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Methodology and Computing in Applied Probability

Short Title: Methodol. Comput. Appl. Probab.
Publisher: Springer US, New York, NY
ISSN: 1387-5841; 1573-7713/e
Online: https://link.springer.com/journal/11009/volumes-and-issues
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 1,239 Publications (since 1999)
References Indexed: 1,079 Publications with 27,648 References.
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Latest Issues

25, No. 4 (2023)
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Authors

22 Balakrishnan, Narayanaswamy
17 Nadarajah, Saralees
16 Koutras, Markos V.
15 Roberts, Gareth O.
13 Limnios, Nikolaos
11 Lefèvre, Claude
11 Mahmoud, Hosam M.
11 Mukhopadhyay, Nitis
10 Beneš, Viktor
10 Kroese, Dirk P.
9 Glaz, Joseph
9 Natvig, Bent
8 Denuit, Michel M.
8 Di Crescenzo, Antonio
8 Hüsler, Jürg
8 Manca, Raimondo
8 Mandjes, Michel Robertus Hendrikus
8 Rubinstein, Reuven Y.
8 Skiadas, Christos H.
8 Withers, Christopher Stroude
8 Zacks, Shelemyahu
7 Albrecher, Hansjörg
7 Chaudhry, Mohan L.
7 Cui, Lirong
7 Eryılmaz, Serkan N.
7 Hashorva, Enkelejd
7 Sericola, Bruno
7 Silvestrov, Sergei D.
7 Tsaklidis, George M.
6 Bloch-Mercier, Sophie
6 Fu, James C.
6 Gåsemyr, Jørund Inge
6 Gupta, Umesh Chandra
6 Haiman, George
6 Li, Haijun
6 Loisel, Stéphane
6 Palacios, Jose Luis
6 Perry, David
6 Peters, Gareth William
6 Pirozzi, Enrica
6 Politis, Konstadinos G.
6 Rosenthal, Jeffrey S.
6 Stadje, Wolfgang
6 Staňková Helisová, Kateřina
6 Taqqu, Murad S.
6 Vellaisamy, Palaniappan
6 Yi, He
5 Cha, Ji Hwan
5 Dey, Dipak Kumar
5 Elliott, Robert James
5 Finkelstein, Maxim
5 Frostig, Esther
5 Gatto, Riccardo
5 Goswami, Veena
5 Janssen, Jacques
5 Lember, Jüri
5 Leonenko, Nikolai N.
5 Lillo, Rosa Elvira
5 Martinucci, Barbara
5 Melamed, Benjamin
5 Mishura, Yuliya Stepanivna
5 Ratanov, Nikita
5 Ravishanker, Nalini
5 Seneta, Eugene
5 Silvestrov, Dmitrii
5 Simon, Matthieu
5 Stramer, Osnat
5 Yarovaya, Elena B.
4 Abundo, Mario
4 Aoshima, Makoto
4 Banik, Abhijit Datta
4 Bar-Lev, Shaul K.
4 Boxma, Onno Johan
4 Chen, Anyue
4 Cossette, Hélène
4 D’Amico, Guglielmo
4 De Santis, Emilio
4 Deaconu, Madalina
4 Feng, Runhuan
4 Girardin, Valerie
4 Jacobson, Sheldon H.
4 Latouche, Guy
4 Li, Junping
4 Madan, Dilip B.
4 Marceau, Étienne
4 Olenko, Andriy Yakovych
4 Pardo, Leandro
4 Pozdnyakov, Vladimir
4 Preda, Cristian
4 Remiche, Marie-Ange
4 Sachlas, Athanasios
4 Schmidt, Volker
4 Spizzichino, Fabio L.
4 Staněk, Jakub
4 Thäle, Christoph
4 Vernic, Raluca
4 Wang, Linshan
4 Wu, Tung-Lung
4 Zhang, Panpan
3 Afanas’eva, Larisa Grigor’evna
...and 1,766 more Authors
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Fields

922 Probability theory and stochastic processes (60-XX)
517 Statistics (62-XX)
263 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
224 Numerical analysis (65-XX)
151 Operations research, mathematical programming (90-XX)
65 Computer science (68-XX)
63 Biology and other natural sciences (92-XX)
44 Combinatorics (05-XX)
39 Systems theory; control (93-XX)
25 Information and communication theory, circuits (94-XX)
18 General and overarching topics; collections (00-XX)
17 Calculus of variations and optimal control; optimization (49-XX)
16 Partial differential equations (35-XX)
13 Special functions (33-XX)
10 Statistical mechanics, structure of matter (82-XX)
9 Linear and multilinear algebra; matrix theory (15-XX)
8 Approximations and expansions (41-XX)
8 Integral transforms, operational calculus (44-XX)
7 Ordinary differential equations (34-XX)
7 Integral equations (45-XX)
6 Real functions (26-XX)
6 Dynamical systems and ergodic theory (37-XX)
6 Harmonic analysis on Euclidean spaces (42-XX)
6 Geophysics (86-XX)
4 Number theory (11-XX)
4 Functional analysis (46-XX)
