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Methodology and Computing in Applied Probability

Short Title: Methodol. Comput. Appl. Probab.
Publisher: Springer US, New York, NY
ISSN: 1387-5841; 1573-7713/e
Online: https://link.springer.com/journal/11009/volumes-and-issues
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 1,281 Publications (since 1999)
References Indexed: 1,121 Publications with 28,925 References.
all top 5

Latest Issues

26, No. 3 (2024)
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1, No. 4 (1999)
...and 1 more Volumes
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Authors

22 Balakrishnan, Narayanaswamy
17 Nadarajah, Saralees
16 Koutras, Markos V.
15 Roberts, Gareth O.
14 Limnios, Nikolaos
11 Lefèvre, Claude
11 Mahmoud, Hosam M.
11 Mukhopadhyay, Nitis
10 Beneš, Viktor
10 Kroese, Dirk P.
9 Glaz, Joseph
9 Natvig, Bent
8 Denuit, Michel M.
8 Di Crescenzo, Antonio
8 Hashorva, Enkelejd
8 Hüsler, Jürg
8 Manca, Raimondo
8 Mandjes, Michel Robertus Hendrikus
8 Rubinstein, Reuven Y.
8 Skiadas, Christos H.
8 Withers, Christopher Stroude
8 Zacks, Shelemyahu
7 Albrecher, Hansjörg
7 Chaudhry, Mohan L.
7 Cui, Lirong
7 Eryılmaz, Serkan N.
7 Sericola, Bruno
7 Silvestrov, Sergei D.
7 Tsaklidis, George M.
6 Bloch-Mercier, Sophie
6 Finkelstein, Maxim
6 Fu, James C.
6 Gåsemyr, Jørund Inge
6 Goswami, Veena
6 Gupta, Umesh Chandra
6 Haiman, George
6 Li, Haijun
6 Loisel, Stéphane
6 Palacios, Jose Luis
6 Perry, David
6 Peters, Gareth William
6 Pirozzi, Enrica
6 Politis, Konstadinos G.
6 Rosenthal, Jeffrey S.
6 Stadje, Wolfgang
6 Staňková Helisová, Kateřina
6 Taqqu, Murad S.
6 Yarovaya, Elena B.
6 Yi, He
5 Abundo, Mario
5 Cha, Ji Hwan
5 Dey, Dipak Kumar
5 Elliott, Robert James
5 Frostig, Esther
5 Gatto, Riccardo
5 Janssen, Jacques
5 Lember, Jüri
5 Leonenko, Nikolai N.
5 Lillo, Rosa Elvira
5 Martinucci, Barbara
5 Melamed, Benjamin
5 Mishura, Yuliya Stepanivna
5 Ratanov, Nikita
5 Ravishanker, Nalini
5 Seneta, Eugene
5 Silvestrov, Dmitrii
5 Simon, Matthieu
5 Stramer, Osnat
5 Wang, Sheng
4 Aoshima, Makoto
4 Banik, Abhijit Datta
4 Bar-Lev, Shaul K.
4 Boxma, Onno Johan
4 Chadjiconstantinidis, Stathis
4 Chen, Anyue
4 Cossette, Hélène
4 D’Amico, Guglielmo
4 De Santis, Emilio
4 Deaconu, Madalina
4 Feng, Runhuan
4 Girardin, Valerie
4 Jacobson, Sheldon H.
4 Latouche, Guy
4 Li, Junping
4 Lu, Dawei
4 Madan, Dilip B.
4 Makri, Frosso S.
4 Marceau, Étienne
4 Olenko, Andriy Yakovych
4 Pardo, Leandro
4 Pozdnyakov, Vladimir
4 Preda, Cristian
4 Remiche, Marie-Ange
4 Sachlas, Athanasios
4 Schmidt, Volker
4 Spizzichino, Fabio L.
4 Staněk, Jakub
4 Thäle, Christoph
4 Vernic, Raluca
4 Wang, Linshan
...and 1,824 more Authors
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Fields

961 Probability theory and stochastic processes (60-XX)
527 Statistics (62-XX)
275 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
228 Numerical analysis (65-XX)
158 Operations research, mathematical programming (90-XX)
68 Computer science (68-XX)
66 Biology and other natural sciences (92-XX)
47 Combinatorics (05-XX)
40 Systems theory; control (93-XX)
25 Information and communication theory, circuits (94-XX)
18 General and overarching topics; collections (00-XX)
17 Calculus of variations and optimal control; optimization (49-XX)
16 Partial differential equations (35-XX)
13 Special functions (33-XX)
10 Approximations and expansions (41-XX)
10 Statistical mechanics, structure of matter (82-XX)
9 Linear and multilinear algebra; matrix theory (15-XX)
8 Integral transforms, operational calculus (44-XX)
