[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]
IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1999 | 0 | 0.3 | 0.09 | 0 | 22 | 22 | 105 | 2 | 2 | 0 | 0 | 2 | 100 | 2 | 0.09 | 0.15 | ||
2000 | 0.09 | 0.36 | 0.07 | 0.09 | 23 | 45 | 35 | 3 | 5 | 22 | 2 | 22 | 2 | 1 | 33.3 | 1 | 0.04 | 0.16 |
2001 | 0.04 | 0.38 | 0.04 | 0.04 | 24 | 69 | 30 | 3 | 8 | 45 | 2 | 45 | 2 | 1 | 33.3 | 1 | 0.04 | 0.17 |
2002 | 0.06 | 0.41 | 0.08 | 0.09 | 23 | 92 | 28 | 7 | 15 | 47 | 3 | 69 | 6 | 3 | 42.9 | 0 | 0.21 | |
2003 | 0 | 0.44 | 0.02 | 0.02 | 24 | 116 | 37 | 2 | 17 | 47 | 92 | 2 | 0 | 0 | 0.22 | |||
2004 | 0 | 0.49 | 0.06 | 0.07 | 24 | 140 | 43 | 8 | 25 | 47 | 116 | 8 | 3 | 37.5 | 0 | 0.22 | ||
2005 | 0.1 | 0.5 | 0.08 | 0.08 | 27 | 167 | 59 | 14 | 39 | 48 | 5 | 118 | 10 | 5 | 35.7 | 0 | 0.23 | |
2006 | 0.04 | 0.5 | 0.04 | 0.02 | 28 | 195 | 110 | 8 | 47 | 51 | 2 | 122 | 3 | 5 | 62.5 | 0 | 0.22 | |
2007 | 0.11 | 0.46 | 0.08 | 0.09 | 33 | 228 | 69 | 18 | 65 | 55 | 6 | 126 | 11 | 7 | 38.9 | 0 | 0.2 | |
2008 | 0.23 | 0.49 | 0.16 | 0.18 | 29 | 257 | 68 | 39 | 106 | 61 | 14 | 136 | 24 | 18 | 46.2 | 1 | 0.03 | 0.23 |
2009 | 0.08 | 0.47 | 0.1 | 0.11 | 37 | 294 | 170 | 30 | 136 | 62 | 5 | 141 | 15 | 5 | 16.7 | 3 | 0.08 | 0.24 |
2010 | 0.2 | 0.48 | 0.14 | 0.16 | 45 | 339 | 139 | 47 | 183 | 66 | 13 | 154 | 24 | 11 | 23.4 | 2 | 0.04 | 0.21 |
2011 | 0.26 | 0.52 | 0.19 | 0.25 | 42 | 381 | 135 | 72 | 255 | 82 | 21 | 172 | 43 | 18 | 25 | 5 | 0.12 | 0.24 |
2012 | 0.21 | 0.52 | 0.13 | 0.18 | 60 | 441 | 131 | 57 | 312 | 87 | 18 | 186 | 33 | 8 | 14 | 0 | 0.22 | |
2013 | 0.24 | 0.56 | 0.19 | 0.25 | 48 | 489 | 87 | 94 | 406 | 102 | 24 | 213 | 53 | 15 | 16 | 1 | 0.02 | 0.24 |
2014 | 0.16 | 0.55 | 0.14 | 0.21 | 57 | 546 | 101 | 76 | 483 | 108 | 17 | 232 | 49 | 15 | 19.7 | 1 | 0.02 | 0.23 |
2015 | 0.09 | 0.55 | 0.13 | 0.14 | 62 | 608 | 93 | 82 | 565 | 105 | 9 | 252 | 36 | 15 | 18.3 | 3 | 0.05 | 0.23 |
2016 | 0.13 | 0.53 | 0.17 | 0.16 | 63 | 671 | 102 | 113 | 678 | 119 | 16 | 269 | 43 | 19 | 16.8 | 5 | 0.08 | 0.21 |
2017 | 0.18 | 0.54 | 0.17 | 0.16 | 61 | 732 | 55 | 122 | 801 | 125 | 22 | 290 | 46 | 23 | 18.9 | 1 | 0.02 | 0.22 |
2018 | 0.1 | 0.56 | 0.15 | 0.14 | 72 | 804 | 111 | 123 | 924 | 124 | 12 | 291 | 40 | 25 | 20.3 | 4 | 0.06 | 0.24 |
2019 | 0.18 | 0.58 | 0.21 | 0.22 | 74 | 878 | 50 | 188 | 1112 | 133 | 24 | 315 | 68 | 44 | 23.4 | 2 | 0.03 | 0.23 |
2020 | 0.21 | 0.7 | 0.19 | 0.19 | 73 | 951 | 53 | 179 | 1291 | 146 | 31 | 332 | 64 | 41 | 22.9 | 5 | 0.07 | 0.33 |
2021 | 0.14 | 0.87 | 0.22 | 0.24 | 75 | 1026 | 28 | 228 | 1520 | 147 | 20 | 343 | 82 | 38 | 16.7 | 6 | 0.08 | 0.32 |
2022 | 0.24 | 1 | 0.2 | 0.23 | 138 | 1164 | 44 | 234 | 1754 | 148 | 35 | 355 | 82 | 61 | 26.1 | 16 | 0.12 | 0.31 |
IF: | Two years Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for all series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Five years Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until year y |
D2Y: | Number of articles published in y-1 plus y-2 |
C2Y: | Cites in y to articles published in y-1 plus y-2 |
D5Y: | Number of articles published in y-1 until y-5 |
C5Y: | Cites in y to articles published in y-1 until y-5 |
SC: | selft citations in y to articles published in y-1 plus y-2 |
%SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
CiY: | Cites in year y to documents published in year y |
II: | Immediacy Index: CiY / Documents. |
AII: | Average Immediacy Index for series in RePEc in year y |
# | Year | Title | Cited |
---|---|---|---|
1 | 1999 | The Cross-Entropy Method for Combinatorial and Continuous Optimization. (1999). Rubinstein, Reuven . In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:1:y:1999:i:2:d:10.1023_a:1010091220143. Full description at Econpapers || Download paper | 67 |
2 | 2009 | Random Survival Forests Models for SME Credit Risk Measurement. (2009). Fantazzini, Dean ; Figini, Silvia. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:1:d:10.1007_s11009-008-9078-2. Full description at Econpapers || Download paper | 35 |
3 | 2009 | Properties of Distortion Risk Measures. (2009). Balbas, Alejandro ; Mayoral, Silvia ; Garrido, Jose. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:3:d:10.1007_s11009-008-9089-z. Full description at Econpapers || Download paper | 30 |
4 | 2006 | Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach. (2006). Barrera-Esteve, Christophe ; Reboul-Salze, Damien ; Munos, Remi ; Meziou, Asma ; Gobet, Emmanuel ; Dossal, Charles ; Bergeret, Florent. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:8:y:2006:i:4:d:10.1007_s11009-006-0427-8. Full description at Econpapers || Download paper | 29 |
5 | 2010 | Risk Processes with Non-stationary Hawkes Claims Arrivals. (2010). Stabile, Gabriele ; Torrisi, Giovanni Luca. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:12:y:2010:i:3:d:10.1007_s11009-008-9110-6. Full description at Econpapers || Download paper | 29 |
6 | 2014 | An Insurance Risk Model with Parisian Implementation Delays. (2014). Landriault, David ; Zhou, Xiaowen ; Renaud, Jean-Franois. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:16:y:2014:i:3:d:10.1007_s11009-012-9317-4. Full description at Econpapers || Download paper | 26 |
7 | 2011 | Tail Risk of Multivariate Regular Variation. (2011). Joe, Harry ; Li, Haijun. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:13:y:2011:i:4:d:10.1007_s11009-010-9183-x. Full description at Econpapers || Download paper | 24 |
