46 citations · 46 across the 3 of their papers we have counts for
Showing math.PRShow all
3 papers · 1 filter
math.PR2025
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…
math.PR2011
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) =…
math.PR2009★ 46 cited
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…