Jeffrey F. Collamore

Jeffrey F. Collamore

Professor

ORCID: 0000-0001-6372-8152

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  1. 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

  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. 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

  8. 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. 3378-3429

    Research output: Contribution to journal › Journal article › Research › peer-review

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