3 citations · 10 across the 7 of their papers we have counts for
6 papers · 1 filter
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…
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…
Approximating the Laplace transform of the sum of dependent lognormals
Patrick J. Laub, Søren Asmussen, Jens Ledet Jensen +1
Let be multivariate normal, with mean vector and covariance matrix , and . The Laplac…
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 and a nonneg…
Exponential Family Techniques for the Lognormal Left Tail
Soren Asmussen, Jens Ledet Jensen, Leonardo Rojas-Nandayapa
Let be lognormal with density , let and define . We study properties of the exponentially tilted density (Esscher transform) $f_θ(x) =e^{…
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…