12 results
A Cox model for gradually disappearing events
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- Probability in the Engineering and Informational Sciences / Volume 37 / Issue 1 / January 2023
- Published online by Cambridge University Press:
- 13 January 2022, pp. 214-231
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Exact simulation of Ornstein–Uhlenbeck tempered stable processes
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- Journal of Applied Probability / Volume 58 / Issue 2 / June 2021
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- 23 June 2021, pp. 347-371
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- June 2021
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Explicit asymptotics on first passage times of diffusion processes
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- Advances in Applied Probability / Volume 52 / Issue 2 / June 2020
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- 15 July 2020, pp. 681-704
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- June 2020
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Efficient simulation of Lévy-driven point processes
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- Advances in Applied Probability / Volume 51 / Issue 4 / December 2019
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- 15 November 2019, pp. 927-966
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- December 2019
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Exact simulation of generalised Vervaat perpetuities
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- Journal of Applied Probability / Volume 56 / Issue 1 / March 2019
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- 12 July 2019, pp. 57-75
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- March 2019
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Recursive formula for the double-barrier Parisian stopping time
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- Journal of Applied Probability / Volume 55 / Issue 1 / March 2018
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- 28 March 2018, pp. 282-301
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- March 2018
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A Risk Model with Delayed Claims
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- Journal of Applied Probability / Volume 50 / Issue 3 / September 2013
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- 30 January 2018, pp. 686-702
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- September 2013
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Stochastic Boundary Crossing Probabilities for the Brownian Motion
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- Journal of Applied Probability / Volume 50 / Issue 2 / June 2013
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- 30 January 2018, pp. 419-429
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- June 2013
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A dynamic contagion process
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- Advances in Applied Probability / Volume 43 / Issue 3 / September 2011
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- 01 July 2016, pp. 814-846
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- September 2011
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Double-Barrier Parisian Options
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- Journal of Applied Probability / Volume 48 / Issue 1 / March 2011
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- 14 July 2016, pp. 1-20
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- March 2011
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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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Sample quantiles of additive renewal reward processes
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- Journal of Applied Probability / Volume 33 / Issue 4 / December 1996
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- 14 July 2016, pp. 1018-1032
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- December 1996
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