8 | 2013 | Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate. (2013). Wang, Kaiyong ; Gao, Qingwu. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:15:y:2013:i:1:d:10.1007_s11009-011-9226-y. Full description at Econpapers || Download paper | 20 |
9 | 2009 | Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables. (2009). Kortschak, Dominik ; Albrecher, Hansjorg. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:3:d:10.1007_s11009-007-9053-3. Full description at Econpapers || Download paper | 19 |
10 | 2006 | Passage Times in Fluid Models with Application to Risk Processes. (2006). Ramaswami, V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:8:y:2006:i:4:d:10.1007_s11009-006-0426-9. Full description at Econpapers || Download paper | 18 |
11 | 2008 | An Efficient Algorithm for Rare-event Probability Estimation, Combinatorial Optimization, and Counting. (2008). Botev, Zdravko I ; Kroese, Dirk P. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:10:y:2008:i:4:d:10.1007_s11009-008-9073-7. Full description at Econpapers || Download paper | 17 |
12 | 2012 | Drawdowns and the Speed of Market Crash. (2012). Zhang, Hongzhong ; Hadjiliadis, Olympia. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:3:d:10.1007_s11009-011-9262-7. Full description at Econpapers || Download paper | 17 |
13 | 2009 | Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities. (2009). Lefevre, Claude ; Loisel, Stephane. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:3:d:10.1007_s11009-009-9123-9. Full description at Econpapers || Download paper | 17 |
14 | 2006 | The Cross-Entropy Method for Continuous Multi-Extremal Optimization. (2006). Kroese, Dirk P ; Rubinstein, Reuven Y ; Porotsky, Sergey. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:8:y:2006:i:3:d:10.1007_s11009-006-9753-0. Full description at Econpapers || Download paper | 16 |
15 | 2007 | An Algorithmic Approach to Discrete Time Non-homogeneous Backward Semi-Markov Reward Processes with an Application to Disability Insurance. (2007). Stenberg, Fredrik ; Silvestrov, Dmitrii ; Manca, Raimondo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:9:y:2007:i:4:d:10.1007_s11009-006-9012-4. Full description at Econpapers || Download paper | 15 |
16 | 2007 | Statistical Process Control using Shewhart Control Charts with Supplementary Runs Rules. (2007). Koutras, M V ; Maravelakis, P E ; Bersimis, S. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:9:y:2007:i:2:d:10.1007_s11009-007-9016-8. Full description at Econpapers || Download paper | 14 |
17 | 2004 | Numerical Treatment of Homogeneous Semi-Markov Processes in Transient Caseâa Straightforward Approach. (2004). Corradi, Gianfranco ; Manca, Raimondo ; Janssen, Jacques. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:6:y:2004:i:2:d:10.1023_b:mcap.0000017715.28371.85. Full description at Econpapers || Download paper | 14 |
18 | 2011 | Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach. (2011). Vernic, Raluca. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:13:y:2011:i:1:d:10.1007_s11009-009-9131-9. Full description at Econpapers || Download paper | 14 |
19 | 2013 | Bayesian Inference for Hawkes Processes. (2013). Rasmussen, Jakob Gulddahl. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:15:y:2013:i:3:d:10.1007_s11009-011-9272-5. Full description at Econpapers || Download paper | 13 |
20 | 2016 | Background Risk Models and Stepwise Portfolio Construction. (2016). Asimit, Alexandru V ; Zitikis, Ricardas ; Vernic, Raluca. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:18:y:2016:i:3:d:10.1007_s11009-015-9458-3. Full description at Econpapers || Download paper | 13 |
21 | 2012 | Reliability Measures of Semi-Markov Systems with General State Space. (2012). Limnios, Nikolaos. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:4:d:10.1007_s11009-011-9211-5. Full description at Econpapers || Download paper | 13 |
22 | 2010 | Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models. (2010). Damico, Guglielmo ; Manca, Raimondo ; Janssen, Jacques. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:12:y:2010:i:2:d:10.1007_s11009-009-9142-6. Full description at Econpapers || Download paper | 13 |
23 | 2012 | A Double-ended Queue with Catastrophes and Repairs, and a Jump-diffusion Approximation. (2012). Crescenzo, Antonio ; Nobile, Amelia G ; Kumar, Balasubramanian Krishna ; Giorno, Virginia. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:4:d:10.1007_s11009-011-9214-2. Full description at Econpapers || Download paper | 12 |
24 | 2016 | A Functional Central Limit Theorem for a Markov-Modulated Infinite-Server Queue. (2016). Anderson, D ; Turck, K ; Thorsdottir, H ; Mandjes, M ; Blom, J. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:18:y:2016:i:1:d:10.1007_s11009-014-9405-8. Full description at Econpapers || Download paper | 12 |
25 | 2010 | The Perturbed Compound Poisson Risk Process with Investment and Debit Interest. (2010). Yin, Chuancun ; Wang, Chunwei. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:12:y:2010:i:3:d:10.1007_s11009-008-9109-z. Full description at Econpapers || Download paper | 11 |
26 | 2009 | Robust Optimal Portfolio Choice Under Markovian Regime-switching Model. (2009). Siu, Tak Kuen ; Elliott, Robert J. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:2:d:10.1007_s11009-008-9085-3. Full description at Econpapers || Download paper | 11 |
