170 results in 62Pxx
Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
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- Advances in Applied Probability / Volume 45 / Issue 1 / March 2013
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- 04 January 2016, pp. 241-273
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- March 2013
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A Time-Homogeneous Diffusion Model with Tax
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- Journal of Applied Probability / Volume 50 / Issue 1 / March 2013
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- 30 January 2018, pp. 195-207
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- March 2013
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Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
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- Advances in Applied Probability / Volume 44 / Issue 4 / December 2012
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- 04 January 2016, pp. 1113-1141
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- December 2012
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A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011)
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- Journal of Applied Probability / Volume 49 / Issue 3 / September 2012
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- 04 February 2016, pp. 866-875
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- September 2012
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Risk Measures and Multivariate Extensions of Breiman's Theorem
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- Journal of Applied Probability / Volume 49 / Issue 2 / June 2012
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- 04 February 2016, pp. 364-384
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- June 2012
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An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit
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- Journal of Applied Probability / Volume 49 / Issue 2 / June 2012
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- 04 February 2016, pp. 441-450
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- June 2012
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The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
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- Journal of Applied Probability / Volume 48 / Issue 4 / December 2011
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- 14 July 2016, pp. 1035-1048
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- December 2011
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A Berry-Esseen bound for the lightbulb process
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- Advances in Applied Probability / Volume 43 / Issue 3 / September 2011
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- 01 July 2016, pp. 875-898
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- September 2011
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The size of a major epidemic of a vector-borne disease
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 235-247
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- August 2011
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A Stochastic Breakdown Model for an Unreliable Web Server System and an Optimal Admission Control Policy
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- Journal of Applied Probability / Volume 48 / Issue 2 / June 2011
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- 14 July 2016, pp. 453-466
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- June 2011
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On New Classes of Extreme Shock Models and Some Generalizations
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- Journal of Applied Probability / Volume 48 / Issue 1 / March 2011
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- 14 July 2016, pp. 258-270
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- March 2011
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COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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- The ANZIAM Journal / Volume 51 / Issue 4 / April 2010
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- 21 December 2010, pp. 430-448
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Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
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- Advances in Applied Probability / Volume 42 / Issue 4 / December 2010
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- 01 July 2016, pp. 1126-1146
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- December 2010
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Random effect bivariate survival models and stochastic comparisons
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- Journal of Applied Probability / Volume 47 / Issue 2 / June 2010
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- 14 July 2016, pp. 426-440
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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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A VALUATION FORMULA FOR MULTI-ASSET, MULTI-PERIOD BINARIES IN A BLACK–SCHOLES ECONOMY
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- The ANZIAM Journal / Volume 50 / Issue 4 / April 2009
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- 04 December 2009, pp. 475-485
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Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
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- Journal of Applied Probability / Volume 46 / Issue 4 / December 2009
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- 14 July 2016, pp. 925-937
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- December 2009
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Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes
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- Advances in Applied Probability / Volume 41 / Issue 3 / September 2009
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- 01 July 2016, pp. 874-892
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- September 2009
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On a Terminating Shock Process with Independent Wear Increments
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- Journal of Applied Probability / Volume 46 / Issue 2 / June 2009
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- 14 July 2016, pp. 353-362
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- June 2009
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Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
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- Advances in Applied Probability / Volume 41 / Issue 1 / March 2009
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- 01 July 2016, pp. 206-224
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- March 2009
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