Jeffrey F. Collamore

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Primary fields of research

Probability theory:  large deviations, Harris recurrent Markov chains, iterated random systems and multidimensional recursions.  Applications to insurance, financial risk management, Monte Carlo simulation.

Please see https://www.math.ku.dk/~collamore/ for detailed information.

Selected publications

1. 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

2. 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

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

   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

5. 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

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. 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

8. 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