27 | 2003 | Asymptotics of a Boundary Crossing Probability of a Brownian Bridge with General Trend. (2003). Bischoff, Wolfgang ; Husler, Jurg ; Hashorva, Enkelejd ; Miller, Frank. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:5:y:2003:i:3:d:10.1023_a:1026242019110. Full description at Econpapers || Download paper | 11 |
28 | 2008 | A Factorisation of Diffusion Measure and Finite Sample Path Constructions. (2008). Beskos, Alexandros ; Roberts, Gareth O ; Papaspiliopoulos, Omiros. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:10:y:2008:i:1:d:10.1007_s11009-007-9060-4. Full description at Econpapers || Download paper | 11 |
29 | 2015 | Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives. (2015). Bujok, K ; Reisinger, C ; Hambly, B M. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:17:y:2015:i:3:d:10.1007_s11009-013-9380-5. Full description at Econpapers || Download paper | 11 |
30 | 2010 | Drawdowns and Rallies in a Finite Time-horizon. (2010). Zhang, Hongzhong ; Hadjiliadis, Olympia. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:12:y:2010:i:2:d:10.1007_s11009-009-9139-1. Full description at Econpapers || Download paper | 11 |
31 | 2016 | On the Laplace Transform of the Lognormal Distribution. (2016). Asmussen, Soren ; Rojas-Nandayapa, Leonardo ; Jensen, Jens Ledet. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:18:y:2016:i:2:d:10.1007_s11009-014-9430-7. Full description at Econpapers || Download paper | 11 |
32 | 2009 | Bayesian Copulae Distributions, with Application to Operational Risk Management. (2009). Dalla Valle, Luciana. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:1:d:10.1007_s11009-007-9067-x. Full description at Econpapers || Download paper | 10 |
33 | 2011 | Measures of Component Importance in Nonrepairable and Repairable Multistate Strongly Coherent Systems. (2011). Natvig, Bent. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:13:y:2011:i:3:d:10.1007_s11009-010-9170-2. Full description at Econpapers || Download paper | 10 |
34 | 2005 | Estimation in Stationary Markov Renewal Processes, with Application to Earthquake Forecasting in Turkey. (2005). Alvarez, Enrique E. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:7:y:2005:i:1:d:10.1007_s11009-005-6658-2. Full description at Econpapers || Download paper | 10 |
35 | 1999 | Langevin-Type Models II: Self-Targeting Candidates for MCMC Algorithms*. (1999). Stramer, O ; Tweedie, R L. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:1:y:1999:i:3:d:10.1023_a:1010090512027. Full description at Econpapers || Download paper | 10 |
36 | 2008 | Exact Simulation of IG-OU Processes. (2008). Zhang, Shibin. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:10:y:2008:i:3:d:10.1007_s11009-007-9056-0. Full description at Econpapers || Download paper | 10 |
37 | 2009 | Fourier Inversion Formulas in Option Pricing and Insurance. (2009). Dufresne, Daniel ; Morales, Manuel ; Garrido, Jose. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:3:d:10.1007_s11009-007-9049-z. Full description at Econpapers || Download paper | 9 |
38 | 2001 | A Monte Carlo Method for the Simulation of First Passage Times of Diffusion Processes. (2001). Giraudo, Maria Teresa ; Zucca, Cristina ; Sacerdote, Laura. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:3:y:2001:i:2:d:10.1023_a:1012261328124. Full description at Econpapers || Download paper | 9 |
39 | 2010 | Two New Mixture Models Related to the Inverse Gaussian Distribution. (2010). Kotz, Samuel ; Sanhueza, Antonio ; Leiva, Victor. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:12:y:2010:i:1:d:10.1007_s11009-008-9112-4. Full description at Econpapers || Download paper | 9 |
40 | 2011 | Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications. (2011). Casella, Bruno ; Roberts, Gareth O. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:13:y:2011:i:3:d:10.1007_s11009-009-9163-1. Full description at Econpapers || Download paper | 9 |
41 | 2002 | Langevin Diffusions and Metropolis-Hastings Algorithms. (2002). Roberts, G O ; Stramer, O. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:4:y:2002:i:4:d:10.1023_a:1023562417138. Full description at Econpapers || Download paper | 9 |
42 | 2011 | On Success Runs of Length Exceeded a Threshold. (2011). Makri, Frosso S ; Psillakis, Zaharias M. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:13:y:2011:i:2:d:10.1007_s11009-009-9147-1. Full description at Econpapers || Download paper | 9 |
43 | 2012 | Approximations and Inequalities for Moving Sums. (2012). Glaz, Joseph ; Wang, Xiao ; Naus, Joseph. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:3:d:10.1007_s11009-011-9251-x. Full description at Econpapers || Download paper | 9 |
44 | 2007 | Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries. (2007). Wang, Liqun ; Potzelberger, Klaus. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:9:y:2007:i:1:d:10.1007_s11009-006-9002-6. Full description at Econpapers || Download paper | 8 |
45 | 1999 | Langevin-Type Models I: Diffusions with Given Stationary Distributions and their Discretizations*. (1999). Stramer, O ; Tweedie, R L. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:1:y:1999:i:3:d:10.1023_a:1010086427957. Full description at Econpapers || Download paper | 8 |
46 | 2000 | Diffusion Processes Associated with Nonlinear Evolution Equations for Signed Measures. (2000). Jourdain, B. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:2:y:2000:i:1:d:10.1023_a:1010059302049. Full description at Econpapers || Download paper | 8 |