3 History and biography (01-XX)
3 Measure and integration (28-XX)
3 Operator theory (47-XX)
3 Convex and discrete geometry (52-XX)
3 Fluid mechanics (76-XX)
2 Field theory and polynomials (12-XX)
2 Group theory and generalizations (20-XX)
2 Global analysis, analysis on manifolds (58-XX)
2 Mechanics of deformable solids (74-XX)
2 Optics, electromagnetic theory (78-XX)
1 Mathematical logic and foundations (03-XX)
1 General algebraic systems (08-XX)
1 Commutative algebra (13-XX)
1 Functions of a complex variable (30-XX)
1 Sequences, series, summability (40-XX)
1 Differential geometry (53-XX)
1 Quantum theory (81-XX)
1 Mathematics education (97-XX)

Publications by Year

Citations contained in zbMATH Open

855 Publications have been cited 4,921 times in 4,026 Documents Cited by Year
Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate. Zbl 1263.91027
Wang, Kaiyong; Wang, Yuebao; Gao, Qingwu
139
2013
The cross-entropy method for combinatorial and continuous optimization. Zbl 0941.65061
Rubinstein, Reuven
80
1999
An insurance risk model with Parisian implementation delays. Zbl 1319.60098
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
63
2014
Langevin diffusions and Metropolis-Hastings algorithms. Zbl 1033.65003
Roberts, G. O.; Stramer, O.
61
2002
Passage times in fluid models with application to risk processes. Zbl 1110.60067
Ramaswami, V.
46
2006
Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014
Barndorff-Nielsen, O. E.; Leonenko, N. N.
42
2005
Precise large deviations of random sums in presence of negative dependence and consistent variation. Zbl 1242.60027
Chen, Yiqing; Yuen, Kam C.; Ng, Kai W.
40
2011
Preservation of stochastic orders under the formation of generalized distorted distributions. Applications to coherent systems. Zbl 1371.60046
Navarro, Jorge; del Águila, Yolanda; Sordo, Miguel A.; Suárez-Llorens, Alfonso
39
2016
An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift. Zbl 1104.65004
Atchadé, Yves F.
35
2006
Risk processes with non-stationary Hawkes claims arrivals. Zbl 1231.91239
Stabile, Gabriele; Torrisi, Giovanni Luca
35
2010
Numerical methods for the pricing of swing options: a stochastic control approach. Zbl 1142.91502
Barrera-Esteve, Christophe; Bergeret, Florent; Dossal, Charles; Gobet, Emmanuel; Meziou, Asma; Munos, Rémi; Reboul-Salze, Damien
34
2006
A factorisation of diffusion measure and finite sample path constructions. Zbl 1152.65013
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O.
34
2008
The perturbed compound Poisson risk process with investment and debit interest. Zbl 1231.91255
Yin, Chuancun; Wang, Chunwei
34
2010
The cross-entropy method for continuous multi-extremal optimization. Zbl 1107.65049
Kroese, Dirk P.; Porotsky, Sergey; Rubinstein, Reuven Y.
33
2006
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
32
2009
An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting. Zbl 1293.65004
Botev, Zdravko I.; Kroese, Dirk P.
30
2008
Tail risk of multivariate regular variation. Zbl 1239.62060
Joe, Harry; Li, Haijun
29
2011
Tauberian and Abelian theorems for long-range dependent random fields. Zbl 1307.60068
Leonenko, Nikolai; Olenko, Andriy
29
2013
Properties of distortion risk measures. Zbl 1170.91368
Balbás, Alejandro; Garrido, José; Mayoral, Silvia
28
2009
A double-ended queue with catastrophes and repairs, and a jump-diffusion approximation. Zbl 1270.60080
Di Crescenzo, Antonio; Giorno, Virginia; Krishna Kumar, Balasubramanian; Nobile, Amelia G.
28
2012
Crossing probabilities for diffusion processes with piecewise continuous boundaries. Zbl 1122.60070
Wang, Liqun; Pötzelberger, Klaus
27
2007
Statistical process control using Shewhart control charts with supplementary runs rules. Zbl 1171.62366
Koutras, M. V.; Bersimis, S.; Maravelakis, P. E.
27
2007
Nested partitions method for stochastic optimization. Zbl 0968.90054
Shi, Leyuan; Ólafsson, Sigurdur
26
2000
Algorithms for the Laplace-Stieltjes transforms of first return times for stochastic fluid flows. Zbl 1184.60027
Bean, Nigel G.; O’reilly, Małgorzata M.; Taylor, Peter G.
26
2008
Diffusion processes associated with nonlinear evolution equations for signed measures. Zbl 0960.60092
Jourdain, B.
25
2000
Uniform estimate for maximum of randomly weighted sums with applications to ruin theory. Zbl 1177.60026
Shen, Xin-mei; Lin, Zheng-yan; Zhang, Yi
25
2009
Censoring, factorizations, and spectral analysis for transition matrices with block-repeating entries. Zbl 1022.60073
Zhao, Yiqiang Q.; Li, Wei; Braun, W. John
25
2003
Bayesian inference for Hawkes processes. Zbl 1368.60055
Rasmussen, Jakob Gulddahl
25
2013
Langevin-type models. I: Diffusions with given stationary distributions and their discretizations. Zbl 0947.60071
Stramer, O.; Tweedie, R. L.
24
1999
Two new mixture models related to the inverse Gaussian distribution. Zbl 1187.60009
Kotz, Samuel; Leiva, Víctor; Sanhueza, Antonio
24
2010
The Markov additive risk process under an Erlangized dividend barrier strategy. Zbl 1338.91081
Zhang, Zhimin; Cheung, Eric C. K.
24
2016
Tail dependence comparison of survival Marshall-Olkin copulas. Zbl 1142.62035
Li, Haijun
24
2008
Langevin-type models II: Self-targeting candidates for MCMC algorithms. Zbl 0946.60063
Stramer, O.; Tweedie, R. L.
23
1999
A Monte Carlo method for the simulation of first passage times of diffusion processes. Zbl 1002.60066
Giraudo, Maria Teresa; Sacerdote, Laura; Zucca, Cristina
22
2001
Numerical computation of first-passage times of increasing Lévy processes. Zbl 1213.60094
Veillette, Mark; Taqqu, Murad S.
22
2010
On success runs of length exceeded a threshold. Zbl 1230.60012
Makri, Frosso S.; Psillakis, Zaharias M.
21
2011
Parameter estimation and the CRLB with uncertain origin measurements. Zbl 0994.62053
Kirubarajan, T.; Chen, Huimin; Bar-Shalom, Yaakov
21
2001
Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach. Zbl 1208.60014
Vernic, Raluca
20
2011
The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model. Zbl 1211.60037
Buonocore, Aniello; Caputo, Luigia; Pirozzi, Enrica; Ricciardi, Luigi M.
20
2011
Negative binomial approximation with Stein’s method. Zbl 0992.62015
Brown, Timothy C.; Phillips, M. J.
20
1999
On generalised Piterbarg constants. Zbl 1390.60133
Bai, Long; Dȩbicki, Krzysztof; Hashorva, Enkelejd; Luo, Li
20
2018
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives. Zbl 1327.65003
Bujok, K.; Hambly, B. M.; Reisinger, C.
20
2015
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
20
2016
An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance. Zbl 1146.60320
Stenberg, Fredrik; Manca, Raimondo; Silvestrov, Dmitrii
19
2007
Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372
Elliott, Robert J.; Siu, Tak Kuen
19
2009
Sampling and learning Mallows and generalized Mallows models under the Cayley distance. Zbl 1433.62047
Irurozki, Ekhine; Calvo, Borja; Lozano, Jose A.
19
2018
A functional central limit theorem for a Markov-modulated infinite-server queue. Zbl 1336.60066
Anderson, D.; Blom, J.; Mandjes, M.; Thorsdottir, H.; de Turck, K.
19
2016
A simple and complete computational analysis of MAP/R/1 queue using roots. Zbl 1274.60271
Chaudhry, M. L.; Singh, Gagandeep; Gupta, U. C.
19
2013
State-of-the-art in sequential change-point detection. Zbl 06124706
Polunchenko, Aleksey S.; Tartakovsky, Alexander G.
19
2012
Multivariate generalized Marshall-Olkin distributions and copulas. Zbl 1291.60031
Lin, Jianhua; Li, Xiaohu
19
2014
Algorithms to find exact inclusion probabilities for conditional Poisson sampling and Pareto \(\pi ps\) sampling designs. Zbl 0984.62004
Aires, Nibia
18
1999
Approximations for the long-term behavior of an open-population epidemic model. Zbl 0971.92025
Clancy, D.; O’Neill, P. D.; Pollett, P. K.
