Sharp Probability Tail Estimates for Portfolio Credit Risk
Collamore, Jeffrey F., de Silva, Hasitha, Vidyashankar, Anand N.
Published in Risks (Basel) (01.12.2022)
Published in Risks (Basel) (01.12.2022)
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Journal Article
Rare event simulation for stochastic fixed point equations related to the smoothing transformation
Collamore, Jeffrey F., Vidyashankar, Anand N., Jie Xu
Published in 2013 Winter Simulations Conference (WSC) (01.12.2013)
Published in 2013 Winter Simulations Conference (WSC) (01.12.2013)
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Conference Proceeding
Tail estimates for stochastic fixed point equations via nonlinear renewal theory
Collamore, Jeffrey F., Vidyashankar, Anand N.
Published in Stochastic processes and their applications (01.09.2013)
Published in Stochastic processes and their applications (01.09.2013)
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Journal Article
First passage times of general sequences of random vectors: A large deviations approach11Some of the results in this paper were originally contained in the author’s Ph.D. dissertation, written at the University of Wisconsin-Madison under the supervision of Professor Peter Ney
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Journal Article
Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
Buraczewski, Dariusz, Collamore, Jeffrey F, Damek, Ewa, Zienkiewicz, Jacek
Year of Publication 27.11.2014
Year of Publication 27.11.2014
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Journal Article