47 | 2006 | Approximate Simulation of Hawkes Processes. (2006). Moller, Jesper ; Rasmussen, Jakob G. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:8:y:2006:i:1:d:10.1007_s11009-006-7288-z. Full description at Econpapers || Download paper | 8 |
48 | 2012 | Global Dependence Stochastic Orders. (2012). Shaked, Moshe ; Suarez-Llorens, Alfonso ; Sordo, Miguel A. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:3:d:10.1007_s11009-011-9253-8. Full description at Econpapers || Download paper | 8 |
49 | 2005 | Maximum Likelihood Estimation for an Observation Driven Model for Poisson Counts. (2005). Davis, Richard A ; Streett, Sarah B. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:7:y:2005:i:2:d:10.1007_s11009-005-1480-4. Full description at Econpapers || Download paper | 8 |
50 | 2018 | Expectiles, Omega Ratios and Stochastic Ordering. (2018). Bellini, Fabio ; Muller, Alfred ; Klar, Bernhard. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:3:d:10.1007_s11009-016-9527-2. Full description at Econpapers || Download paper | 8 |
# | Year | Title | Cited |
---|---|---|---|
1 | 1999 | The Cross-Entropy Method for Combinatorial and Continuous Optimization. (1999). Rubinstein, Reuven . In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:1:y:1999:i:2:d:10.1023_a:1010091220143. Full description at Econpapers || Download paper | 15 |
2 | 2009 | Random Survival Forests Models for SME Credit Risk Measurement. (2009). Fantazzini, Dean ; Figini, Silvia. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:1:d:10.1007_s11009-008-9078-2. Full description at Econpapers || Download paper | 15 |
3 | 2010 | Risk Processes with Non-stationary Hawkes Claims Arrivals. (2010). Stabile, Gabriele ; Torrisi, Giovanni Luca. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:12:y:2010:i:3:d:10.1007_s11009-008-9110-6. Full description at Econpapers || Download paper | 9 |
4 | 2014 | An Insurance Risk Model with Parisian Implementation Delays. (2014). Landriault, David ; Zhou, Xiaowen ; Renaud, Jean-Franois. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:16:y:2014:i:3:d:10.1007_s11009-012-9317-4. Full description at Econpapers || Download paper | 9 |
5 | 2013 | Bayesian Inference for Hawkes Processes. (2013). Rasmussen, Jakob Gulddahl. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:15:y:2013:i:3:d:10.1007_s11009-011-9272-5. Full description at Econpapers || Download paper | 9 |
6 | 2016 | On the Laplace Transform of the Lognormal Distribution. (2016). Asmussen, Soren ; Rojas-Nandayapa, Leonardo ; Jensen, Jens Ledet. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:18:y:2016:i:2:d:10.1007_s11009-014-9430-7. Full description at Econpapers || Download paper | 8 |
7 | 2013 | Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate. (2013). Wang, Kaiyong ; Gao, Qingwu. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:15:y:2013:i:1:d:10.1007_s11009-011-9226-y. Full description at Econpapers || Download paper | 7 |
8 | 2009 | Properties of Distortion Risk Measures. (2009). Balbas, Alejandro ; Mayoral, Silvia ; Garrido, Jose. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:11:y:2009:i:3:d:10.1007_s11009-008-9089-z. Full description at Econpapers || Download paper | 7 |
9 | 2011 | Tail Risk of Multivariate Regular Variation. (2011). Joe, Harry ; Li, Haijun. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:13:y:2011:i:4:d:10.1007_s11009-010-9183-x. Full description at Econpapers || Download paper | 6 |
10 | 2018 | Modeling Zero Inflation in Count Data Time Series with Bounded Support. (2018). Moller, Tobias A ; Sirchenko, Andrei ; Kim, Hee-Young ; Weiss, Christian H. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:2:d:10.1007_s11009-017-9577-0. Full description at Econpapers || Download paper | 6 |
11 | 2018 | Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures. (2018). Mulinacci, Sabrina. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:1:d:10.1007_s11009-016-9539-y. Full description at Econpapers || Download paper | 6 |
12 | 2018 | Expectiles, Omega Ratios and Stochastic Ordering. (2018). Bellini, Fabio ; Muller, Alfred ; Klar, Bernhard. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:3:d:10.1007_s11009-016-9527-2. Full description at Econpapers || Download paper | 6 |
13 | 2016 | Background Risk Models and Stepwise Portfolio Construction. (2016). Asimit, Alexandru V ; Zitikis, Ricardas ; Vernic, Raluca. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:18:y:2016:i:3:d:10.1007_s11009-015-9458-3. Full description at Econpapers || Download paper | 6 |
14 | 2017 | The Log-Linear Birnbaum-Saunders Power Model. (2017). Martinez-Florez, Guillermo ; Gomez, Hector W ; Bolfarine, Heleno. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:19:y:2017:i:3:d:10.1007_s11009-016-9526-3. Full description at Econpapers || Download paper | 6 |
15 | 2015 | Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives. (2015). Bujok, K ; Reisinger, C ; Hambly, B M. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:17:y:2015:i:3:d:10.1007_s11009-013-9380-5. Full description at Econpapers || Download paper | 5 |
16 | 2018 | Telegraph Process with Elastic Boundary at the Origin. (2018). di Crescenzo, Antonio ; Zacks, Shelemyahu ; Martinucci, Barbara. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:1:d:10.1007_s11009-017-9549-4. Full description at Econpapers || Download paper | 5 |
17 | 2006 | Passage Times in Fluid Models with Application to Risk Processes. (2006). Ramaswami, V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:8:y:2006:i:4:d:10.1007_s11009-006-0426-9. Full description at Econpapers || Download paper | 5 |
