Jeffrey F. Collamore

Jeffrey F. Collamore

Professor

ORCID: 0000-0001-6372-8152

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  1. 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

  2. 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

  3. 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

  4. 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

  5. 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

  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. 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

  8. 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

  9. 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

  10. 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

  11. 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

  12. 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

  13. 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

  14. 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

  15. 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

  16. 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

  17. 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

  18. 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

ID: 7871