SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes
15 references·1 citing·37 second hop
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes (2017)Minimax optimality in robust detection of…Early detection of a change in Poisson rate after accounting for population size effects (2011)Early detection of a change i…Understanding, modelling and managing longevity risk: key issues and main challenges (2010)Understanding, modelling and …Ruin Probabilities (2010)Ruin ProbabilitiesOn Stochastic Models and Optimal Methods in the Quickest Detection Problems (2009)On Stochastic Models and Opti…Quickest Detection (2008)Quickest DetectionOptimality of the CUSUM procedure in continuous time (2004)Optimality of the CUSUM proce…On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum (2004)On Exit and Ergodicity of the…Solving the Poisson Disorder Problem (2002)Solving the Poisson Disorder …Quickest detection with exponential penalty for delay (1998)Quickest detection with expon…The probability of ruin in finite time with discrete claim size distribution (1997)The probability of ruin in fi…Минимаксная оптимальность метода кумулятивных сумм (CUSUM) в случае непрерывного времени (1996)Минимаксная оптимальность мет…A note on Ritov's Bayes approach to the minimax property of the cusum procedure (1996)A note on Ritov's Bayes appro…Optimal Stopping Times for Detecting Changes in Distributions (1986)Optimal Stopping Times for De…Procedures for Reacting to a Change in Distribution (1971)Procedures for Reacting to a …CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESDo actuaries believe in longevity deceleration? (2017)Do actuaries believe in longe…Limit Theorems for Stochastic Processes (1987)Handbook of Brownian Motion — Facts and Formulae (1996)Stochastic Integration and Differential Equations (2005)Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes (2011)Optimal dividend distribution under Markov regime switching (2012)Optimal dividend problem with a terminal value for spectrally positive Lévy processes (2013)Economic Control of Quality of Manufactured Product. (1932)Detecting changes in signals and systems—A survey (1988)Selective review of offline change point detection methods (2019)Stochastic Theory of a Risk Business (1970)An introduction to mathematical risk theory (1979)Insurance Risk Models (1994)Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation (2004)On finite-time ruin probabilities for classical risk models (2007)Notes on discrete compound Poisson model with applications to risk theory (2014)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Modeling and Forecasting U. S. Mortality (1992)A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)Modeling the Forward Surface of Mortality (2012)Pricingq-forward contracts: an evaluation of estimation window and pricing method under different mortality models (2014)Basis risk in static versus dynamic longevity-risk hedging (2016)Stochastic Differential Equations: An Introduction with Applications. (1987)Brownian Motion and Stochastic Calculus (2007)Social Network Change Detection (2008)A numerical approach to performance analysis of quickest change-point detection procedures (2011)Sequential Changepoint Detection in Quality Control and Dynamical Systems (1995)The Use of Control Charts in Health-Care and Public-Health Surveillance (2006)changepoint : An R Package for Changepoint Analysis (2014)The standard Poisson disorder problem revisited (2005)Compound Poisson Disorder Problem (2006)The Wiener disorder problem with finite horizon (2006)Randomly weighted sums of subexponential random variables with application to capital allocation (2014)Exit identities for Lévy processes observed at Poisson arrival times (2016)Quantifying Distributional Model Risk via Optimal Transport (2019)State-of-the-Art in Sequential Change-Point Detection (2011)Change-Point Detection for High-Dimensional Time Series With Missing Data (2012)Sequential (Quickest) Change Detection: Classical Results and New Directions (2021)
this work references cited by second hop

References

  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1971Procedures for Reacting to a Change in Distribution1,355 cited
  • 1986Optimal Stopping Times for Detecting Changes in Distributions1,022 cited
  • 2010Ruin Probabilities572 cited
  • 2008Quickest Detection320 cited
  • 2004On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum137 cited
  • 2010Understanding, modelling and managing longevity risk: key issues and main challenges122 cited
  • 2002Solving the Poisson Disorder Problem116 cited
  • 1997The probability of ruin in finite time with discrete claim size distribution110 cited
  • 2004Optimality of the CUSUM procedure in continuous time90 cited
  • 1998Quickest detection with exponential penalty for delay75 cited
  • 1996A note on Ritov's Bayes approach to the minimax property of the cusum procedure73 cited
  • 2011Early detection of a change in Poisson rate after accounting for population size effects66 cited
  • 2009On Stochastic Models and Optimal Methods in the Quickest Detection Problems28 cited
  • 1996Минимаксная оптимальность метода кумулятивных сумм (CUSUM) в случае непрерывного времени25 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2017Do actuaries believe in longevity deceleration?15 cited