Jeffrey F. Collamore
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 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
- 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
- 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
- 1999
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
ID: 7871
Most downloads
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1318
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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
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1233
downloads
Exact asymptotics for a large deviations problem for the GI/G/1 queue
Research output: Contribution to journal › Journal article › Research › peer-review
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1120
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
Published