Jeffrey F. Collamore

Jeffrey F. Collamore

Professor

ORCID: 0000-0001-6372-8152

Publication year:
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11 - 18 out of 18Page size: 10
  1. 2007
  2. 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

  3. 2004
  4. 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

  5. 2002

  6. 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

  7. 1999

  8. 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

  9. 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

  10. 1998

  11. 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

  12. 1996

  13. 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

  14. 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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