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Methodology and Computing in Applied Probability

1999 - 2022

Current editor(s): Joseph Glaz

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Volume 24, issue 3, 2022

Difference Equations Approach for Multi-Server Queueing Models with Removable Servers pp. 1297-1321 Downloads
James J. Kim, Douglas G. Down, Mohan Chaudhry and Abhijit Datta Banik
Replacement Policy for Heterogeneous Items Subject to Gamma Degradation Processes pp. 1323-1340 Downloads
Ji Hwan Cha, Maxim Finkelstein and Gregory Levitin
Asymptotics of Running Maxima for φ-Subgaussian Random Double Arrays pp. 1341-1366 Downloads
Nour Al Hayek, Illia Donhauzer, Rita Giuliano, Andriy Olenko and Andrei Volodin
Rare Events in Random Geometric Graphs pp. 1367-1383 Downloads
Christian Hirsch, Sarat B. Moka, Thomas Taimre and Dirk P. Kroese
Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty pp. 1385-1409 Downloads
Ran Xu, Wenyuan Wang and Jose Garrido
Duality Between the Local Score of One Sequence and Constrained Hidden Markov Model pp. 1411-1438 Downloads
Sabine Mercier and Grégory Nuel
Equilibrium Joining Strategies of Positive Customers in a Markovian Queue with Negative Arrivals and Working Vacations pp. 1439-1466 Downloads
Gopinath Panda and Veena Goswami
Stochastic Model of Conditional Non-stationary Time Series of the Wind Chill Index in West Siberia pp. 1467-1483 Downloads
Nina Kargapolova and Vasily Ogorodnikov
Joint Reliability Function of Coherent Systems with Shared Heterogeneous Components pp. 1485-1502 Downloads
Somayeh Ashrafi, Majid Asadi and Jorge Navarro
Asymptotic Analysis of Finite-Source M/GI/1 Retrial Queueing Systems with Collisions and Server Subject to Breakdowns and Repairs pp. 1503-1518 Downloads
Anatoly Nazarov, János Sztrik, Anna Kvach and Ádám Tóth
Efficient and robust estimation for autoregressive regression models using shape mixtures of skewt normal distribution pp. 1519-1551 Downloads
Uchenna Chinedu Nduka
Dynamical Behaviors of a Stochastic Single-Species Model with Allee Effects pp. 1553-1563 Downloads
Famei Zheng and Guixin Hu
Moments for Hawkes Processes with Gamma Decay Kernel Functions pp. 1565-1601 Downloads
Lirong Cui, Bei Wu and Juan Yin
Solving Elliptic Equations with Brownian Motion: Bias Reduction and Temporal Difference Learning pp. 1603-1626 Downloads
Cameron Martin, Hongyuan Zhang, Julia Costacurta, Mihai Nica and Adam R Stinchcombe
On the Time-Dependent Delta-Shock Model Governed by the Generalized PóLya Process pp. 1627-1650 Downloads
Dheeraj Goyal, Nil Kamal Hazra and Maxim Finkelstein
Two Reliability Acceptance Sampling Plans for Items Subject to Wiener Process of Degradation pp. 1651-1668 Downloads
Ji Hwan Cha and Sophie Mercier
A New Robust Class of Skew Elliptical Distributions pp. 1669-1691 Downloads
Hok Shing Kwong and Saralees Nadarajah
A Numerical Approach for Evaluating the Time-Dependent Distribution of a Quasi Birth-Death Process pp. 1693-1715 Downloads
Michel Mandjes and Birgit Sollie
On Dependent Multi-State Semi-Coherent Systems Based on Multi-State Joint Signature pp. 1717-1734 Downloads
He Yi, Narayanaswamy Balakrishnan and Lirong Cui
Modelling with the Novel INAR(1)-PTE Process pp. 1735-1751 Downloads
Emrah Altun and Naushad Mamode Khan
Using Infinite-server Resource Queue with Splitting of Requests for Modeling Two-channel Data Transmission pp. 1753-1772 Downloads
Tatyana Bushkova, Svetlana Moiseeva, Alexander Moiseev, János Sztrik, Ekaterina Lisovskaya and Ekaterina Pankratova
Several Topological Indices of Random Caterpillars pp. 1773-1789 Downloads
Panpan Zhang and Xiaojing Wang
Cornish-Fisher Expansions for Functionals of the Weighted Partial Sum Empirical Distribution pp. 1791-1804 Downloads
Christopher S. Withers and Saralees Nadarajah
First Hitting Time of Brownian Motion on Simple Graph with Skew Semiaxes pp. 1805-1831 Downloads
Angelos Dassios and Junyi Zhang
A Family of Induced Distributions pp. 1833-1848 Downloads
Vasileios M. Koutras, Markos V. Koutras and Spiros D. Dafnis
On the Derivative Counting Processes of First- and Second-order Aggregated Semi-Markov Systems pp. 1849-1875 Downloads
He Yi, Lirong Cui and Narayanaswamy Balakrishnan
Discrete Tempered Stable Distributions pp. 1877-1890 Downloads
Michael Grabchak
Revisiting Best Linear Unbiased Estimation of Location-Scale Parameters Based on Optimally Selected Order Statistics Using Compound Design pp. 1891-1915 Downloads
Narayanaswamy Balakrishnan and Ritwik Bhattacharya
Profit Optimization of Cattle Growth with Variable Prices pp. 1917-1952 Downloads
Gonçalo Jacinto, Patrícia A. Filipe and Carlos A. Braumann
Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses pp. 1953-1985 Downloads
Michel Denuit and Christian Y. Robert
Multivariate Reversed Hazard Rates and Inactivity Times of Systems pp. 1987-2008 Downloads
Francesco Buono, Emilio Santis, Maria Longobardi and Fabio Spizzichino
Exact One- and Two-Sample Likelihood Ratio Tests based on Time-Constrained Life-Tests from Exponential Distributions pp. 2009-2028 Downloads
Xiaojun Zhu, Narayanaswamy Balakrishnan and Hon-Yiu So
Convergence Rates of Attractive-Repulsive MCMC Algorithms pp. 2029-2054 Downloads
Yu Hang Jiang, Tong Liu, Zhiya Lou, Jeffrey S. Rosenthal, Shanshan Shangguan, Fei Wang and Zixuan Wu
Moments Computation for General Markov Fluid Models pp. 2055-2070 Downloads
Hédi Nabli
Asymptotic Behavior of Common Connections in Sparse Random Networks pp. 2071-2092 Downloads
Bikramjit Das, Tiandong Wang and Gengling Dai
Efficient Algorithms for Tail Probabilities of Exchangeable Lognormal Sums pp. 2093-2121 Downloads
Kemal Dinçer Dingeç and Wolfgang Hörmann
Unbiased Simulation of Rare Events in Continuous Time pp. 2123-2148 Downloads
James Hodgson, Adam Johansen and Murray Pollock
Estimating the Logarithm of Characteristic Function and Stability Parameter for Symmetric Stable Laws pp. 2149-2167 Downloads
Jüri Lember and Annika Krutto
A Multinomial Approximation Approach for the Finite Time Survival Probability Under the Markov-modulated Risk Model pp. 2169-2194 Downloads
Jingchao Li, Bihao Su, Zhenghong Wei and Ciyu Nie
Stochastic Analysis of Rumor Spreading with Multiple Pull Operations pp. 2195-2211 Downloads
Frédérique Robin, Bruno Sericola, Emmanuelle Anceaume and Yves Mocquard
Ruin Probability for Finite Erlang Mixture Claims Via Recurrence Sequences pp. 2213-2236 Downloads
Luis Rincón and David J. Santana
Variance Bounding of Delayed-Acceptance Kernels pp. 2237-2260 Downloads
Chris Sherlock and Anthony Lee
Correction to: Asymptotic Normality for Inference on Multisample, High-Dimensional Mean Vectors Under Mild Conditions pp. 2261-2261 Downloads
Makoto Aoshima and Kazuyoshi Yata
Correction to: High-Dimensional Quadratic Classifiers in Non-sparse Settings pp. 2263-2263 Downloads
Makoto Aoshima and Kazuyoshi Yata

Volume 24, issue 2, 2022

Editorial for special issue on advances in Actuarial Science and quantitative finance pp. 475-479 Downloads
Runhuan Feng, José E. Figueroa-López, Junyi Guo and Claude Lefèvre
On the Discounted Penalty Function in a Perturbed Erlang Renewal Risk Model With Dependence pp. 481-513 Downloads
Franck Adékambi and Essodina Takouda
On The Randomized Schmitter Problem pp. 515-535 Downloads
Hansjörg Albrecher and José Carlos Araujo-Acuna
Ruin and Dividend Measures in the Renewal Dual Risk Model pp. 537-569 Downloads
Renata G. Alcoforado, Agnieszka I. Bergel, Rui M. R. Cardoso, Alfredo Egidio dos Reis and Eugenio V. Rodríguez-Martínez
Statistical Inference for Partially Observed Markov-Modulated Diffusion Risk Model pp. 571-593 Downloads
F. Baltazar-Larios and Luz Judith R. Esparza
Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red pp. 595-611 Downloads
Julien Callant, Julien Trufin and Pierre Zuyderhoff
Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback pp. 613-634 Downloads
Prakash Chakraborty and Kiseop Lee
Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment pp. 635-659 Downloads
Fenge Chen, Bing Li and Xingchun Peng
Deep Learning for Constrained Utility Maximisation pp. 661-692 Downloads
Ashley Davey and Harry Zheng
Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses pp. 693-711 Downloads
Michel Denuit and Christian Y. Robert
Estimation of Tempered Stable Lévy Models of Infinite Variation pp. 713-747 Downloads
José E. Figueroa-López, Ruoting Gong and Yuchen Han
Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes pp. 749-788 Downloads
Pavel V. Gapeev
Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions pp. 789-813 Downloads
Pavel V. Gapeev, Peter Kort, Maria N. Lavrutich and Jacco J. J. Thijssen
Analysis of IBNR Liabilities with Interevent Times Depending on Claim Counts pp. 815-829 Downloads
Daniel J. Geiger and Akim Adekpedjou
A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy pp. 831-874 Downloads
Wentao Hu, Cuixia Chen, Yufeng Shi and Ze Chen
General Draw-Down Times for Refracted Spectrally Negative Lévy Processes pp. 875-891 Downloads
Xuan Huang and Jieming Zhou
A Numerical Method for Hedging Bermudan Options under Model Uncertainty pp. 893-916 Downloads
Junichi Imai
Dynamic Bivariate Mortality Modelling pp. 917-938 Downloads
Ying Jiao, Yahia Salhi and Shihua Wang
On the Risk of Ruin in a SIS Type Epidemic pp. 939-961 Downloads
Claude Lefèvre and Matthieu Simon
Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model pp. 963-990 Downloads
Charles Guy Njike Leunga and Donatien Hainaut
Inference for the Lee-Carter Model With An AR(2) Process pp. 991-1019 Downloads
Deyuan Li, Chen Ling, Qing Liu and Liang Peng
Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees pp. 1021-1049 Downloads
Anne MacKay and Adriana Ocejo
Bounds on Multivariate Kendall’s Tau and Spearman’s Rho for Zero-Inflated Continuous Variables and their Application to Insurance pp. 1051-1059 Downloads
Mhamed Mesfioui and Julien Trufin
On a Markovian Game Model for Competitive Insurance Pricing pp. 1061-1091 Downloads
Claire Mouminoux, Christophe Dutang, Stéphane Loisel and Hansjoerg Albrecher
Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling pp. 1093-1118 Downloads
Khouzeima Moutanabbir and Hassan Abdelrahman
Manage Pension Deficit with Heterogeneous Insurance pp. 1119-1141 Downloads
Sheng De-Lei, Linfeng Shi, Danping Li and Yanping Zhao
On Accelerating Monte Carlo Integration Using Orthogonal Projections pp. 1143-1168 Downloads
Huei-Wen Teng and Ming-Hsuan Kang
Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process pp. 1169-1191 Downloads
Yingxu Tian, