R. Maller

activity

20052021

most citedRuin Probabilities and Overshoots for General Levy Insurance Risk Processes

161 citations · 333 across the 25 of their papers we have counts for

collaborators

Showing 2018Show all

3 papers · 1 filter

math.PR2018

Small Time Convergence of Subordinators with Regularly or Slowly Varying Canonical Measure

Ross Maller, Tanja Schindler

We consider subordinators $X_{α} = (X_{α} (t))_{t \geq 0}$ in the domain of attraction at 0 of a stable subordinator $(S_{α} (t))_{t \geq 0}$ (where $α \in (0, 1)$ ); thus, with the property that $\…

math.PR2018

Trimmed Lévy Processes and their Extremal Components

Yuguang Ipsen, Ross Maller, Sidney Resnick

We analyse a trimmed stochastic process of the form $^{(r)} X_{t} = X_{t} - \sum_{i = 1}^{r} Δ_{t}^{(i)}$ , where $(X_{t})_{t \geq 0}$ is a driftless subordinator on $R$ with its jumps…

math.PR2018★ 10 cited

Negative Binomial Construction of Random Discrete Distributions on the Infinite Simplex

Yuguang Fan Ipsen, Ross A. Maller

The Poisson-Kingman distributions, $PK (ρ)$ , on the infinite simplex, can be constructed from a Poisson point process having intensity density $ρ$ or by taking the ranked j…