7 Ordinary differential equations (34-XX)
7 Dynamical systems and ergodic theory (37-XX)
7 Integral equations (45-XX)
6 Real functions (26-XX)
6 Harmonic analysis on Euclidean spaces (42-XX)
6 Geophysics (86-XX)
4 Number theory (11-XX)
3 History and biography (01-XX)
3 Measure and integration (28-XX)
3 Functional analysis (46-XX)
3 Convex and discrete geometry (52-XX)
3 Fluid mechanics (76-XX)
2 Field theory and polynomials (12-XX)
2 Group theory and generalizations (20-XX)
2 Operator theory (47-XX)
2 Global analysis, analysis on manifolds (58-XX)
2 Mechanics of deformable solids (74-XX)
2 Optics, electromagnetic theory (78-XX)
1 General algebraic systems (08-XX)
1 Commutative algebra (13-XX)
1 Functions of a complex variable (30-XX)
1 Sequences, series, summability (40-XX)
1 Differential geometry (53-XX)
1 Quantum theory (81-XX)
1 Mathematics education (97-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

906 Publications have been cited 5,411 times in 4,439 Documents Cited by ▼ Year ▼
Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate. Zbl 1263.91027
Wang, Kaiyong; Wang, Yuebao; Gao, Qingwu
152
2013
The cross-entropy method for combinatorial and continuous optimization. Zbl 0941.65061
Rubinstein, Reuven
81
1999
Langevin diffusions and Metropolis-Hastings algorithms. Zbl 1033.65003
Roberts, G. O.; Stramer, O.
67
2002
An insurance risk model with Parisian implementation delays. Zbl 1319.60098
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
64
2014
The perturbed compound Poisson risk process with investment and debit interest. Zbl 1231.91255
Yin, Chuancun; Wang, Chunwei
52
2010
Preservation of stochastic orders under the formation of generalized distorted distributions. Applications to coherent systems. Zbl 1371.60046
Navarro, Jorge; del Águila, Yolanda; Sordo, Miguel A.; Suárez-Llorens, Alfonso
52
2016
Passage times in fluid models with application to risk processes. Zbl 1110.60067
Ramaswami, V.
46
2006
Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014
Barndorff-Nielsen, O. E.; Leonenko, N. N.
43
2005
Precise large deviations of random sums in presence of negative dependence and consistent variation. Zbl 1242.60027
Chen, Yiqing; Yuen, Kam C.; Ng, Kai W.
42
2011
Risk processes with non-stationary Hawkes claims arrivals. Zbl 1231.91239
Stabile, Gabriele; Torrisi, Giovanni Luca
41
2010
Numerical methods for the pricing of swing options: a stochastic control approach. Zbl 1142.91502
Barrera-Esteve, Christophe; Bergeret, Florent; Dossal, Charles; Gobet, Emmanuel; Meziou, Asma; Munos, Rémi; Reboul-Salze, Damien
38
2006
Tauberian and Abelian theorems for long-range dependent random fields. Zbl 1307.60068
Leonenko, Nikolai; Olenko, Andriy
37
2013
A factorisation of diffusion measure and finite sample path constructions. Zbl 1152.65013
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O.
36
2008
An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift. Zbl 1104.65004
Atchadé, Yves F.
36
2006
The cross-entropy method for continuous multi-extremal optimization. Zbl 1107.65049
Kroese, Dirk P.; Porotsky, Sergey; Rubinstein, Reuven Y.
33
2006
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
32
2009
Properties of distortion risk measures. Zbl 1170.91368
Balbás, Alejandro; Garrido, José; Mayoral, Silvia
32
2009
Tail risk of multivariate regular variation. Zbl 1239.62060
Joe, Harry; Li, Haijun
31
2011
An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting. Zbl 1293.65004
Botev, Zdravko I.; Kroese, Dirk P.