18
2001
Finite-time ruin probabilities for discrete, possibly dependent, claim severities. Zbl 1170.91414
Lefèvre, Claude; Loisel, Stéphane
18
2009
Multirisks model and finite-time ruin probabilities. Zbl 1035.62109
Picard, Philippe; Lefèvre, Claude; Coulibaly, Ibrahim
18
2003
A random walk on rectangles algorithm. Zbl 1104.60046
Deaconu, Madalina; Lejay, Antoine
18
2006
The Gibbs cloner for combinatorial optimization, counting and sampling. Zbl 1177.65012
Rubinstein, Reuven
17
2009
Modeling zero inflation in count data time series with bounded support. Zbl 1450.62113
Möller, Tobias A.; Weiß, Christian H.; Kim, Hee-Young; Sirchenko, Andrei
17
2018
Reliability measures of semi-Markov systems with general state space. Zbl 1259.60106
Limnios, Nikolaos
17
2012
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
17
2012
Optimal scaling for random walk Metropolis on spherically constrained target densities. Zbl 1141.60316
Neal, Peter; Roberts, Gareth
16
2008
A two-sided first-exit problem for a compound Poisson process with a random upper boundary. Zbl 1079.60044
Perry, D.; Stadje, W.; Zacks, S.
16
2005
Asymptotic normality for inference on multisample, high-dimensional mean vectors under mild conditions. Zbl 1317.62047
Aoshima, Makoto; Yata, Kazuyoshi
16
2015
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. Zbl 1496.93112
Bachouch, Achref; Huré, Côme; Langrené, Nicolas; Pham, Huyên
16
2022
Reliability approximation for Markov chain imbeddable systems. Zbl 0984.60091
Boutsikas, Michael V.; Koutras, Markos V.
15
2000
Exact simulation of IG-OU processes. Zbl 1192.68801
Zhang, Shibin; Zhang, Xinsheng
15
2008
Asymptotics of a boundary crossing probability of a Brownian bridge with general trend. Zbl 1048.60025
Bischoff, Wolfgang; Miller, Frank; Hashorva, Enkelejd; Hüsler, Jürg
15
2003
Drawdowns and the speed of market crash. Zbl 1282.91396
Zhang, Hongzhong; Hadjiliadis, Olympia
15
2012
Algorithmic approach to the extinction probability of branching processes. Zbl 1210.60094
Hautphenne, Sophie; Latouche, Guy; Remiche, Marie-Ange
14
2011
Simulating perpetuities. Zbl 0982.65005
Devroye, Luc
14
2001
Numerical solution of non-homogeneous semi-Markov processes in transient case. Zbl 0991.60082
Janssen, Jacques; Manca, Raimondo
14
2001
Fourier inversion formulas in option pricing and insurance. Zbl 1170.91410
Dufresne, Daniel; Garrido, Jose; Morales, Manuel
14
2009
Background risk models and stepwise portfolio construction. Zbl 1349.62517
Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Ričardas
14
2016
Estimating parametric models of probability distributions. Zbl 1373.62526
Madan, Dilip B.
14
2015
The single server queue with catastrophes and geometric reneging. Zbl 1273.90053
Dimou, Spiros; Economou, Antonis
14
2013
On a risk model with surplus-dependent premium and tax rates. Zbl 1260.91120
Cheung, Eric C. K.; Landriault, David
14
2012
A survey of the coupon collector’s problem with random sample sizes. Zbl 1133.60301
Kobza, John E.; Jacobson, Sheldon H.; Vaughan, Diane E.
13
2007
On a two-queue priority system with impatience and its application to a call center. Zbl 0948.60087
Brandt, Andreas; Brandt, Manfred
13
1999
Comparisons between largest order statistics from multiple-outlier models with dependence. Zbl 1458.62102
Navarro, Jorge; Torrado, Nuria; del Águila, Yolanda
13
2018
Convergence of the Marcus-Lushnikov process. Zbl 1229.45012
Fournier, Nicolas; Giet, Jean-Sébastien
13
2004
On the finite buffer queue with renewal input and batch Markovian service process: \(\mathrm{GI}/\mathrm{BMSP}/1/N\). Zbl 1293.60085
Banik, A. D.; Chaudhry, M. L.; Gupta, U. C.
13
2008
Extremes of Markov-additive processes with one-sided jumps, with queueing applications. Zbl 1218.60077
Dieker, A. B.; Mandjes, M.
13
2011
Sequential order statistics: ageing and stochastic orderings. Zbl 1275.62057
Torrado, Nuria; Lillo, Rosa E.; Wiper, Michael P.
