214 results in 91Bxx
Conditional tail expectations for multivariate phase-type distributions
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- Journal of Applied Probability / Volume 42 / Issue 3 / September 2005
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- 14 July 2016, pp. 810-825
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- September 2005
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The finite-time ruin probability of the compound Poisson model with constant interest force
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- Journal of Applied Probability / Volume 42 / Issue 3 / September 2005
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- 14 July 2016, pp. 608-619
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- September 2005
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What is the time value of a stream of investments?
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- Journal of Applied Probability / Volume 42 / Issue 3 / September 2005
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- 14 July 2016, pp. 861-866
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- September 2005
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Ruin in the perturbed compound Poisson risk process under interest force
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- Advances in Applied Probability / Volume 37 / Issue 3 / September 2005
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- 01 July 2016, pp. 819-835
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- September 2005
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Differentiation of some functionals of risk processes, and optimal reserve allocation
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- Journal of Applied Probability / Volume 42 / Issue 2 / June 2005
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- 14 July 2016, pp. 379-392
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- June 2005
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Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
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- Journal of Applied Probability / Volume 42 / Issue 2 / June 2005
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- 14 July 2016, pp. 426-445
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- June 2005
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Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
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- Journal of Applied Probability / Volume 42 / Issue 1 / March 2005
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- 14 July 2016, pp. 82-92
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- March 2005
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Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
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- Journal of Applied Probability / Volume 42 / Issue 1 / March 2005
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- 14 July 2016, pp. 93-107
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- March 2005
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Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators
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- Journal of Applied Probability / Volume 42 / Issue 1 / March 2005
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- 14 July 2016, pp. 138-152
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- March 2005
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Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
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- Advances in Applied Probability / Volume 36 / Issue 4 / December 2004
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- 01 July 2016, pp. 1278-1299
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- December 2004
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A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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- Journal of Applied Probability / Volume 41 / Issue 3 / September 2004
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- 14 July 2016, pp. 601-622
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- September 2004
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Ruin probabilities for competing claim processes
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- Journal of Applied Probability / Volume 41 / Issue 3 / September 2004
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- 14 July 2016, pp. 679-690
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- September 2004
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On the subexponential properties in stationary single-server queues: a Palm-martingale approach
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- Advances in Applied Probability / Volume 36 / Issue 3 / September 2004
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- 01 July 2016, pp. 872-892
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- September 2004
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Level-crossing probabilities and first-passage times for linear processes
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- Advances in Applied Probability / Volume 36 / Issue 2 / June 2004
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- 01 July 2016, pp. 643-666
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- June 2004
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Upper bounds on the expected time to ruin and on the expected recovery time
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- Advances in Applied Probability / Volume 36 / Issue 2 / June 2004
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- 01 July 2016, pp. 377-397
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- June 2004
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Comparison of multivariate risks and positive dependence
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- Journal of Applied Probability / Volume 41 / Issue 2 / June 2004
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- 14 July 2016, pp. 391-406
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- June 2004
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A revenue-equivalence theorem for electricity auctions
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- Journal of Applied Probability / Volume 41 / Issue 2 / June 2004
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- 14 July 2016, pp. 299-312
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- June 2004
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Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
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- Journal of Applied Probability / Volume 41 / Issue 1 / March 2004
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- 14 July 2016, pp. 1-18
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- March 2004
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On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
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- Journal of Applied Probability / Volume 41 / Issue 1 / March 2004
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- 14 July 2016, pp. 117-130
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- March 2004
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Limiting distributions for minimum relative entropy calibration
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- Journal of Applied Probability / Volume 41 / Issue 1 / March 2004
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- 14 July 2016, pp. 35-50
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- March 2004
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