30
2008
A double-ended queue with catastrophes and repairs, and a jump-diffusion approximation. Zbl 1270.60080
Di Crescenzo, Antonio; Giorno, Virginia; Krishna Kumar, Balasubramanian; Nobile, Amelia G.
30
2012
Bayesian inference for Hawkes processes. Zbl 1368.60055
Rasmussen, Jakob Gulddahl
29
2013
Statistical process control using Shewhart control charts with supplementary runs rules. Zbl 1171.62366
Koutras, M. V.; Bersimis, S.; Maravelakis, P. E.
29
2007
Crossing probabilities for diffusion processes with piecewise continuous boundaries. Zbl 1122.60070
Wang, Liqun; Pötzelberger, Klaus
28
2007
Algorithms for the Laplace-Stieltjes transforms of first return times for stochastic fluid flows. Zbl 1184.60027
Bean, Nigel G.; O’reilly, Małgorzata M.; Taylor, Peter G.
27
2008
Langevin-type models. I: Diffusions with given stationary distributions and their discretizations. Zbl 0947.60071
Stramer, O.; Tweedie, R. L.
27
1999
Nested partitions method for stochastic optimization. Zbl 0968.90054
Shi, Leyuan; Ólafsson, Sigurdur
26
2000
Censoring, factorizations, and spectral analysis for transition matrices with block-repeating entries. Zbl 1022.60073
Zhao, Yiqiang Q.; Li, Wei; Braun, W. John
26
2003
Two new mixture models related to the inverse Gaussian distribution. Zbl 1187.60009
Kotz, Samuel; Leiva, Víctor; Sanhueza, Antonio
25
2010
Uniform estimate for maximum of randomly weighted sums with applications to ruin theory. Zbl 1177.60026
Shen, Xin-mei; Lin, Zheng-yan; Zhang, Yi
25
2009
Diffusion processes associated with nonlinear evolution equations for signed measures. Zbl 0960.60092
Jourdain, B.
25
2000
The Markov additive risk process under an Erlangized dividend barrier strategy. Zbl 1338.91081
Zhang, Zhimin; Cheung, Eric C. K.
25
2016
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
25
2016
State-of-the-art in sequential change-point detection. Zbl 06124706
Polunchenko, Aleksey S.; Tartakovsky, Alexander G.
24
2012
Numerical computation of first-passage times of increasing Lévy processes. Zbl 1213.60094
Veillette, Mark; Taqqu, Murad S.
24
2010
Tail dependence comparison of survival Marshall-Olkin copulas. Zbl 1142.62035
Li, Haijun
24
2008
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. Zbl 1496.93112
Bachouch, Achref; Huré, Côme; Langrené, Nicolas; Pham, Huyên
23
2022
A Monte Carlo method for the simulation of first passage times of diffusion processes. Zbl 1002.60066
Giraudo, Maria Teresa; Sacerdote, Laura; Zucca, Cristina
23
2001
Langevin-type models II: Self-targeting candidates for MCMC algorithms. Zbl 0946.60063
Stramer, O.; Tweedie, R. L.
23
1999
Modeling zero inflation in count data time series with bounded support. Zbl 1450.62113
Möller, Tobias A.; Weiß, Christian H.; Kim, Hee-Young; Sirchenko, Andrei
22
2018
Negative binomial approximation with Stein’s method. Zbl 0992.62015
Brown, Timothy C.; Phillips, M. J.
22
1999
On success runs of length exceeded a threshold. Zbl 1230.60012
Makri, Frosso S.; Psillakis, Zaharias M.
21
2011
Parameter estimation and the CRLB with uncertain origin measurements. Zbl 0994.62053
Kirubarajan, T.; Chen, Huimin; Bar-Shalom, Yaakov
21
2001
The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model. Zbl 1211.60037
Buonocore, Aniello; Caputo, Luigia; Pirozzi, Enrica; Ricciardi, Luigi M.
21
2011
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives. Zbl 1327.65003
Bujok, K.; Hambly, B. M.; Reisinger, C.
21
2015
On generalised Piterbarg constants. Zbl 1390.60133
Bai, Long; Dȩbicki, Krzysztof; Hashorva, Enkelejd; Luo, Li
20
2018
A simple and complete computational analysis of MAP/R/1 queue using roots. Zbl 1274.60271
Chaudhry, M. L.; Singh, Gagandeep; Gupta, U. C.
