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Long range dependence of heavy-tailed random functions
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- Journal of Applied Probability / Volume 58 / Issue 3 / September 2021
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- 16 September 2021, pp. 569-593
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- September 2021
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DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS
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- ASTIN Bulletin: The Journal of the IAA / Volume 51 / Issue 3 / September 2021
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- 02 July 2021, pp. 753-778
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- September 2021
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Inhomogeneous phase-type distributions and heavy tails
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- Journal of Applied Probability / Volume 56 / Issue 4 / December 2019
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- 11 December 2019, pp. 1044-1064
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- December 2019
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Heavy-tailed distributions in branching process models of secondary cancerous tumors
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- Advances in Applied Probability / Volume 50 / Issue A / December 2018
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- 01 February 2019, pp. 99-114
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- December 2018
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Validation of aggregated risks models
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- Annals of Actuarial Science / Volume 12 / Issue 2 / September 2018
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- 04 December 2017, pp. 433-454
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A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
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- Journal of Applied Probability / Volume 54 / Issue 4 / December 2017
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- 30 November 2017, pp. 1213-1232
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- December 2017
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Taylor's law, via ratios, for some distributions with infinite mean
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- Journal of Applied Probability / Volume 54 / Issue 3 / September 2017
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- 15 September 2017, pp. 657-669
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- September 2017
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BUDGET ALLOCATIONS IN OPERATIONAL RISK MANAGEMENT
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- Probability in the Engineering and Informational Sciences / Volume 32 / Issue 3 / July 2018
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- 11 July 2017, pp. 434-459
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Large deviations for the empirical measure of heavy-tailed Markov renewal processes
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- Advances in Applied Probability / Volume 48 / Issue 3 / September 2016
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- 19 September 2016, pp. 648-671
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- September 2016
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Series expansions for the all-time maximum of α-stable random walks
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- Advances in Applied Probability / Volume 48 / Issue 3 / September 2016
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- 19 September 2016, pp. 744-767
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- September 2016
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Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk
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- Journal of Applied Probability / Volume 51 / Issue 2 / June 2014
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- 19 February 2016, pp. 359-376
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- June 2014
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Asymptotics of Markov Kernels and the Tail Chain
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- Advances in Applied Probability / Volume 45 / Issue 1 / March 2013
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- 04 January 2016, pp. 186-213
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- March 2013
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Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
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- Advances in Applied Probability / Volume 45 / Issue 1 / March 2013
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- 04 January 2016, pp. 241-273
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- March 2013
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Scaling and Multiscaling in Financial Series: A Simple Model
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- Advances in Applied Probability / Volume 44 / Issue 4 / December 2012
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- 04 January 2016, pp. 1018-1051
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- December 2012
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Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
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- Advances in Applied Probability / Volume 44 / Issue 4 / December 2012
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- 04 January 2016, pp. 1113-1141
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- December 2012
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Asymptotics for Weighted Random Sums
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- Advances in Applied Probability / Volume 44 / Issue 4 / December 2012
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- 04 January 2016, pp. 1142-1172
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- December 2012
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Tail Behavior of Randomly Weighted Sums
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- Advances in Applied Probability / Volume 44 / Issue 3 / September 2012
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- 04 January 2016, pp. 794-814
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- September 2012
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The probabilities of absolute ruin in the renewal risk model with constant force of interest
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- Journal of Applied Probability / Volume 47 / Issue 2 / June 2010
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- 14 July 2016, pp. 323-334
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- June 2010
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Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
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- Journal of Applied Probability / Volume 47 / Issue 2 / June 2010
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- 14 July 2016, pp. 301-322
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- June 2010
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On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails
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- Advances in Applied Probability / Volume 42 / Issue 1 / March 2010
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- 01 July 2016, pp. 106-136
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- March 2010
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