46 citations · 65 across the 6 of their papers we have counts for
6 papers
Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
Fengnan Deng, Anand N. Vidyashankar, Jeffrey F. Collamore
We obtain sharp large deviation estimates for exceedance probabilities in dependent triangular array threshold models with a diverging number of latent factors. The prefactors quan…
Large excursions and conditioned laws for recursive sequences generated by random matrices
Jeffrey F. Collamore, Sebastian Mentemeier
We determine the large exceedance probabilities and large exceedance paths for the matrix recursive sequence where is an i.i.d…
Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
Dariusz Buraczewski, Jeffrey F. Collamore, Ewa Damek +1
In a variety of problems in pure and applied probability, it is of relevant to study the large exceedance probabilities of the perpetuity sequence $Y_n := B_1 + A_1 B_2 + \cdots +…
Rare event simulation for processes generated via stochastic fixed point equations
Jeffrey F. Collamore, Guoqing Diao, Anand N. Vidyashankar
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable satisfying the di…
Tail estimates for stochastic fixed point equations via nonlinear renewal theory
Jeffrey F. Collamore, Anand N. Vidyashankar
This paper presents precise large deviation estimates for solutions to stochastic fixed point equations of the type V =_d f(V), where f(v) = Av + g(v) for a random function g(v) =…
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
Jeffrey F. Collamore
We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stochastic economic environment and study the extremes for some related Markovian pro…