20
2013
Multivariate generalized Marshall-Olkin distributions and copulas. Zbl 1291.60031
Lin, Jianhua; Li, Xiaohu
20
2014
A random walk on rectangles algorithm. Zbl 1104.60046
Deaconu, Madalina; Lejay, Antoine
20
2006
An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance. Zbl 1146.60320
Stenberg, Fredrik; Manca, Raimondo; Silvestrov, Dmitrii
20
2007
Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach. Zbl 1208.60014
Vernic, Raluca
20
2011
Sampling and learning Mallows and generalized Mallows models under the Cayley distance. Zbl 1433.62047
Irurozki, Ekhine; Calvo, Borja; Lozano, Jose A.
19
2018
Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372
Elliott, Robert J.; Siu, Tak Kuen
19
2009
Finite-time ruin probabilities for discrete, possibly dependent, claim severities. Zbl 1170.91414
Lefèvre, Claude; Loisel, Stéphane
19
2009
Multirisks model and finite-time ruin probabilities. Zbl 1035.62109
Picard, Philippe; Lefèvre, Claude; Coulibaly, Ibrahim
19
2003
Algorithms to find exact inclusion probabilities for conditional Poisson sampling and Pareto \(\pi ps\) sampling designs. Zbl 0984.62004
Aires, Nibia
19
1999
A functional central limit theorem for a Markov-modulated infinite-server queue. Zbl 1336.60066
Anderson, D.; Blom, J.; Mandjes, M.; Thorsdottir, H.; de Turck, K.
19
2016
Reliability measures of semi-Markov systems with general state space. Zbl 1259.60106
Limnios, Nikolaos
18
2012
Drawdowns and the speed of market crash. Zbl 1282.91396
Zhang, Hongzhong; Hadjiliadis, Olympia
18
2012
The Gibbs cloner for combinatorial optimization, counting and sampling. Zbl 1177.65012
Rubinstein, Reuven
18
2009
Optimal scaling for random walk Metropolis on spherically constrained target densities. Zbl 1141.60316
Neal, Peter; Roberts, Gareth
18
2008
Approximations for the long-term behavior of an open-population epidemic model. Zbl 0971.92025
Clancy, D.; O’Neill, P. D.; Pollett, P. K.
18
2001
Comparisons between largest order statistics from multiple-outlier models with dependence. Zbl 1458.62102
Navarro, Jorge; Torrado, Nuria; del Águila, Yolanda
17
2018
The single server queue with catastrophes and geometric reneging. Zbl 1273.90053
Dimou, Spiros; Economou, Antonis
17
2013
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
17
2012
Asymptotic normality for inference on multisample, high-dimensional mean vectors under mild conditions. Zbl 1317.62047
Aoshima, Makoto; Yata, Kazuyoshi
17
2015
Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023
Bellini, Fabio; Klar, Bernhard; Müller, Alfred
16
2018
Exact simulation of IG-OU processes. Zbl 1192.68801
Zhang, Shibin; Zhang, Xinsheng
16
2008
A two-sided first-exit problem for a compound Poisson process with a random upper boundary. Zbl 1079.60044
Perry, D.; Stadje, W.; Zacks, S.
16
2005
Background risk models and stepwise portfolio construction. Zbl 1349.62517
Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Ričardas
15
2016
Sequential order statistics: ageing and stochastic orderings. Zbl 1275.62057
Torrado, Nuria; Lillo, Rosa E.; Wiper, Michael P.
15
2012
Extremes of Markov-additive processes with one-sided jumps, with queueing applications. Zbl 1218.60077
Dieker, A. B.; Mandjes, M.
15
2011
A survey of the coupon collector’s problem with random sample sizes. Zbl 1133.60301
Kobza, John E.; Jacobson, Sheldon H.; Vaughan, Diane E.
15
2007
Numerical solution of non-homogeneous semi-Markov processes in transient case. Zbl 0991.60082
Janssen, Jacques; Manca, Raimondo
15
2001
Asymptotics of a boundary crossing probability of a Brownian bridge with general trend. Zbl 1048.60025
Bischoff, Wolfgang; Miller, Frank; Hashorva, Enkelejd; Hüsler, Jürg
15
2003
Reliability approximation for Markov chain imbeddable systems. Zbl 0984.60091
Boutsikas, Michael V.; Koutras, Markos V.
