Found 18 Documents (Results 1–18)
Comparisons between largest order statistics from multiple-outlier models with dependence. (English) Zbl 1458.62102
Efficient simulation for dependent rare events with applications to extremes. (English) Zbl 1385.65014
Reviewer: Jaromír Antoch (Praha)
A recursive algorithm for selling at the ultimate maximum in regime-switching models. (English) Zbl 1387.93188
Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims. (English) Zbl 1384.62301
Asymptotics for the Euler-discretized Hull-White stochastic volatility model. (English) Zbl 1390.60258
Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims. (English) Zbl 1407.91136
Tensor approximation of generalized correlated diffusions and functional copula operators. (English) Zbl 1390.60265
Archimedean-based Marshall-Olkin distributions and related dependence structures. (English) Zbl 1392.62047
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. (English) Zbl 1409.91232
Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure. (English) Zbl 1392.62260
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