L. Rojas-Nandayapa

activity

20122017

most citedFitting phase--type scale mixtures to heavy--tailed data and distributions

3 citations · 10 across the 7 of their papers we have counts for

collaborators

8 papers

math.PR2017★ 2 cited

Approximation of Ruin Probabilities via Erlangized Scale Mixtures

Oscar Peralta, Leonardo Rojas-Nandayapa, Wangyue Xie +1

In this paper, we extend an existing scheme for numerically calculating the probability of ruin of a classical Cramér--Lundberg reserve process having absolutely continuous but oth…

math.ST2017★ 3 cited

Fitting phase--type scale mixtures to heavy--tailed data and distributions

Mogens Bladt, Leonardo Rojas-Nandayapa

We consider the fitting of heavy tailed data and distribution with a special attention to distributions with a non--standard shape in the "body" of the distribution. To this end we…

math.PR2016

Efficient simulation for dependent rare events with applications to extremes

Lars Nørvang Andersen, Patrick J. Laub, Leonardo Rojas-Nandayapa

We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and descr…

math.PR2015

Approximating the Laplace transform of the sum of dependent lognormals

Patrick J. Laub, Søren Asmussen, Jens Ledet Jensen +1

Let $(X_{1}, \dots, X_{n})$ be multivariate normal, with mean vector $μ$ and covariance matrix $Σ$ , and $S_{n} = e^{X_{1}} + \dots + e^{X_{n}}$ . The Laplac…

math.PR2015★ 3 cited

Asymptotic tail behavior of phase-type scale mixture distributions

Leonardo Rojas-Nandayapa, Wangyue Xie

We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable $Y$ and a nonneg…

math.PR2014★ 2 cited

Exponential Family Techniques for the Lognormal Left Tail

Soren Asmussen, Jens Ledet Jensen, Leonardo Rojas-Nandayapa

Let $X$ be lognormal $(μ, σ^{2})$ with density $f (x)$ , let $θ > 0$ and define $L (θ) = E e^{- θ X}$ . We study properties of the exponentially tilted density (Esscher transform) $f_θ(x) =e^{…

stat.CO2013

Semiparametric Cross Entropy for rare-event simulation

Z. I. Botev, A. Ridder, L. Rojas-Nandayapa

The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density…

math.PR2012

Non-Existence of Stabilizing Policies for the Critical Push-Pull Network and Generalizations

Yoni Nazarathy, Leonardo Rojas-Nandayapa, Thomas S. Salisbury

The push-pull queueing network is a simple example in which servers either serve jobs or generate new arrivals. It was previously conjectured that there is no policy that makes the…