18 | 2012 | Reliability Measures of Semi-Markov Systems with General State Space. (2012). Limnios, Nikolaos. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:4:d:10.1007_s11009-011-9211-5. Full description at Econpapers || Download paper | 5 |
19 | 2016 | A Functional Central Limit Theorem for a Markov-Modulated Infinite-Server Queue. (2016). Anderson, D ; Turck, K ; Thorsdottir, H ; Mandjes, M ; Blom, J. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:18:y:2016:i:1:d:10.1007_s11009-014-9405-8. Full description at Econpapers || Download paper | 5 |
20 | 2022 | On the Time-Dependent Delta-Shock Model Governed by the Generalized PóLya Process. (2022). Finkelstein, Maxim ; Hazra, Nil Kamal ; Goyal, Dheeraj. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09880-8. Full description at Econpapers || Download paper | 4 |
21 | 2012 | A Double-ended Queue with Catastrophes and Repairs, and a Jump-diffusion Approximation. (2012). Crescenzo, Antonio ; Nobile, Amelia G ; Kumar, Balasubramanian Krishna ; Giorno, Virginia. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:4:d:10.1007_s11009-011-9214-2. Full description at Econpapers || Download paper | 4 |
22 | 2010 | Two New Mixture Models Related to the Inverse Gaussian Distribution. (2010). Kotz, Samuel ; Sanhueza, Antonio ; Leiva, Victor. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:12:y:2010:i:1:d:10.1007_s11009-008-9112-4. Full description at Econpapers || Download paper | 4 |
23 | 2013 | On the Generalized Telegraph Process with Deterministic Jumps. (2013). di Crescenzo, Antonio ; Martinucci, Barbara. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:15:y:2013:i:1:d:10.1007_s11009-011-9235-x. Full description at Econpapers || Download paper | 4 |
24 | 2018 | Comparisons Between Largest Order Statistics from Multiple-outlier Models with Dependence. (2018). Navarro, Jorge ; del Aguila, Yolanda ; Torrado, Nuria. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:1:d:10.1007_s11009-017-9562-7. Full description at Econpapers || Download paper | 4 |
25 | 2017 | Compound Geometric Distribution of Order k. (2017). Koutras, Markos V ; Eryilmaz, Serkan. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:19:y:2017:i:2:d:10.1007_s11009-016-9482-y. Full description at Econpapers || Download paper | 4 |
26 | 2018 | Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation. (2018). Kebaier, Ahmed ; Lelong, Jerome. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:2:d:10.1007_s11009-017-9579-y. Full description at Econpapers || Download paper | 4 |
27 | 2015 | Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims. (2015). Li, Xiaohu ; Zhuang, Jinsen ; Wu, Jintang. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:17:y:2015:i:2:d:10.1007_s11009-013-9375-2. Full description at Econpapers || Download paper | 4 |
28 | 2018 | Stability in Distribution of a Stochastic Competitive Lotka-Volterra System with S-type Distributed Time Delays. (2018). Wang, Sheng ; Hu, Guixin. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:4:d:10.1007_s11009-018-9615-6. Full description at Econpapers || Download paper | 4 |
29 | 2022 | Assessment of Shock Models for a Particular Class of Intershock Time Distributions. (2022). Kus, Coskun ; Eryilmaz, Serkan ; Tuncel, Altan. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-021-09847-9. Full description at Econpapers || Download paper | 4 |
30 | 2022 | Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications. (2022). Bachouch, Achref ; Pham, Huyen ; Langrene, Nicolas ; Hure, Come. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-019-09767-9. Full description at Econpapers || Download paper | 4 |
31 | 2006 | The Cross-Entropy Method for Continuous Multi-Extremal Optimization. (2006). Kroese, Dirk P ; Rubinstein, Reuven Y ; Porotsky, Sergey. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:8:y:2006:i:3:d:10.1007_s11009-006-9753-0. Full description at Econpapers || Download paper | 4 |
32 | 2020 | On Nodes of Small Degrees and Degree Profile in Preferential Dynamic Attachment Circuits. (2020). Zhang, Panpan ; Mahmoud, Hosam M. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:2:d:10.1007_s11009-019-09726-4. Full description at Econpapers || Download paper | 4 |
33 | 2016 | Vector-Valued Tail Value-at-Risk and Capital Allocation. (2016). Cossette, Helene ; Mesfioui, Mhamed ; Marceau, Etienne ; Mailhot, Melina. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:18:y:2016:i:3:d:10.1007_s11009-015-9444-9. Full description at Econpapers || Download paper | 3 |
34 | 2008 | Exact Simulation of IG-OU Processes. (2008). Zhang, Shibin. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:10:y:2008:i:3:d:10.1007_s11009-007-9056-0. Full description at Econpapers || Download paper | 3 |
35 | 2022 | General M-Estimator Processes and their m out of n Bootstrap with Functional Nuisance Parameters. (2022). Ferfache, Anouar Abdeldjaoued ; Elhattab, Issam ; Bouzebda, Salim. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09965-y. Full description at Econpapers || Download paper | 3 |
36 | 2018 | Variance Allocation and Shapley Value. (2018). Scarsini, Marco ; Vaccari, Stefano ; Colini-Baldeschi, Riccardo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:20:y:2018:i:3:d:10.1007_s11009-016-9540-5. Full description at Econpapers || Download paper | 3 |
