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Risk Model of Good and Bad Periods
10 references·0 citing·38 second hop
Risk Model of Good and Bad Periods (2005)Risk Model of Good and Bad PeriodsSelf‐Similar Processes (2004)Self‐Similar ProcessesAsymptotic ruin probabilities for risk processes with dependent increments (2001)Asymptotic ruin probabilities…On the ruin probabilities in a general economic environment (1999)On the ruin probabilities in …Extremes of a certain class of Gaussian processes (1999)Extremes of a certain class o…An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)An Elementary Approach to a G…Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models (1998)Heavy Tails and Long Range De…A storage model with self-similar input (1994)A storage model with self-sim…Applied Probability and Queues (1987)Applied Probability and QueuesRuin theory in the linear model (1982)Ruin theory in the linear mod…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Experience Rating and Credibility (1967)A Stochastic Investment Model for Actuarial Use (1984)Ruin theory with stochastic return on investments (1997)The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance (2005)Approximation of the tail probability of randomly weighted sums and applications (2008)Ruin models with investment income (2008)Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insurance and Finance (2001)The Typical Spectral Shape of an Economic Variable (1966)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Continuous Martingales and Brownian Motion (1999)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Limit Theorems for Stochastic Processes (2003)Stochastic integration with respect to fractional brownian motion (2003)Long Range Dependence (2004)On the tails of waiting-time distributions (1975)The Impact of Autocorrelation on Queuing Systems (1993)Heavy tail modeling and teletraffic data: special invited paper (1997)Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion? (2002)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)Empirical Mode Decomposition, fractional Gaussian noise and Hurst exponent estimation (2006)Functional quantization rate and mean regularity of processes with an application to Lévy processes (2008)Generalized Hermite processes, discrete chaos and limit theorems (2014)Wavelet analysis of long-range-dependent traffic (1998)A multifractal wavelet model with application to network traffic (1999)A wavelet-based joint estimator of the parameters of long-range dependence (1999)Rough descriptions of ruin for a general class of surplus processes (1998)MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE (2003)Ruin probability for Gaussian integrated processes (2002)Extremes of Gaussian processes over an infinite horizon (2004)On the ruin probability for physical fractional Brownian motion (2004)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1987Applied Probability and Queues2,704 cited
  • 1994A storage model with self-similar input848 cited
  • 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
  • 1998Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models176 cited
  • 1999Extremes of a certain class of Gaussian processes146 cited
  • 2004Self‐Similar Processes117 cited
  • 1999On the ruin probabilities in a general economic environment112 cited
  • 1982Ruin theory in the linear model79 cited
  • 2001Asymptotic ruin probabilities for risk processes with dependent increments54 cited

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