7 citations · 11 across the 6 of their papers we have counts for
6 papers
Sample-path large deviations for a class of heavy-tailed Markov additive processes
Bohan Chen, Chang-Han Rhee, Bert Zwart
For a class of additive processes driven by the affine recursion , we develop a sample-path large deviations principle in the topology on .…
Consistency of the PLFit estimator for power-law data
Ayan Bhattacharya, Bohan Chen, Remco van der Hofstad +1
We prove the consistency of the Power-Law Fit PLFit method proposed by Clauset et al.(2009) to estimate the power-law exponent in data coming from a distribution function with regu…
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou +1
We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show th…
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
Bohan Chen, Jose Blanchet, Chang-Han Rhee +1
We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution…
Importance sampling of heavy-tailed iterated random functions
Bohan Chen, Chang-Han Rhee, Bert Zwart
We consider a stochastic recurrence equation of the form , where , and $\{(A_n,B_n)\}_{n\in\m…
Simulation of stochastic Volterra equations driven by space--time Lévy noise
Bohan Chen, Carsten Chong, Claudia Klüppelberg
In this paper we investigate two numerical schemes for the simulation of stochastic Volterra equations driven by space--time Lévy noise of pure-jump type. The first one is based on…