1.1k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Centre National de la Recherche ScientifiqueFR86 papers
- Laboratoire de Mathématiques et de leurs ApplicationsFR85 papers
- Laboratoire Informatique de l'Université de Pau et des Pays de l'AdourFR10 papers
- Observatoire de ParisFR10 papers
- Indian Institute of Technology DelhiIN8 papers
- Institut des Sciences Analytiques et de Physico-Chimie pour l'Environnement et les MatériauxFR8 papers
- Institut national de recherche en sciences et technologies du numériqueFR8 papers
- Sorbonne UniversitéFR8 papers
- Max Planck Institute for Solar System ResearchDE7 papers
- Universidad Privada de PucallpaPE7 papers
- Laboratoire de Mathématiques Blaise PascalFR6 papers
- Systèmes de Référence Temps-EspaceFR6 papers
16 papers · 1 filter
Simulations of multivariate gamma distributions and multifactor gamma distributions
Philippe Bernardoff, Bénédicte Puig
This article provides a general expression for infinitely divisible multivariate gamma distributions defined by their Laplace transforms, as well as the conditional Laplace transfo…
Two stochastic versions of the Arps curve decline
Christian Paroissin
Based on the Arps equation, we propose two stochastic models for curve decline useful in oil engineering context. Theoretical properties and simulations of these models are provide…
Analysis of non-reversible Markov chains via similarity orbit
Michael C. H. Choi, Pierre Patie
In this paper, we develop an in-depth analysis of non-reversible Markov chains on denumerable state space from a similarity orbit perspective. In particular, we study the class of…
The scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends
Florin Avram, Danijel Grahovac, Ceren Vardar-Acar
First passage problems for spectrally negative Lévy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queue…
Joint signature of two or more systems with applications to multistate systems made up of two-state components
Jean-Luc Marichal, Pierre Mathonet, Jorge Navarro +1
The structure signature of a system made up of components having continuous and i.i.d. lifetimes was defined in the eighties by Samaniego as the -tuple whose -th coordina…
A random shock model with mixed effect, including competing soft and sudden failures, and dependence
Sophie Mercier, H. H. Pham
A system is considered, which is subject to external and possibly fatal shocks, with dependence between the fatality of a shock and the system age. Apart from these shocks, the sys…
On matrix exponential approximations of the infimum of a spectrally negative Levy process
Florin Avram, Andras Horvath, M. R. Pistorius
We recall four open problems concerning constructing high-order matrix-exponential approximations for the infimum of a spectrally negative Levy process (with applications to first-…
Limit theorems for additive functionals of stationary fields, under integrability assumptions on the higher order spectral densities
Florin Avram, Nikolai Leonenko, Ludmila Sakhno
We prove central limit theorems for additive functionals of stationary fields under integrability conditions on the higher-order spectral densities, which are derived using the Hol…
Passage times of perturbed subordinators with application to reliability
Christian Paroissin, Landy Rabehasaina
We consider a wide class of increasing Lévy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical degradation mode…
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
F. Avram, Z. Palmowski, M. R. Pistorius
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative Lévy process (in the absence of dividend p…
A Lie systems approach for the first passage-time of piecewise deterministic processes
Florin Avram, José F. Cariñena, Javier de Lucas
Our paper illustrates how the theory of Lie systems allows recovering known results and provide new examples of piecewise deterministic processes with phase-type jumps for which th…
Limiting behavior of the search cost distribution for the move-to-front rule in the stable case
Fabrizio Leisen, Antonio Lijoi, Christian Paroissin
Move-to-front rule is a heuristic updating a list of n items according to requests. Items are required with unknown probabilities (or popularities). The induced Markov chain is kno…
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of cla…
A two-dimensional ruin problem on the positive quadrant
Florin Avram, Zbigniew Palmowski, Martijn Pistorius
In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of th…
On the optimal dividend problem for a spectrally negative Lévy process
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments…
Limiting search cost distribution for the move-to-front rule with random request probabilities
Javiera Barrera, Thierry Huillet, Christian Paroissin
Consider a list of files whose popularities are random. These files are updated according to the move-to-front rule and we consider the induced Markov chain at equilibrium. We…