13
2012
Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023
Bellini, Fabio; Klar, Bernhard; Müller, Alfred
13
2018
The generalized cross entropy method, with applications to probability density estimation. Zbl 1207.94041
Botev, Zdravko I.; Kroese, Dirk P.
12
2011
Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models. Zbl 1194.60054
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
12
2010
Exact simulation of jump-diffusion processes with Monte Carlo applications. Zbl 1237.60067
Casella, Bruno; Roberts, Gareth O.
12
2011
Telegraph process with elastic boundary at the origin. Zbl 1390.60317
Di Crescenzo, Antonio; Martinucci, Barbara; Zacks, Shelemyahu
12
2018
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. Zbl 1170.91407
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
12
2009
New results on the Barlow-Proschan and natvig measures of component importance in nonrepairable and repairable systems. Zbl 1176.90144
Natvig, Bent; Gåsemyr, Jørund
12
2009
Uniqueness and extinction of weighted Markov branching processes. Zbl 1104.60047
Chen, Anyue; Li, Junping; Ramesh, N. I.
12
2005
Multiple window and cluster size scan procedures. Zbl 1056.62081
Naus, Joseph I.; Wallenstein, Sylvan
12
2004
A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation. Zbl 1073.65052
Rubinstein, R. Y.
12
2005
Estimation in stationary Markov renewal processes, with application to earthquake forecasting in Turkey. Zbl 1065.62147
Alvarez, Enrique E.
12
2005
Maximum likelihood estimation for an observation driven model for Poisson counts. Zbl 1078.62091
Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B.
12
2005
Stochastic asymptotic stability of Nowak-May model with variable diffusion rates. Zbl 1351.60075
Pitchaimani, M.; Rajaji, R.
12
2016
On a generalization from ruin to default in a Lévy insurance risk model. Zbl 1307.91096
Feng, Runhuan; Shimizu, Yasutaka
12
2013
Analysis and approximation of a stochastic growth model with extinction. Zbl 1339.60084
Campillo, Fabien; Joannides, Marc; Larramendy-Valverde, Irène
12
2016
On estimation of the intensity function of a point process. Zbl 1274.60157
van Lieshout, Marie-Colette N. M.
12
2012
Approximations and inequalities for moving sums. Zbl 1277.60039
Glaz, Joseph; Naus, Joseph; Wang, Xiao
12
2012
On the normal approximation for the distribution of the number of simple or compound patterns in a random sequence of multi-state trials. Zbl 1122.60023
Fu, James C.; Lou, W. Y. Wendy
11
2007
Parking functions: from combinatorics to probability. Zbl 1515.60043
Kenyon, Richard; Yin, Mei
3
2023
Entropy of some discrete distributions. Zbl 1515.94035
Mitov, Kosto; Nadarajah, Saralees
1
2023
Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models. Zbl 1520.91380
Zhang, Yumo
1
2023
Voting rights, Markov chains, and optimization by short bursts. Zbl 1515.60026
Cannon, Sarah; Goldbloom-Helzner, Ari; Gupta, Varun; Matthews, Jn; Suwal, Bhushan
1
2023
The inverse first-passage time problem as hydrodynamic limit of a particle system. Zbl 1518.60030
Klump, Alexander
1
2023
Equilibrium joining strategies in the retrial queue with two classes of customers and delayed vacations. Zbl 1521.60054
Shi, Xianyue; Liu, Liwei
1
2023
Busy periods for queues alternating between two modes. Zbl 1515.60287
Kleiner, Igor; Frostig, Esther; Perry, David
1
2023
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. Zbl 1496.93112
Bachouch, Achref; Huré, Côme; Langrené, Nicolas; Pham, Huyên
16
2022
On cumulative entropies in terms of moments of order statistics. Zbl 1493.62251
Balakrishnan, Narayanaswamy; Buono, Francesco; Longobardi, Maria
8
2022
Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay. Zbl 1492.91317
Yang, Lu; Zhang, Chengke; Zhu, Huainian
7
2022
Numerical resolution of McKean-Vlasov FBSDEs using neural networks. Zbl 1505.65010
Germain, Maximilien; Mikael, Joseph; Warin, Xavier
7
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Ruin probability for finite Erlang mixture claims via recurrence sequences. Zbl 1493.60034
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5
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On the time-dependent delta-shock model governed by the generalized Pólya process. Zbl 1494.60052
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4
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4
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Assessment of shock models for a particular class of intershock time distributions. Zbl 1487.62126
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3
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Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims. Zbl 1505.62512
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3
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Bivariate Sarmanov phase-type distributions for joint lifetimes modeling. Zbl 1489.62331
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3
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An evolutionary model that satisfies detailed balance. Zbl 1490.60214
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2
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Nonlinear unbalanced urn models via stochastic approximation. Zbl 1487.62098
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2
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Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process. Zbl 1506.91178
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2
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Accelerating the pool-adjacent-violators algorithm for isotonic distributional regression. Zbl 1505.62476
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2
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Bounds for the renewal function and related quantities. Zbl 1506.60101
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2
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Reliability assessment for censored \(\delta\)-shock models. Zbl 1505.62508
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2
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Equilibrium joining strategies of positive customers in a Markovian queue with negative arrivals and working vacations. Zbl 1491.60164
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2
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Joint reliability function of coherent systems with shared heterogeneous components. Zbl 1494.90027
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2
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A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process. Zbl 1503.65025
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2
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Profit optimization of cattle growth with variable prices. Zbl 1491.92140
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2
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Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses. Zbl 1491.62154
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2
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On the discounted penalty function in a perturbed Erlang renewal risk model with dependence. Zbl 1496.60106
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2
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Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. Zbl 1490.91170
Denuit, Michel; Robert, Christian Y.
