Jeffrey F. Collamore

Jeffrey F. Collamore

Professor

ORCID: 0000-0001-6372-8152

Publication year:
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1 - 10 out of 18Page size: 10
  1. 1996

  2. 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

  3. 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

  4. 1998

  5. 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

  6. 1999

  7. 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

  8. 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

  9. 2002

  10. 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

  11. 2004
  12. 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

  13. 2007
  14. 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

  15. 2009
  16. 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

  17. 2012
  18. 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

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