New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A)
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Søren Asmussen
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- Published online by Cambridge University Press:
- 14 July 2016, pp. vii-ix
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Publications of Søren Asmussen
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- 14 July 2016, pp. xi-xviii
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Part 1. Risk Theory
Ruin excursions, the G/G/∞ queue, and tax payments in renewal risk models
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- 14 July 2016, pp. 3-14
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On the ruin probability of the generalised Ornstein–Uhlenbeck process in the cramér case
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- 14 July 2016, pp. 15-28
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Threshold strategies for risk processes and their relation to queueing theory
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- 14 July 2016, pp. 29-38
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Ruin probabilities in a diffusion environment
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- 14 July 2016, pp. 39-50
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Exit times for a class of random walks exact distribution results
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- 14 July 2016, pp. 51-63
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Asymptotics of conditional moments of the summand in Poisson compounds
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- 14 July 2016, pp. 65-76
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Part 2. Lévy Processes
On the excursions of reflected local-time processes and stochastic fluid queues
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- 14 July 2016, pp. 79-98
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Loss rate for a general Lévy process with downward periodic barrier
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- 14 July 2016, pp. 99-108
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A piecewise linear stochastic differential equation driven by a Lévy process
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- 14 July 2016, pp. 109-119
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Part 3. Heavy Tail Phenomena
Characterization of tails through hazard rate and convolution closure properties
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- 14 July 2016, pp. 123-132
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A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation
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- 14 July 2016, pp. 133-144
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Part 4. Simulation
Efficient simulation of tail probabilities of sums of dependent random variables
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- 14 July 2016, pp. 147-164
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On exact sampling of stochastic perpetuities
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- 14 July 2016, pp. 165-182
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A comparison of cross-entropy and variance minimization strategies
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- 14 July 2016, pp. 183-194
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Checkpointing for the RESTART problem in Markov networks
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- 14 July 2016, pp. 195-207
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Exact simulation of the stationary distribution of the FIFO M/G/c queue
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- 14 July 2016, pp. 209-213
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Part 5. Stochastic Growth and Branching
On some tractable growth-collapse processes with renewal collapse epochs
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- 14 July 2016, pp. 217-234
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The size of a major epidemic of a vector-borne disease
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- 14 July 2016, pp. 235-247
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