On the Laplace Transform of the Lognormal Distribution
Asmussen, Søren, Jensen, Jens Ledet, Rojas-Nandayapa, Leonardo
Published in Methodology and computing in applied probability (01.06.2016)
Published in Methodology and computing in applied probability (01.06.2016)
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Journal Article
Exponential Family Techniques for the Lognormal Left Tail
Asmussen, Søren, Jensen, Jens Ledet, Rojas-Nandayapa, Leonardo
Published in Scandinavian journal of statistics (01.09.2016)
Published in Scandinavian journal of statistics (01.09.2016)
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Journal Article
Approximation of ruin probabilities via Erlangized scale mixtures
Peralta, Oscar, Rojas-Nandayapa, Leonardo, Xie, Wangyue, Yao, Hui
Published in Insurance, mathematics & economics (01.01.2018)
Published in Insurance, mathematics & economics (01.01.2018)
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Journal Article
A ruin model with a resampled environment
Constantinescu, Corina, Delsing, Guusje, Mandjes, Michel, Leonardo Rojas Nandayapa
Published in arXiv.org (07.06.2019)
Published in arXiv.org (07.06.2019)
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Paper
Journal Article
Asymptotics of sums of lognormal random variables with Gaussian copula
Asmussen, Søren, Rojas-Nandayapa, Leonardo
Published in Statistics & probability letters (01.11.2008)
Published in Statistics & probability letters (01.11.2008)
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Journal Article
Efficient simulation of tail probabilities of sums of correlated lognormals
Asmussen, Søren, Blanchet, José, Juneja, Sandeep, Rojas-Nandayapa, Leonardo
Published in Annals of operations research (01.09.2011)
Published in Annals of operations research (01.09.2011)
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Journal Article
Non-existence of stabilizing policies for the critical pushapull network and generalizations
Nazarathy, Yoni, Rojas-Nandayapa, Leonardo, Salisbury, Thomas
Published in Operations research letters (01.05.2013)
Published in Operations research letters (01.05.2013)
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Journal Article
Estimating tail probabilities of random sums of infinite mixtures of phase-type distributions
Hui Yao, Rojas-Nandayapa, Leonardo, Taimre, Thomas
Published in 2016 Winter Simulation Conference (WSC) (01.12.2016)
Published in 2016 Winter Simulation Conference (WSC) (01.12.2016)
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Conference Proceeding
Approximating the Laplace transform of the sum of dependent lognormals
Laub, Patrick J., Asmussen, Søren, Jensen, Jens L., Rojas-Nandayapa, Leonardo
Published in Advances in applied probability (01.07.2016)
Published in Advances in applied probability (01.07.2016)
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Journal Article
Non-existence of stabilizing policies for the critical push–pull network and generalizations
Nazarathy, Yoni, Rojas-Nandayapa, Leonardo, Salisbury, Thomas S.
Published in Operations research letters (01.05.2013)
Published in Operations research letters (01.05.2013)
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Journal Article
Efficient tail estimation for sums of correlated lognormals
Blanchet, Jose, Juneja, Sandeep, Rojas-Nandayapa, Leonardo
Published in 2008 Winter Simulation Conference (01.12.2008)
Published in 2008 Winter Simulation Conference (01.12.2008)
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Conference Proceeding
Asymptotic tail behavior of phase-type scale mixture distributions
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Paper
Journal Article
Fitting phase--type scale mixtures to heavy--tailed data and distributions
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Paper
Journal Article
Approximation of Ruin Probabilities via Erlangized Scale Mixtures
Peralta, Oscar, Rojas-Nandayapa, Leonardo, Xie, Wangyue, Yao, Hui
Published in arXiv.org (26.05.2017)
Published in arXiv.org (26.05.2017)
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Paper
Journal Article