37 | 2012 | Estimation of the Expected Number of Earthquake Occurrences Based on Semi-Markov Models. (2012). Votsi, Irene ; Papadimitriou, Eleftheria ; Tsaklidis, George ; Limnios, Nikolaos. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:3:d:10.1007_s11009-011-9257-4. Full description at Econpapers || Download paper | 3 |
38 | 2004 | Numerical Treatment of Homogeneous Semi-Markov Processes in Transient Caseâa Straightforward Approach. (2004). Corradi, Gianfranco ; Manca, Raimondo ; Janssen, Jacques. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:6:y:2004:i:2:d:10.1023_b:mcap.0000017715.28371.85. Full description at Econpapers || Download paper | 3 |
39 | 2020 | Modelling Net Carrying Amount of Shares for Market Consistent Valuation of Life Insurance Liabilities. (2020). Thérond, Pierre-Emmanuel ; Pierre-E. Therond, ; Salhi, Yahia ; Dorobantu, Diana. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:2:d:10.1007_s11009-019-09729-1. Full description at Econpapers || Download paper | 3 |
40 | 2008 | An Efficient Algorithm for Rare-event Probability Estimation, Combinatorial Optimization, and Counting. (2008). Botev, Zdravko I ; Kroese, Dirk P. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:10:y:2008:i:4:d:10.1007_s11009-008-9073-7. Full description at Econpapers || Download paper | 3 |
41 | 2019 | Calibration for Weak Variance-Alpha-Gamma Processes. (2019). Buchmann, Boris ; Madan, Dilip B ; Lu, Kevin W. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:21:y:2019:i:4:d:10.1007_s11009-018-9655-y. Full description at Econpapers || Download paper | 3 |
42 | 2020 | Diffusion Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims. (2020). Cheng, Zailei ; Seol, Youngsoo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:2:d:10.1007_s11009-019-09722-8. Full description at Econpapers || Download paper | 3 |
43 | 2014 | Multivariate Generalized MarshallâOlkin Distributions and Copulas. (2014). Lin, Jianhua. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:16:y:2014:i:1:d:10.1007_s11009-012-9297-4. Full description at Econpapers || Download paper | 3 |
44 | 2019 | Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth. (2019). Bezborodov, Viktor ; Mishura, Yuliya ; Persio, Luca. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:21:y:2019:i:1:d:10.1007_s11009-018-9650-3. Full description at Econpapers || Download paper | 3 |
45 | 2011 | Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications. (2011). Casella, Bruno ; Roberts, Gareth O. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:13:y:2011:i:3:d:10.1007_s11009-009-9163-1. Full description at Econpapers || Download paper | 3 |
46 | 2019 | Reliability and Survival Analysis for Drifting Markov Models: Modeling and Estimation. (2019). Barbu, Vlad Stefan ; Vergne, Nicolas. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:21:y:2019:i:4:d:10.1007_s11009-018-9682-8. Full description at Econpapers || Download paper | 3 |
47 | 2021 | Modelling of Limit Order Books by General Compound Hawkes Processes with Implementations. (2021). Swishchuk, Anatoliy. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:23:y:2021:i:1:d:10.1007_s11009-020-09803-z. Full description at Econpapers || Download paper | 3 |
48 | 2007 | Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries. (2007). Wang, Liqun ; Potzelberger, Klaus. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:9:y:2007:i:1:d:10.1007_s11009-006-9002-6. Full description at Econpapers || Download paper | 3 |
49 | 2012 | Global Dependence Stochastic Orders. (2012). Shaked, Moshe ; Suarez-Llorens, Alfonso ; Sordo, Miguel A. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:14:y:2012:i:3:d:10.1007_s11009-011-9253-8. Full description at Econpapers || Download paper | 3 |
50 | 2019 | Estimation of Inverse Lindley Distribution Using Product of Spacings Function for Hybrid Censored Data. (2019). Basu, Suparna ; Singh, Umesh. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:21:y:2019:i:4:d:10.1007_s11009-018-9676-6. Full description at Econpapers || Download paper | 3 |
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2022 | Upper bound on the rate of convergence and truncation bound for non-homogeneous birth and death processes on Z. (2022). Kovalev, I A ; Zeifman, A I ; Razumchik, R V ; Satin, Y A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:423:y:2022:i:c:s0096300322000959. Full description at Econpapers || Download paper | |
2022 | Joint Reliability Function of Coherent Systems with Shared Heterogeneous Components. (2022). Navarro, Jorge ; Asadi, Majid ; Ashrafi, Somayeh. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09867-5. Full description at Econpapers || Download paper | |
2022 | On Dependent Multi-State Semi-Coherent Systems Based on Multi-State Joint Signature. (2022). Cui, Lirong ; Balakrishnan, Narayanaswamy ; Yi, HE. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09877-3. Full description at Econpapers || Download paper | |
2022 | Threshold dynamics and density function of a stochastic epidemic model with media coverage and mean-reverting OrnsteinâUhlenbeck process. (2022). Hayat, Tasawar ; Han, Bingtao ; Jiang, Daqing ; Zhou, Baoquan. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:196:y:2022:i:c:p:15-44. Full description at Econpapers || Download paper | |
2022 | Discussion on the transient solution of single server Markovian multiple variant vacation queues with disasters. (2022). Vadivukarasi, M ; Kalidass, K. In: OPSEARCH. RePEc:spr:opsear:v:59:y:2022:i:4:d:10.1007_s12597-022-00574-4. Full description at Econpapers || Download paper | |
