215 results in 91Bxx
An Exponential Continuous-Time GARCH Process
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- Journal of Applied Probability / Volume 44 / Issue 4 / December 2007
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- 14 July 2016, pp. 960-976
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- December 2007
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The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
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- Journal of Applied Probability / Volume 44 / Issue 3 / September 2007
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- 14 July 2016, pp. 695-712
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- September 2007
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Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
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- Journal of Applied Probability / Volume 44 / Issue 3 / September 2007
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- 14 July 2016, pp. 713-731
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- September 2007
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Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
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- Journal of Applied Probability / Volume 44 / Issue 2 / June 2007
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- 14 July 2016, pp. 428-443
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- June 2007
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Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
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- Journal of Applied Probability / Volume 44 / Issue 2 / June 2007
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- 14 July 2016, pp. 420-427
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- June 2007
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Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
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- Advances in Applied Probability / Volume 39 / Issue 2 / June 2007
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- 01 July 2016, pp. 462-491
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- June 2007
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On the time value of absolute ruin with debit interest
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- Advances in Applied Probability / Volume 39 / Issue 2 / June 2007
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- 01 July 2016, pp. 343-359
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- June 2007
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Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
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- Journal of Applied Probability / Volume 44 / Issue 2 / June 2007
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- 14 July 2016, pp. 285-294
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- June 2007
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Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
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- Advances in Applied Probability / Volume 39 / Issue 2 / June 2007
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- 01 July 2016, pp. 385-406
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- June 2007
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On the Pricing of American Options in Exponential Lévy Markets
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- Journal of Applied Probability / Volume 44 / Issue 2 / June 2007
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- 14 July 2016, pp. 409-419
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- June 2007
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Distribution-Invariant Risk Measures, Entropy, and Large Deviations
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- Journal of Applied Probability / Volume 44 / Issue 1 / March 2007
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- 14 July 2016, pp. 16-40
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- March 2007
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Strategic equilibrium versus global optimum for a pair of competing servers
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- Journal of Applied Probability / Volume 43 / Issue 4 / December 2006
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- 14 July 2016, pp. 1165-1172
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- December 2006
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A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
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- Journal of Applied Probability / Volume 43 / Issue 4 / December 2006
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- 14 July 2016, pp. 916-926
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- December 2006
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Some limiting properties of the bounds of the present value function of a life insurance portfolio
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- Journal of Applied Probability / Volume 43 / Issue 4 / December 2006
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- 14 July 2016, pp. 1155-1164
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- December 2006
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Monotone utility convergence
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- Journal of Applied Probability / Volume 43 / Issue 3 / September 2006
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- 14 July 2016, pp. 622-633
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- September 2006
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Large deviations for risk processes with reinsurance
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- Journal of Applied Probability / Volume 43 / Issue 3 / September 2006
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- 14 July 2016, pp. 713-728
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- September 2006
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Applications of factorization embeddings for Lévy processes
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- Advances in Applied Probability / Volume 38 / Issue 3 / September 2006
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- 01 July 2016, pp. 768-791
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- September 2006
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An optimal sequential procedure for a buying-selling problem with independent observations
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- Journal of Applied Probability / Volume 43 / Issue 2 / June 2006
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- 14 July 2016, pp. 454-462
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- June 2006
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On extreme ruinous behaviour of Lévy insurance risk processes
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- Journal of Applied Probability / Volume 43 / Issue 2 / June 2006
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- 14 July 2016, pp. 594-598
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- June 2006
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Range of Asymptotic Behaviour of the Optimality Probability of the Expert and Majority Rules
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- Journal of Applied Probability / Volume 43 / Issue 1 / March 2006
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- 14 July 2016, pp. 16-31
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- March 2006
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