Jeffrey F. Collamore
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
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
- Published
Small-time ruin for a financial process modulated by a Harris recurrent Markov chain.
Collamore, Jeffrey F. & Hoeing, A., 2007, In: Finance and Stochastics. 11, 3, p. 299-322 24 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Small-time ruin estimates for certain Markov-dependent processes arising in risk management
Collamore, Jeffrey F., 2004, In: Proceedings for the 3rd Conference in Actuarial Science and Finance, Samos (August 2004).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 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
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
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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
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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
- Published
Large excursions and conditioned laws for recursive sequences generated by random matrices
Collamore, Jeffrey F. & Mentemeier, S., 2018, In: Annals of Probability. 46, 4, p. 2064-2120. 59 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Large deviation tail estimates and related limit laws for stochastic fixed point equations
Collamore, Jeffrey F. & Vidyashankar, A. N., 2013, Random Matrices and Iterated Random Functions. Lowe, M. & Alsmeyer, G. (eds.). Heidelberg: Springer, Vol. 63. p. 91-117 27 p.Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › 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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