2
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Variance swaps under multiscale stochastic volatility of volatility. Zbl 1492.91379
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1
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Batch size selection for variance estimators in MCMC. Zbl 1493.62130
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Performance analysis of multi-processor two-stage tandem call center retrial queues with non-reliable processors. Zbl 1487.60167
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1
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Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy. Zbl 1487.62136
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1
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Profile of random exponential recursive trees. Zbl 1487.05244
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1
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Stochastic fluid models with positive jumps at level zero. Zbl 1490.60219
Nabli, Hédi
1
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Competing risks modeling by extended phase-type semi-Markov distributions. Zbl 1487.60164
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1
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A Fourier transform method for solving backward stochastic differential equations. Zbl 1487.65008
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1
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A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo. Zbl 1505.65002
Han, Qiang; Ji, Shaolin
1
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On some distributional properties of subordinated Gaussian random fields. Zbl 1506.60055
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1
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Distributions of \((k_1,k_2,\dots ,k_m)\)-runs with multi-state trials. Zbl 1506.60018
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1
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Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk. Zbl 1508.91491
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1
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Construction and simulation of generalized multivariate Hawkes processes. Zbl 1506.60050
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1
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Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market. Zbl 1508.91485
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1
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General \(M\)-estimator processes and their \(m\) out of \(n\) bootstrap with functional nuisance parameters. Zbl 1505.62471
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1
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Stochastic simulation algorithms for solving transient anisotropic diffusion-recombination equations and application to cathodoluminescence imaging. Zbl 1505.65279
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Moments of the ruin time in a Lévy risk model. Zbl 1508.91486
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Asymptotics of running maxima for \(\varphi \)-subgaussian random double arrays. Zbl 1498.60112
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1
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Optimal dividend strategy under Parisian ruin with affine penalty. Zbl 1492.93207
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1
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Dynamical behaviors of a stochastic single-species model with Allee effects. Zbl 1491.92101
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Moments for Hawkes processes with gamma decay kernel functions. Zbl 1491.60068
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1
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A new robust class of skew elliptical distributions. Zbl 1491.62040
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1
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Modelling with the novel INAR(1)-PTE process. Zbl 1491.62082
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1
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Several topological indices of random caterpillars. Zbl 1491.05175
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1
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First hitting time of Brownian motion on simple graph with skew semiaxes. Zbl 1504.60141
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1
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Stochastic analysis of rumor spreading with multiple pull operations. Zbl 07565047
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1
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On the randomized Schmitter problem. Zbl 1489.91213
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Ruin and dividend measures in the renewal dual risk model. Zbl 1489.91214
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1
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Perpetual American double lookback options on drawdowns and drawups with floating strikes. Zbl 1489.91259
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1
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Optimal double stopping problems for maxima and minima of geometric Brownian motions. Zbl 1490.60097
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1
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A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy. Zbl 1489.91219
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Bounds on multivariate Kendall’s tau and Spearman’s rho for zero-inflated continuous variables and their application to insurance. Zbl 1490.62135
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On a Markovian game model for competitive insurance pricing. Zbl 1489.91069
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Fraction-degree reference dependent stochastic dominance. Zbl 1489.91089
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1
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Robust optimal investment problem with delay under Heston’s model. Zbl 1489.91244