15
2000
Estimating parametric models of probability distributions. Zbl 1373.62526
Madan, Dilip B.
15
2015
On a risk model with surplus-dependent premium and tax rates. Zbl 1260.91120
Cheung, Eric C. K.; Landriault, David
14
2012
Algorithmic approach to the extinction probability of branching processes. Zbl 1210.60094
Hautphenne, Sophie; Latouche, Guy; Remiche, Marie-Ange
14
2011
Fourier inversion formulas in option pricing and insurance. Zbl 1170.91410
Dufresne, Daniel; Garrido, Jose; Morales, Manuel
14
2009
Maximum likelihood estimation for an observation driven model for Poisson counts. Zbl 1078.62091
Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B.
14
2005
Simulating perpetuities. Zbl 0982.65005
Devroye, Luc
14
2001
On a two-queue priority system with impatience and its application to a call center. Zbl 0948.60087
Brandt, Andreas; Brandt, Manfred
14
1999
Piecewise linear approximations for cure rate models and associated inferential issues. Zbl 1373.62481
Balakrishnan, N.; Koutras, M. V.; Milienos, F. S.; Pal, Suvra
14
2016
Telegraph process with elastic boundary at the origin. Zbl 1390.60317
Di Crescenzo, Antonio; Martinucci, Barbara; Zacks, Shelemyahu
13
2018
On the finite buffer queue with renewal input and batch Markovian service process: \(\mathrm{GI}/\mathrm{BMSP}/1/N\). Zbl 1293.60085
Banik, A. D.; Chaudhry, M. L.; Gupta, U. C.
13
2008
On estimation of the intensity function of a point process. Zbl 1274.60157
van Lieshout, Marie-Colette N. M.
13
2012
New results on the Barlow-Proschan and natvig measures of component importance in nonrepairable and repairable systems. Zbl 1176.90144
Natvig, Bent; Gåsemyr, Jørund
13
2009
Exact simulation of jump-diffusion processes with Monte Carlo applications. Zbl 1237.60067
Casella, Bruno; Roberts, Gareth O.
13
2011
On a stochastic survival model for a system under randomly variable environment. Zbl 1231.90147
Cha, Ji Hwan; Mi, Jie
13
2011
Convergence of the Marcus-Lushnikov process. Zbl 1229.45012
Fournier, Nicolas; Giet, Jean-Sébastien
13
2004
Numerical treatment of homogeneous semi-Markov processes in transient case: A straightforward approach. Zbl 1044.60086
Corradi, Gianfranco; Janssen, Jacques; Manca, Raimondo
13
2004
Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies. Zbl 1202.60071
Zhang, Hongzhong; Hadjiliadis, Olympia
13
2010
Analysis and approximation of a stochastic growth model with extinction. Zbl 1339.60084
Campillo, Fabien; Joannides, Marc; Larramendy-Valverde, Irène
13
2016
Estimation in stationary Markov renewal processes, with application to earthquake forecasting in Turkey. Zbl 1065.62147
Alvarez, Enrique E.
13
2005
Stochastic asymptotic stability of Nowak-May model with variable diffusion rates. Zbl 1351.60075
Pitchaimani, M.; Rajaji, R.
