214 results in 91Bxx
Ruin excursions, the G/G/∞ queue, and tax payments in renewal risk models
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 3-14
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- August 2011
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Threshold strategies for risk processes and their relation to queueing theory
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 29-38
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- August 2011
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Characterization of tails through hazard rate and convolution closure properties
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 123-132
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- August 2011
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On the ruin probability of the generalised Ornstein–Uhlenbeck process in the cramér case
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 15-28
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- August 2011
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Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models
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- Advances in Applied Probability / Volume 43 / Issue 1 / March 2011
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- 01 July 2016, pp. 49-76
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- March 2011
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On the absolute ruin in a MAP risk model with debit interest
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- Advances in Applied Probability / Volume 43 / Issue 1 / March 2011
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- 01 July 2016, pp. 77-96
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- March 2011
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OPTIMAL PROPORTIONAL REINSURANCE UNDER TWO CRITERIA: MAXIMIZING THE EXPECTED UTILITY AND MINIMIZING THE VALUE AT RISK
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- The ANZIAM Journal / Volume 51 / Issue 4 / April 2010
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- 06 January 2011, pp. 449-463
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Characterizing Attainable Claims: A New Proof
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- Journal of Applied Probability / Volume 47 / Issue 4 / December 2010
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- 14 July 2016, pp. 1013-1022
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- December 2010
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Mean reversion for HJMM forward rate models
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- Advances in Applied Probability / Volume 42 / Issue 2 / June 2010
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- 01 July 2016, pp. 371-391
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- June 2010
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A quintuple law for Markov additive processes with phase-type jumps
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- Journal of Applied Probability / Volume 47 / Issue 2 / June 2010
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- 14 July 2016, pp. 441-458
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- June 2010
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The probabilities of absolute ruin in the renewal risk model with constant force of interest
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- Journal of Applied Probability / Volume 47 / Issue 2 / June 2010
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- 14 July 2016, pp. 323-334
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- June 2010
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A class of location-independent variability orders, with applications
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- Journal of Applied Probability / Volume 47 / Issue 2 / June 2010
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- 14 July 2016, pp. 407-425
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- June 2010
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RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS
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- The ANZIAM Journal / Volume 51 / Issue 1 / July 2009
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- 09 March 2010, pp. 34-48
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General tax Structures and the Lévy Insurance Risk Model
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- Journal of Applied Probability / Volume 46 / Issue 4 / December 2009
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- 14 July 2016, pp. 1146-1156
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- December 2009
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ARBITRAGE-FREE OPTION PRICING MODELS
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- Journal of the Australian Mathematical Society / Volume 87 / Issue 2 / October 2009
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- 09 October 2009, pp. 145-152
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- October 2009
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The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes
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- Journal of Applied Probability / Volume 46 / Issue 3 / September 2009
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- 14 July 2016, pp. 709-720
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- September 2009
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Asymptotics of Implied Volatility far from Maturity
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- Journal of Applied Probability / Volume 46 / Issue 3 / September 2009
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- 14 July 2016, pp. 629-650
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- September 2009
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MODELLING REGIONAL MIGRATION
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- Bulletin of the Australian Mathematical Society / Volume 80 / Issue 1 / August 2009
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- 11 June 2009, pp. 173-176
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- August 2009
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Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
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- Journal of Applied Probability / Volume 46 / Issue 2 / June 2009
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- 14 July 2016, pp. 542-558
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- June 2009
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On Growth-Collapse Processes with Stationary Structure and Their Shot-Noise Counterparts
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- Journal of Applied Probability / Volume 46 / Issue 2 / June 2009
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- 14 July 2016, pp. 363-371
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- June 2009
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