2022 | Exact One- and Two-Sample Likelihood Ratio Tests based on Time-Constrained Life-Tests from Exponential Distributions. (2022). So, Hon-Yiu ; Balakrishnan, Narayanaswamy ; Zhu, Xiaojun. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09907-0. Full description at Econpapers || Download paper | |
2022 | Limit theorems for a discrete-time marked Hawkes process. (2022). Wang, Haixu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:184:y:2022:i:c:s0167715222000037. Full description at Econpapers || Download paper | |
2022 | Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance. (2022). State, Radu ; Nichil, Geoffrey ; Meira, Jorge Augusto ; Lejay, Antoine ; Deaconu, Madalina ; Lesage, Laurent. In: Post-Print. RePEc:hal:journl:hal-03040090. Full description at Econpapers || Download paper | |
2022 | Hawkes Processes Framework With a Gamma Density As Excitation Function: Application to Natural Disasters for Insurance. (2022). State, Radu ; Nichil, Geoffrey ; Meira, Jorge Augusto ; Lejay, Antoine ; Deaconu, Madalina ; Lesage, Laurent. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09938-1. Full description at Econpapers || Download paper | |
2022 | Matrix Variate Two-Sided Power Distribution. (2022). Zinodiny, Shokofeh ; Nadarajah, Saralees. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-020-09845-3. Full description at Econpapers || Download paper | |
2022 | Profile of Random Exponential Recursive Trees. (2022). Mahmoud, Hosam. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-020-09831-9. Full description at Econpapers || Download paper | |
2022 | Uniform Preferential Selection Model for Generating Scale-free Networks. (2022). Anwar, Raheel ; Abid, Muhammad ; Yousuf, Muhammad Irfan. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-021-09854-w. Full description at Econpapers || Download paper | |
2022 | Directed hybrid random networks mixing preferential attachment with uniform attachment mechanisms. (2022). Zhang, Panpan ; Wang, Tiandong. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:74:y:2022:i:5:d:10.1007_s10463-022-00827-5. Full description at Econpapers || Download paper | |
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2022 | Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077. Full description at Econpapers || Download paper | |
2022 | A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (2022). Woo, Jae-Kyung ; Liu, Haibo ; Albrecher, Hansjorg. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:96-118. Full description at Econpapers || Download paper | |
2022 | A Multinomial Approximation Approach for the Finite Time Survival Probability Under the Markov-modulated Risk Model. (2022). Nie, Ciyu ; Wei, Zhenghong ; Su, Bihao ; Li, Jingchao. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09897-z. Full description at Econpapers || Download paper | |
2022 | On the Derivative Counting Processes of First- and Second-order Aggregated Semi-Markov Systems. (2022). Balakrishnan, Narayanaswamy ; Cui, Lirong ; Yi, HE. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09896-0. Full description at Econpapers || Download paper | |
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2022 | Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm. (2022). Yavuz, Fulya Gokalp ; Arslan, Olcay ; Guney, Yesim. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:191:y:2022:i:c:s0047259x2200046x. Full description at Econpapers || Download paper | |
2022 | Covid-19 impact on Cryptocurrencies market using Multivariate Time Series Models. (2022). , Jennifer ; Nitithumbundit, Thanakorn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:365-375. Full description at Econpapers || Download paper | |
2022 | Sequential Estimation of an Inverse Gaussian Mean with Known Coefficient of Variation. (2022). Joshi, Neeraj ; Bapat, Sudeep R ; Chaturvedi, Ajit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:84:y:2022:i:1:d:10.1007_s13571-021-00266-x. Full description at Econpapers || Download paper | |
2022 | A Family of Induced Distributions. (2022). Dafnis, Spiros D ; Koutras, Markos V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09887-1. Full description at Econpapers || Download paper | |
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2022 | Weak runs in sequences of binary trials. (2022). Makri, Frosso S ; Dafnis, Spiros D. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:85:y:2022:i:5:d:10.1007_s00184-021-00842-1. Full description at Econpapers || Download paper | |
2022 | Margin requirements based on a stochastic correlation model. (2022). Varadi, Kata ; Szabo, David Zoltan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1797-1820. Full description at Econpapers || Download paper | |
2022 | A note on the conditional probabilities of the telegraph process. (2022). Cinque, Fabrizio. In: Statistics & Probability Letters. RePEc:eee:stapro:v:185:y:2022:i:c:s0167715222000384. Full description at Econpapers || Download paper | |
2022 | Moments Computation for General Markov Fluid Models. (2022). Nabli, Hedi. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09903-4. Full description at Econpapers || Download paper | |
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2022 | Kac-Ornstein-Uhlenbeck Processes: Stationary Distributions and Exponential Functionals. (2022). Ratanov, Nikita. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09956-z. Full description at Econpapers || Download paper | |
