Methodology and Computing in Applied Probability

Title Publication Date Language Citations
Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate2011/05/17English157
The Cross-Entropy Method for Continuous Multi-Extremal Optimization2006/09/01English133
Statistical Process Control using Shewhart Control Charts with Supplementary Runs Rules2007/04/03English99
An Adaptive Version for the Metropolis Adjusted Langevin Algorithm with a Truncated Drift2006/06/01English89
The Perturbed Compound Poisson Risk Process with Investment and Debit Interest2008/11/04English80
Random Survival Forests Models for SME Credit Risk Measurement2008/05/01English64
An Insurance Risk Model with Parisian Implementation Delays2013/01/23English62
State-of-the-Art in Sequential Change-Point Detection2011/10/08English61
Preservation of Stochastic Orders under the Formation of Generalized Distorted Distributions. Applications to Coherent Systems2015/02/28English59
Passage Times in Fluid Models with Application to Risk Processes2006/12/01English58
Risk Processes with Non-stationary Hawkes Claims Arrivals2008/11/06English55
Properties of Distortion Risk Measures2008/07/08English54
A Factorisation of Diffusion Measure and Finite Sample Path Constructions2008/02/14English53
Bayesian Inference for Hawkes Processes2011/12/20English53
Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes2005/09/01English51
On the Laplace Transform of the Lognormal Distribution2014/12/07English49
Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach2006/12/01English48
An Efficient Algorithm for Rare-event Probability Estimation, Combinatorial Optimization, and Counting2008/05/20English48
Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation2010/09/16English45
Two New Mixture Models Related to the Inverse Gaussian Distribution2008/12/02English43
A Double-ended Queue with Catastrophes and Repairs, and a Jump-diffusion Approximation2011/02/11English43
Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables2008/03/25English42
Estimating Parametric Models of Probability Distributions2014/05/11English40
Algorithms for the Laplace–Stieltjes Transforms of First Return Times for Stochastic Fluid Flows2008/05/10English37
Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries2007/01/23English36
A Random Walk on Rectangles Algorithm2006/03/01English35
Tauberian and Abelian Theorems for Long-range Dependent Random Fields2012/02/15English33
Tail Risk of Multivariate Regular Variation2010/06/10English32
Piecewise Linear Approximations for Cure Rate Models and Associated Inferential Issues2016/02/18English32
Modeling Zero Inflation in Count Data Time Series with Bounded Support2017/07/20English30