Ansatte ved Institut for Matematiske Fag – Københavns Universitet

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Institut for Matematiske Fag > Ansatte

Jeffrey F. Collamore

Jeffrey F. Collamore

Lektor

Primære forskningsområder

Sandsynlighedsregning (large deviations, Harris recurrent Markov chains, iterated random systems, og rekursioner i flere dimensioner).  Advendelser i forsikringsmatematik, kvantitativ risikostyring, Monte Carlo metoder.

Se venligst http://www.math.ku.dk/~collamore/ for detaljeret information.

Udvalgte publikationer

  1. Udgivet

    Rare event simulation for processes generated via stochastic fixed point equations

    Collamore, J. F., Diao, G. & Vidyashankar, A. N. 2014 I : Annals of Applied Probability. 24, 5, s. 2143-2175 33 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

  2. Udgivet

    Tail estimates for stochastic fixed point equations via nonlinear renewal theory

    Collamore, J. F. & Vidyashankar, A. N. 2013 I : Stochastic Processes and Their Applications. 123, 9, s. 3378-3429

    Publikation: Forskning - peer reviewTidsskriftartikel

  3. Udgivet

    Large deviation tail estimates and related limit laws for stochastic fixed point equations

    Collamore, J. F. & Vidyashankar, A. N. 2013 Random Matrices and Iterated Random Functions. Lowe, M. & Alsmeyer, G. (red.). Heidelberg: Springer, Bind 63, s. 91-117 27 s.

    Publikation: Forskning - peer reviewKonferencebidrag i proceedings

  4. Udgivet

    Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

    Collamore, J. F. 2009 I : Annals of Applied Probability. 19, 4, s. 1404-1458 55 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

  5. Udgivet

    Small-time ruin for a financial process modulated by a Harris recurrent Markov chain.

    Collamore, J. F. & Hoeing, A. 2007 I : Finance and Stochastics. 11, 3, s. 299-322 24 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

  6. Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors.

    Collamore, J. F. 2002 I : Annals of Applied Probability. 12, 1, s. 382-421 40 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

  7. Exact asymptotics for a large deviations problem for the GI/G/1 queue

    Asmussen, S. & Collamore, J. F. 1999 I : Markov Processes and Related Fields. 5, 4, s. 451-476 26 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

  8. First passage times for general sequences of random vectors: a large deviations approach

    Collamore, J. F. 1998 I : Stochastic Processes and Their Applications. 78, 1, s. 97-130 34 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

  9. Hitting probabilities and large deviations

    Collamore, J. F. 1996 I : Annals of Probability. 24, 4, s. 2065-2078 14 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

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