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Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications. Zbl 1485.60043
Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica
7
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Ornstein-Uhlenbeck processes of bounded variation. Zbl 1476.60146
Ratanov, Nikita
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Comparisons of multi-state systems with binary components of different sizes. Zbl 1480.60049
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6
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Structure of the particle population for a branching random walk with a critical reproduction law. Zbl 1476.60151
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Generalizations of runs and patterns distributions for sequences of binary trials. Zbl 1473.62054
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Stochastic precedence and minima among dependent variables. Zbl 1480.60270
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Improving Hall’s accelerated sequential procedure: generalized multistage fixed-width confidence intervals for a normal mean. Zbl 1473.62279
Hu, Jun
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Some results on the telegraph process confined by two non-standard boundaries. Zbl 1480.60275
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Orderings of the smallest claim amounts from exponentiated location-scale models. Zbl 1476.60040
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Sampling from non-smooth distributions through Langevin diffusion. Zbl 1477.60009
Luu, Tung Duy; Fadili, Jalal; Chesneau, Christophe
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Analysis of a stochastic competitive model with saturation effect and distributed delay. Zbl 1480.92176
Ning, Wenxu; Liu, Zhijun; Wang, Lianwen; Tan, Ronghua
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Small-\(t\) expansion for the Hartman-Watson distribution. Zbl 1492.60039
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Using semi-Markov chains to solve semi-Markov processes. Zbl 1478.60242
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Exact results and bounds for the joint tail and moments of the recurrence times in a renewal process. Zbl 1478.60239
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On the rates of asymptotic normality for Bernstein polynomial estimators in a triangular array. Zbl 1480.60053
Lu, Dawei; Wang, Lina
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Analysis of a queueing model with batch Markovian arrival process and general distribution for group clearance. Zbl 1480.60214
Chakravarthy, Srinivas R.; Shruti; Rumyantsev, Alexander
3
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Schur-constant and related dependence models, with application to ruin probabilities. Zbl 1476.60026
Lefèvre, Claude; Simon, Matthieu
2
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Stochastic reconstruction for inhomogeneous point patterns. Zbl 1480.60128
Koňasová, Kateřina; Dvořák, Jiří
2
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Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk. Zbl 1474.62035
Martín-González, Ehyter Matías; Kolkovska, Ekaterina Todorova; Murillo-Salas, Antonio
2
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Fluid flow model for energy-aware server performance evaluation. Zbl 1480.60276
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Asymptotic results for the absorption time of telegraph processes with elastic boundary at the origin. Zbl 1476.60059
Macci, Claudio; Martinucci, Barbara; Pirozzi, Enrica
2
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Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication. Zbl 1480.60210
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Truncated family of distributions with applications to time and cost to start a business. Zbl 1476.60023
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Sufficient conditions for some transform orders based on the quantile density ratio. Zbl 1483.60029
Arriaza, Antonio; Belzunce, Félix; Martínez-Riquelme, Carolina
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Statistical estimation of mutual information for mixed model. Zbl 1477.62074
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Numerical stochastic model of non-stationary time series of the wind chill index. Zbl 1473.86016
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Asymptotic distributions of empirical interaction information. Zbl 1474.62156
Kubkowski, Mariusz; Mielniczuk, Jan
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Modelling of limit order books by general compound Hawkes processes with implementations. Zbl 1480.60133
Swishchuk, Anatoliy
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Structured space-sphere point processes and \(K\)-functions. Zbl 1480.60129
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A nonparametric graphical tests of significance in functional GLM. Zbl 1473.62188
Mrkvička, Tomáš; Roskovec, Tomáš; Rost, Michael
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On variability and interdependence of local porosity and local tortuosity in porous materials: a case study for sack paper. Zbl 1473.62175
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Point processes on directed linear networks. Zbl 1480.60131
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Exploration of Gibbs-Laguerre tessellations for three-dimensional stochastic modeling. Zbl 1477.74023
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Approximations for the boundary crossing probabilities of moving sums of random variables. Zbl 1473.60074
Noonan, Jack; Zhigljavsky, Anatoly
1
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Delayed capital injections for a risk process with Markovian arrivals. Zbl 1476.60127
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Cited by 5,392 Authors

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36 Wang, Xuejun
34 Roberts, Gareth O.
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31 Mandjes, Michel Robertus Hendrikus
