Gennady Samorodnitsky
Gennady Samorodnitsky
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Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance: Stochastic Modeling
G Samorodnitsky, MS Taqqu
Routledge, 2017
Extreme value theory as a risk management tool
P Embrechts, SI Resnick, G Samorodnitsky
North American Actuarial Journal 3 (2), 30-41, 1999
Subexponentiality of the product of independent random variables
DBH Cline, G Samorodnitsky
Stochastic Processes and their Applications 49 (1), 75-98, 1994
Long range dependence
G Samorodnitsky
now publishers Inc, 2007
Heavy tails and long range dependence in on/off processes and associated fluid models
D Heath, S Resnick, G Samorodnitsky
Mathematics of operations research 23 (1), 145-165, 1998
Subadditivity re-examined: the case for Value-at-Risk
J Danielsson, BN Jorgensen, S Mandira, G Samorodnitsky, CG De Vries
Cornell University Operations Research and Industrial Engineering, 2005
Fat tails, VaR and subadditivity
J Daníelsson, BN Jorgensen, G Samorodnitsky, M Sarma, CG de Vries
Journal of econometrics 172 (2), 283-291, 2013
The supremum of a negative drift random walk with dependent heavy-tailed steps
T Mikosch, G Samorodnitsky
The Annals of Applied Probability 10 (3), 1025-1064, 2000
Living on the edge
P Embrechts, S Resnick, G Samorodnitsky
Risk 11 (1), 96-100, 1998
Ruin theory revisited: stochastic models for operational risk
P Embrechts, G Samorodnitsky
Cornell University Operations Research and Industrial Engineering, 2002
Functional large deviations for multivariate regularly varying random walks
H Hult, F Lindskog, T Mikosch, G Samorodnitsky
The Annals of Applied Probability 15 (4), 2651-2680, 2005
Patterns of buffer overflow in a class of queues with long memory in the input stream
D Heath, S Resnick, G Samorodnitsky
The Annals of Applied Probability, 1021-1057, 1997
Stochastic processes and long range dependence
G Samorodnitsky
Springer, 2016
Multivariate extremes, aggregation and risk estimation
HA Hauksson, M Dacorogna, T Domenig, U Mller, G Samorodnitsky
Taylor & Francis Group 1 (1), 79-95, 2001
Distributions of subadditive functionals of sample paths of infinitely divisible processes
J Rosinski, G Samorodnitsky
The Annals of Probability, 996-1014, 1993
Modeling teletraffic arrivals by a Poisson cluster process
G Faÿ, B González-Arévalo, T Mikosch, G Samorodnitsky
Queueing Systems 54 (2), 121-140, 2006
Activity periods of an infinite server queue and performance of certain heavy tailed fluid queues
S Resnick, G Samorodnitsky
Queueing Systems 33 (1), 43-71, 1999
Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes
G Samorodnitsky
The Annals of Probability 32 (2), 1438-1468, 2004
Variable heavy tails in internet traffic
F Hernandez-Campos, JS Marron, G Samorodnitsky, FD Smith
Performance Evaluation 58 (2-3), 261-284, 2004
Chapman and Hall
DR Cox, MAA Cox, M Scaling
Theoretical Statistics, 1974
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