2022 | Multi-Point and Multi-Interval Bounded-Covering Availability Measures for Aggregated Markovian Repairable Systems. (2022). Shen, Jingyuan ; Balakrishnan, Narayanaswamy ; Cui, Lirong ; Yi, HE. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09936-3. Full description at Econpapers || Download paper | |
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2022 | Stationary distribution, extinction and density function of a stochastic prey-predator system with general anti-predator behavior and fear effect. (2022). Jiang, Daqing ; Han, Bingtao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006683. Full description at Econpapers || Download paper |
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2022 | The Gerber-Shiu discounted penalty function: From practical perspectives. (2022). Yamazaki, Kazutoshi ; Shimizu, Yasutaka ; Kawai, Reiichiro ; He, Yue. In: Papers. RePEc:arx:papers:2203.10680. Full description at Econpapers || Download paper | |
2022 | Maximum Likelihood Estimation for a Markov-Modulated Jump-Diffusion Model. (2022). Reynoso, Bor ; Baltazar-Larios, Fernando ; Eslava, Laura. In: Papers. RePEc:arx:papers:2211.17220. Full description at Econpapers || Download paper | |
2022 | A Stackelberg reinsurance-investment game under $\alpha$-maxmin mean-variance criterion and stochastic volatility. (2022). Song, Yilun ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2212.14327. Full description at Econpapers || Download paper | |
2022 | Derive power law distribution with maximum Deng entropy. (2022). Deng, Yong ; Yu, Zihan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:165:y:2022:i:p2:s0960077922010566. Full description at Econpapers || Download paper | |
2022 | Stackelberg differential game for insurance under model ambiguity. (2022). Zou, Bin ; Young, Virginia R ; Li, Dongchen ; Cao, Jingyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:128-145. Full description at Econpapers || Download paper | |
2022 | Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2022). Woo, Jae-Kyung ; Peralta, Oscar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:364-389. Full description at Econpapers || Download paper | |
2022 | Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory. (2022). Wang, Ruodu ; Mao, Tiantian. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:103:y:2022:i:c:s0304406822000921. Full description at Econpapers || Download paper | |
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2022 | Langevin algorithms for Markovian Neural Networks and Deep Stochastic control. (2022). Pages, Gilles ; Bras, Pierre. In: Working Papers. RePEc:hal:wpaper:hal-03980632. Full description at Econpapers || Download paper | |
2022 | Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes. (2022). Gapeev, Pavel V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09917-y. Full description at Econpapers || Download paper | |
2022 | Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions. (2022). Kort, Peter ; Lavrutich, Maria N ; Gapeev, Pavel V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09959-w. Full description at Econpapers || Download paper |
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2021 | First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167. Full description at Econpapers || Download paper | |
2021 | Merton Investment Problems in Finance and Insurance for the Hawkes-based Models. (2021). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:2104.02694. Full description at Econpapers || Download paper | |
2021 | General Compound Hawkes Processes for Mid-Price Prediction. (2021). Delise, Timothy ; Sjogren, Myles. In: Papers. RePEc:arx:papers:2110.07075. Full description at Econpapers || Download paper | |
2021 | Computation of survival signatures for multi-state consecutive-k systems. (2021). Balakrishnan, Narayanaswamy ; Cui, Lirong ; Yi, HE. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:208:y:2021:i:c:s0951832021000028. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Diagonal sections of copulas, multivariate conditional hazard rates and distributions of order statistics for minimally stable lifetimes. (2021). Fabio, Spizzichino ; Giovanna, Nappo ; Rachele, Foschi. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:394-423:n:16. Full description at Econpapers || Download paper |
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2020 | Pandemic risk management: resources contingency planning and allocation. (2020). Chong, Wing Fung ; Chen, Xiaowei ; Zhang, Linfeng ; Feng, Runhuan. In: Papers. RePEc:arx:papers:2012.03200. Full description at Econpapers || Download paper | |
2020 | SCARE: When Economics Meets Epidemiology with COVID-19. (2020). Proost, Stef ; Picard, Nathalie ; de Palma, Andre. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8573. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2020 | Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance. (2020). Lesage, Laurent ; State, Radu ; Nichil, Geoffrey ; Meira, Jorge ; Lejay, Antoine ; Deaconu, Madalina. In: Working Papers. RePEc:hal:wpaper:hal-03040090. Full description at Econpapers || Download paper |
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2019 | . Full description at Econpapers || Download paper | |
2019 | Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes. (2019). Swishchuk, Anatoliy ; He, Qiyue. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:110-:d:282628. Full description at Econpapers || Download paper |