Martin Jacobsen

Martin Jacobsen

Emeritus


  1. 2005
  2. Published

    Contribution to the discussion of a paper by Kou, Xie and Liu

    Jacobsen, Martin & Sørensen, Michael, 2005, In: Journal of the Royal Statistic Society, Series C: Applied Statistics. 54, p. 502-503

    Research output: Contribution to journalJournal articleResearchpeer-review

  3. Published

    The time to ruin for a class of Markov additive risk processes with two-sided jumps

    Jacobsen, Martin, 2005, In: Advances in Applied Probability. 37, p. 963-992

    Research output: Contribution to journalJournal articleResearchpeer-review

  4. 2006
  5. Published

    Exit times for a Class of Piecewise Exponential Markov Processes with Two-Sided Jumps

    Jacobsen, Martin & Tolver Jensen, A., 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-35.

    Research output: Working paperResearch

  6. Published

    Point Process Theory And Applications. Marked Point and Piecewise Deterministic Processes

    Jacobsen, Martin, 2006, Boston: Birkhäuser Verlag.

    Research output: Book/ReportBookResearchpeer-review

  7. 2007
  8. Published

    Exit times for a class of piecewise exponential Markov processes with two-sided jumps

    Jacobsen, Martin & Tolver, Anders, 2007, In: Stochastic Processes and Their Applications. 117, 9, p. 1330-1356 27 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  9. 2008
  10. Published
  11. 2009
  12. Published

    Inverse problems for regular variation of linear filters, a cancellation property for $\sigma$-finite measures, and identification of stable laws.

    Mikosch, Thomas Valentin, Jacobsen, Martin, Rosinski, J. & Samorodnitsky, G., 2009, In: Annals of Applied Probability. 19, 1, p. 210-242 33 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  13. 2010
  14. Published

    Estimating functions for discretely sampled diffusion-type models

    Sørensen, Michael, Jacobsen, Martin & Bibby, B. M., 2010, Handbook of Financial Econometrics. Ait-Sahalia, Y. & Hansen, L. P. (eds.). Oxford: North-Holland, Vol. 1. p. 203 - 268

    Research output: Chapter in Book/Report/Conference proceedingBook chapterResearch

  15. 2011
  16. Published

    Exit times for a class of random walks: exact distribution results: Exit times for random walks

    Jacobsen, Martin, 2011, In: Journal of Applied Probability. 48A, p. 51-63 13 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  17. 2012
  18. Published

    The time to ruin in some additive risk models with random premium rates

    Jacobsen, Martin, 2012, In: Journal of Applied Probability. 49, 4, p. 915-938

    Research output: Contribution to journalJournal articleResearchpeer-review

ID: 8468