Jeffrey F. Collamore
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
Rare event analysis for minimum Hellinger distance estimators via large deviation theory
Vidyashankar, A. N. & Collamore, Jeffrey F., 2021, In: Entropy. 23, 4, 20 p., 386.Research output: Contribution to journal › Journal article › Research › peer-review
Hitting probabilities and large deviations
Collamore, Jeffrey F., 1996, In: Annals of Probability. 24, 4, p. 2065-2078 14 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Rare event simulation for stochastic fixed point equations related to the smoothing transform
Collamore, Jeffrey F., Vidyashankar, A. N. & Xu, J., 2013, In: Winter Simulation Conference. Proceedings. 9 p.Research output: Contribution to journal › Conference article › Research › peer-review
- Published
Sharp Probability Tail Estimates for Portfolio Credit Risk
Collamore, Jeffrey F., Silva, H. D. & Vidyashankar, A. N., 14 Dec 2022, In: Risks. 10, 12, p. 1-20 239.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Rare event simulation for processes generated via stochastic fixed point equations
Collamore, Jeffrey F., Diao, G. & Vidyashankar, A. N., 2014, In: Annals of Applied Probability. 24, 5, p. 2143-2175 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
Large Deviation Techniques for the Study of the Hitting Probabilities of Rare Sets
Collamore, Jeffrey F., 1996, Madison, WI, U.S.A.: University of Wisconsin. 114 p.Research output: Book/Report › Ph.D. thesis › Research
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Tail estimates for stochastic fixed point equations via nonlinear renewal theory
Collamore, Jeffrey F. & Vidyashankar, A. N., 2013, In: Stochastic Processes and Their Applications. 123, 9, p. 3378-3429Research output: Contribution to journal › Journal article › Research › peer-review
First passage times for general sequences of random vectors: a large deviations approach
Collamore, Jeffrey F., 1998, In: Stochastic Processes and Their Applications. 78, 1, p. 97-130 34 p.Research output: Contribution to journal › Journal article › Research › peer-review
Importance sampling techniques for the multidimensional ruin problem
Collamore, Jeffrey F., 1999, In: Probabilistic analysis of rare events: theory and problems of safety, insurance, and ruin. V. V. Kalashnikov and A. M. Andronov, editors. Jurmala, Latvia, June 1999. . 4 p.Research output: Contribution to journal › Conference article › Research › peer-review
- Published
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
Collamore, Jeffrey F., 2009, In: Annals of Applied Probability. 19, 4, p. 1404-1458 55 p.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 7871
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Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors.
Research output: Contribution to journal › Journal article › Research › peer-review
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1234
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Exact asymptotics for a large deviations problem for the GI/G/1 queue
Research output: Contribution to journal › Journal article › Research › peer-review
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1121
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Large deviation tail estimates and related limit laws for stochastic fixed point equations
Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review
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