vervaat perpetuities
Journal of Applied Probability | 2019-07-15 | Paper |
Moments of renewal shot-noise processes and their applications
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Testing independence of covariates and errors in non-parametric regression
Scandinavian Journal of Statistics | 2018-10-08 | Paper |
Recursive formula for the double-barrier Parisian stopping time
Journal of Applied Probability | 2018-09-26 | Paper |
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
Methodology and Computing in Applied Probability | 2018-03-01 | Paper |
Efficient simulation of clustering jumps with CIR intensity
Operations Research | 2018-01-11 | Paper |
A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
International Journal of Theoretical and Applied Finance | 2017-03-30 | Paper |
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
Finance and Stochastics | 2016-09-07 | Paper |
A study of the power and robustness of a new test for independence against contiguous alternatives
Electronic Journal of Statistics | 2016-03-03 | Paper |
A risk model with renewal shot-noise Cox process
Insurance Mathematics & Economics | 2015-12-14 | Paper |
Exact simulation of Hawkes process with exponentially decaying intensity
Electronic Communications in Probability | 2014-09-22 | Paper |
A bivariate shot noise self-exciting process for insurance
Insurance Mathematics & Economics | 2014-06-23 | Paper |
| Stationarity of Bivariate Dynamic Contagion Processes | 2014-05-22 | Paper |
A consistent test of independence based on a sign covariance related to Kendall's tau
Bernoulli | 2014-05-05 | Paper |
A consistent test of independence based on a sign covariance related to Kendall's tau
Bernoulli | 2014-05-05 | Paper |
Ruin by dynamic contagion claims
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Parisian option pricing: a recursive solution for the density of the Parisian stopping time
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
A risk model with delayed claims
Journal of Applied Probability | 2013-10-17 | Paper |
Stochastic boundary crossing probabilities for the Brownian motion
Journal of Applied Probability | 2013-06-26 | Paper |
On barrier strategy dividends with Parisian implementation delay for classical surplus processes
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Perturbed Brownian motion and its application to Parisian option pricing
Finance and Stochastics | 2011-11-27 | Paper |
A dynamic contagion process
Advances in Applied Probability | 2011-10-10 | Paper |
Double-barrier Parisian options
Journal of Applied Probability | 2011-04-05 | Paper |
The distribution of the interval between events of a Cox process with shot noise intensity
Journal of Applied Mathematics and Stochastic Analysis | 2009-04-01 | Paper |
The square-root process and Asian options
Quantitative Finance | 2007-05-09 | Paper |
Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
Journal of Applied Probability | 2005-08-25 | Paper |
On the quantiles of Brownian motion and their hitting times
Bernoulli | 2005-03-11 | Paper |
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Finance and Stochastics | 2004-03-16 | Paper |
A Cox process with log-normal intensity.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Sample quantiles of additive renewal reward processes
Journal of Applied Probability | 1997-07-20 | Paper |
Sample quantiles of stochastic processes with stationary and independent ents
The Annals of Applied Probability | 1997-05-05 | Paper |
The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
The Annals of Applied Probability | 1995-12-11 | Paper |
Martingales and insurance risk
Communications in Statistics. Stochastic Models | 1989-01-01 | Paper |
