Jeffrey F. Collamore
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2022
- 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
- 2021
- 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
- 2018
- 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
- 2016
- Published
Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
Buraczewski, D., Collamore, Jeffrey F., Damek, E. & Zienkiewicz, J., 2016, In: Annals of Probability. 44, 6, p. 3688-3739. 34 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2014
- 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
- 2013
- 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
- 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
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
- 2012
- Published
An importance sampling algorithm for estimating extremes of perpetuity sequences
Collamore, Jeffrey F., 2012, AIP Conference Proceedings. American Institute of Physics, Vol. 1479. p. 1966-1969 4 p.Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review
- 2009
- 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
- 2007
- 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
- 2004
- 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
- 2002
Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors.
Collamore, Jeffrey F., 2002, In: Annals of Applied Probability. 12, 1, p. 382-421 40 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 1999
Exact asymptotics for a large deviations problem for the GI/G/1 queue
Asmussen, S. & Collamore, Jeffrey F., 1999, In: Markov Processes and Related Fields. 5, 4, p. 451-476 26 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
- 1998
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
- 1996
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
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
ID: 7871
Most downloads
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1323
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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
-
1234
downloads
Exact asymptotics for a large deviations problem for the GI/G/1 queue
Research output: Contribution to journal › Journal article › Research › peer-review
-
1121
downloads
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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