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Jeffrey F Collamore
Jeffrey F Collamore
Professor of Mathematics, University of Copenhagen
Verified email at math.ku.dk - Homepage
Title
Cited by
Cited by
Year
Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
JF Collamore
The Annals of Applied Probability 12 (1), 382-421, 2002
752002
Hitting probabilities and large deviations
JF Collamore
The Annals of Probability, 2065-2078, 1996
721996
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
JF Collamore
The Annals of Applied Probability 19 (4), 1404-1458, 2009
492009
First passage times of general sequences of random vectors: a large deviations approach
JF Collamore
Stochastic Processes and their Applications 78 (1), 97-130, 1998
421998
Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
D Buraczewski, JF Collamore, E Damek, J Zienkiewicz
282016
Tail estimates for stochastic fixed point equations via nonlinear renewal theory
JF Collamore, AN Vidyashankar
Stochastic Processes and their Applications 123 (9), 3378-3429, 2013
272013
Rare event simulation for processes generated via stochastic fixed point equations
JF Collamore, G Diao, AN Vidyashankar
212014
Large excursions and conditioned laws for recursive sequences generated by random matrices
JF Collamore, S Mentemeier
The Annals of Probability 46 (4), 2064-2120, 2018
132018
Exact asymptotics for a large deviations problem for the GI/G/1 queue
S Asmussen, JF Collamore
Markov Process.Related Fields 5 (4), 451-476, 1999
91999
Large deviation tail estimates and related limit laws for stochastic fixed point equations
JF Collamore, AN Vidyashankar
Random Matrices and Iterated Random Functions: Münster, October 2011, 91-117, 2013
62013
Large deviation techniques for the study of the hitting probabilities of rare sets
JF Collamore
The University of Wisconsin-Madison, 1996
41996
Rare event simulation for stochastic fixed point equations related to the smoothing transformation
JF Collamore, AN Vidyashankar, J Xu
2013 Winter Simulations Conference (WSC), 555-563, 2013
32013
Rare Event Analysis for Minimum Hellinger Distance Estimators via Large Deviation Theory
AN Vidyashankar, JF Collamore
Entropy 23 (4), 386, 2021
12021
Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
JF Collamore, A Höing
Finance and Stochastics 11 (3), 299-322, 2007
12007
Sharp Probability Tail Estimates for Portfolio Credit Risk
JF Collamore, H de Silva, AN Vidyashankar
Risks 10 (12), 239, 2022
2022
An importance sampling algorithm for estimating extremes of perpetuity sequences
JF Collamore
AIP Conference Proceedings 1479 (1), 1966-1969, 2012
2012
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Articles 1–16