30 Yang, Yang
28 Di Crescenzo, Antonio
28 Lefèvre, Claude
26 Pirozzi, Enrica
25 Zhang, Zhimin
24 D’Amico, Guglielmo
23 Gao, Qingwu
21 Leiva, Víctor
20 Landriault, David
19 Eryılmaz, Serkan N.
19 Kawai, Reiichiro
19 Kroese, Dirk P.
19 Limnios, Nikolaos
19 Manca, Raimondo
18 Ding, Feng
18 Gupta, Umesh Chandra
17 Nadarajah, Saralees
17 Palmowski, Zbigniew
17 Wang, Kaiyong
16 Aoshima, Makoto
16 Cheung, Eric C. K.
16 Li, Junping
16 Rubinstein, Reuven Y.
15 Glaz, Joseph
15 Jourdain, Benjamin
15 Liu, Xijun
15 Macci, Claudio
15 Nobile, Amelia G.
15 Yata, Kazuyoshi
14 Dębicki, Krzysztof
14 Koutras, Markos V.
14 Loisel, Stéphane
14 Madan, Dilip B.
14 Makri, Frosso S.
14 Mishura, Yuliya Stepanivna
14 Yuen, Kam Chuen
13 Boxma, Onno Johan
13 Chen, Anyue
13 Furman, Edward
13 Olenko, Andriy Yakovych
13 O’Reilly, Małgorzata M.
13 Spizzichino, Fabio L.
12 Asmussen, Søren
12 Banik, Abhijit Datta
12 Chaudhry, Mohan L.
12 Cheng, Dongya
12 Fu, James C.
12 Hayat, Tasawar
12 Li, Haijun
12 Li, Xiaohu
12 Navarro, Jorge
12 Polunchenko, Aleksey S.
12 Šiaulys, Jonas
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11 Ascione, Giacomo
11 Cui, Lirong
11 De Santis, Emilio
11 Giorno, Virginia
11 Mahmoud, Hosam M.
11 Tan, Zhongquan
11 Wang, Dehui
11 Yi, He
11 Yin, Chuancun
11 Zhao, Yiqiang Q.
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10 Badescu, Andrei L.
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10 Bean, Nigel G.
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9 Denuit, Michel M.
9 Finkelstein, Maxim
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9 Jiang, Tao
9 Li, Bin
9 Liu, Liwei
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167 Communications in Statistics. Theory and Methods
139 Insurance Mathematics & Economics
134 Statistics & Probability Letters
98 Journal of Applied Probability
68 Stochastic Processes and their Applications
67 Advances in Applied Probability
67 Journal of Computational and Applied Mathematics
63 Annals of Operations Research
60 European Journal of Operational Research
57 Statistics and Computing
56 Scandinavian Actuarial Journal
54 Stochastic Models
49 Applied Mathematics and Computation
47 Probability in the Engineering and Informational Sciences
44 The Annals of Applied Probability
43 Communications in Statistics. Simulation and Computation
42 Bernoulli
41 Journal of Multivariate Analysis
40 Journal of Mathematical Analysis and Applications
39 Journal of Statistical Planning and Inference
37 Queueing Systems
37 Computational Statistics and Data Analysis
36 Stochastics
35 Annals of the Institute of Statistical Mathematics
33 Journal of Statistical Physics
32 Stochastic Analysis and Applications
32 Journal of Theoretical Probability
31 Metrika
31 Journal of Statistical Computation and Simulation
31 Statistical Papers
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31 Quantitative Finance
26 Statistics
24 Sequential Analysis
22 Lithuanian Mathematical Journal
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22 Journal of Industrial and Management Optimization
21 Physica A
20 SIAM Journal on Scientific Computing
20 Monte Carlo Methods and Applications
20 Electronic Journal of Statistics
19 Scandinavian Journal of Statistics
19 The Annals of Statistics
19 Computational Statistics
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19 Mathematical Problems in Engineering
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18 International Journal of Theoretical and Applied Finance
18 Extremes
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17 Modern Stochastics. Theory and Applications
16 Frontiers of Mathematics in China
15 North American Actuarial Journal
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15 SIAM/ASA Journal on Uncertainty Quantification
14 Mathematical Biosciences
14 Applied Stochastic Models in Business and Industry
14 Journal of the Korean Statistical Society
14 Dependence Modeling
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13 Computers & Operations Research
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12 Operations Research Letters
12 Brazilian Journal of Probability and Statistics
12 ASTIN Bulletin
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11 Probability and Mathematical Statistics
11 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
11 ALEA. Latin American Journal of Probability and Mathematical Statistics
10 Statistical Science
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10 Acta Mathematica Sinica. English Series
10 Communications in Nonlinear Science and Numerical Simulation
10 Decisions in Economics and Finance
10 Mathematical Biosciences and Engineering
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10 AStA. Advances in Statistical Analysis
10 Journal of Computational and Graphical Statistics
9 Chaos, Solitons and Fractals
9 The Annals of Probability
9 Journal of the American Statistical Association
9 Mathematics and Computers in Simulation
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9 International Journal of Computer Mathematics
9 RAIRO. Operations Research
9 Journal of Machine Learning Research (JMLR)
9 European Actuarial Journal
9 Annals of Finance
8 Theory of Probability and its Applications
8 Fuzzy Sets and Systems
8 Information Sciences
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