12
2016
Residual and past entropy in actuarial science and survival models. Zbl 1284.62643
Sachlas, Athanasios; Papaioannou, Takis
12
2014
Simulation and estimation for the fractional Yule process. Zbl 1253.60090
Cahoy, Dexter O.; Polito, Federico
12
2012
Approximations and inequalities for moving sums. Zbl 1277.60039
Glaz, Joseph; Naus, Joseph; Wang, Xiao
12
2012
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. Zbl 1170.91407
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
12
2009
Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay. Zbl 1492.91317
Yang, Lu; Zhang, Chengke; Zhu, Huainian
12
2022
Parking functions: from combinatorics to probability. Zbl 1515.60043
Kenyon, Richard; Yin, Mei
3
2023
Equilibrium joining strategies in the retrial queue with two classes of customers and delayed vacations. Zbl 1521.60054
Shi, Xianyue; Liu, Liwei
3
2023
Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models. Zbl 1520.91380
Zhang, Yumo
2
2023
Sequences of improved two-sided bounds for the renewal function and the solutions of renewal-type equations. Zbl 1515.60276
Chadjiconstantinidis, Stathis
2
2023
Entropy of some discrete distributions. Zbl 1515.94035
Mitov, Kosto; Nadarajah, Saralees
1
2023
Optimal liquidation through a limit order book: a neural network and simulation approach. Zbl 1518.91265
Roch, Alexandre
1
2023
Matched queues with flexible and impatient customers. Zbl 1515.60289
Liu, Heng-Li; Li, Quan-Lin
1
2023
Strong convergence for weighted sums of widely orthant dependent random variables and applications. Zbl 1518.60050
Wu, Yi; Wang, Xuejun; Shen, Aiting
1
2023
The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions. Zbl 1517.60093
Pojer, Simon; Thonhauser, Stefan
1
2023
Bayesian wavelet Stein’s unbiased risk estimation of multivariate normal distribution under reflected normal loss. Zbl 1514.62042
Karamikabir, Hamid; Karamikabir, Nasrin; Khajeian, Mohammad Ali; Afshari, Mahmoud
1
2023
Uniform approximation for the tail behavior of bidimensional randomly weighted sums. Zbl 1514.62035
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Crossings states and sets of states in random walks. Zbl 1515.60123
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Voting rights, Markov chains, and optimization by short bursts. Zbl 1515.60026
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The inverse first-passage time problem as hydrodynamic limit of a particle system. Zbl 1518.60030
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Energy efficiency in a base station of 5G cellular networks using \(M/G/1\) queue with multiple sleeps and \(N\)-policy. Zbl 1515.60285
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The distribution of extended discrete random sums and its application to waiting time distributions. Zbl 1518.60015
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Busy periods for queues alternating between two modes. Zbl 1515.60287
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Nonparametric estimation of trend for stochastic processes driven by \(G\)-Brownian motion with small noise. Zbl 1524.62158
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A versatile stochastic dissemination model. Zbl 1520.91166
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1
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Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. Zbl 1496.93112
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23
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Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay. Zbl 1492.91317
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12
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Numerical resolution of McKean-Vlasov FBSDEs using neural networks. Zbl 1505.65010
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7
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Ruin probability for finite Erlang mixture claims via recurrence sequences. Zbl 1493.60034
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Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims. Zbl 1505.62512
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4
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4
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Bivariate Sarmanov phase-type distributions for joint lifetimes modeling. Zbl 1489.62331
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4
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Equilibrium joining strategies of positive customers in a Markovian queue with negative arrivals and working vacations. Zbl 1491.60164
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3
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Joint reliability function of coherent systems with shared heterogeneous components. Zbl 1494.90027
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Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses. Zbl 1491.62154
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Bounds for the renewal function and related quantities. Zbl 1506.60101
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On properties of the phase-type mixed Poisson process and its applications to reliability shock modeling. Zbl 1508.60054
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Assessment of shock models for a particular class of intershock time distributions. Zbl 1487.62126
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Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process. Zbl 1506.91178
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A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process. Zbl 1503.65025
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Modelling with the novel INAR(1)-PTE process. Zbl 1491.62082
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Using infinite-server resource queue with splitting of requests for modeling two-channel data transmission. Zbl 1491.60156
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Discrete tempered stable distributions. Zbl 1497.60020
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Profit optimization of cattle growth with variable prices. Zbl 1491.92140
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Analysis of a multiple dual-stage vacation queueing system with disaster and repairable server. Zbl 1509.90060
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Distributions of \((k_1,k_2,\dots ,k_m)\)-runs with multi-state trials. Zbl 1506.60018
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General \(M\)-estimator processes and their \(m\) out of \(n\) bootstrap with functional nuisance parameters. Zbl 1505.62471
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Reliability assessment for censored \(\delta\)-shock models. Zbl 1505.62508
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2
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On the discounted penalty function in a perturbed Erlang renewal risk model with dependence. Zbl 1496.60106
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2
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Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. Zbl 1490.91170
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An evolutionary model that satisfies detailed balance. Zbl 1490.60214
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2
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Variance swaps under multiscale stochastic volatility of volatility. Zbl 1492.91379
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2
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Profile of random exponential recursive trees. Zbl 1487.05244
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A Fourier transform method for solving backward stochastic differential equations. Zbl 1487.65008
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2
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Nonlinear unbalanced urn models via stochastic approximation. Zbl 1487.62098
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2
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Markovian arrival process subject to renewal generated binomial catastrophes. Zbl 1508.92213
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2
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A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo. Zbl 1505.65002
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Replacement policy for heterogeneous items subject to gamma degradation processes. Zbl 1491.62273
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Rare events in random geometric graphs. Zbl 1491.60043
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Optimal dividend strategy under Parisian ruin with affine penalty. Zbl 1492.93207
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Asymptotic analysis of finite-source \(M/GI/1\) retrial queueing systems with collisions and server subject to breakdowns and repairs. Zbl 1491.60163
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Dynamical behaviors of a stochastic single-species model with Allee effects. Zbl 1491.92101
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Moments for Hawkes processes with gamma decay kernel functions. Zbl 1491.60068
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Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning. Zbl 1491.65015
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A new robust class of skew elliptical distributions. Zbl 1491.62040
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Several topological indices of random caterpillars. Zbl 1491.05175
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First hitting time of Brownian motion on simple graph with skew semiaxes. Zbl 1504.60141
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Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws. Zbl 1493.60040
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Stochastic analysis of rumor spreading with multiple pull operations. Zbl 07565047
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On some distributional properties of subordinated Gaussian random fields. Zbl 1506.60055
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Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk. Zbl 1508.91491
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Construction and simulation of generalized multivariate Hawkes processes. Zbl 1506.60050
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Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market. Zbl 1508.91485
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Stochastic simulation algorithms for solving transient anisotropic diffusion-recombination equations and application to cathodoluminescence imaging. Zbl 1505.65279
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Moments of the ruin time in a Lévy risk model. Zbl 1508.91486
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Bayesian analysis of proportions via a hidden Markov model. Zbl 1505.62494
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On the randomized Schmitter problem. Zbl 1489.91213
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Ruin and dividend measures in the renewal dual risk model. Zbl 1489.91214
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Deep learning for constrained utility maximisation. Zbl 1492.93194
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Perpetual American double lookback options on drawdowns and drawups with floating strikes. Zbl 1489.91259
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Optimal double stopping problems for maxima and minima of geometric Brownian motions. Zbl 1490.60097
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A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy. Zbl 1489.91219
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Dynamic bivariate mortality modelling. Zbl 1489.91221
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Bounds on multivariate Kendall’s tau and Spearman’s rho for zero-inflated continuous variables and their application to insurance. Zbl 1490.62135
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On a Markovian game model for competitive insurance pricing. Zbl 1489.91069
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Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process. Zbl 1490.91177
Tian, Yingxu; Sun, Zhongyang; Guo, Junyi
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Fraction-degree reference dependent stochastic dominance. Zbl 1489.91089
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Second order asymptotics for infinite-time ruin probability in a compound renewal risk model. Zbl 1490.91053
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1
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Batch size selection for variance estimators in MCMC. Zbl 1493.62130
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1
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Performance analysis of multi-processor two-stage tandem call center retrial queues with non-reliable processors. Zbl 1487.60167
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1
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Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy. Zbl 1487.62136
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The eigen-distribution for multi-branching weighted trees on independent distributions. Zbl 07536586
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Stochastic fluid models with positive jumps at level zero. Zbl 1490.60219
Nabli, Hédi
1
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Competing risks modeling by extended phase-type semi-Markov distributions. Zbl 1487.60164
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32 Di Crescenzo, Antonio
32 Hashorva, Enkelejd
32 Yang, Yang
30 Ding, Feng
28 Lefèvre, Claude
26 D’Amico, Guglielmo
26 Pirozzi, Enrica
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24 Gao, Qingwu
23 Eryılmaz, Serkan N.
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20 Kawai, Reiichiro
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19 Kroese, Dirk P.
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19 Palmowski, Zbigniew
19 Wang, Kaiyong
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17 Koutras, Markos V.
17 Nadarajah, Saralees
16 Aoshima, Makoto
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16 Rubinstein, Reuven Y.
16 Xu, Ling
15 Dębicki, Krzysztof
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14 Cheng, Dongya
14 Finkelstein, Maxim
14 Jourdain, Benjamin
14 Loisel, Stéphane
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14 Polunchenko, Aleksey S.
14 Wu, Yi
14 Yuen, Kam Chuen
13 Albrecher, Hansjörg
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12 Martinucci, Barbara
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11 Al-saedi, Ahmed Eid Salem
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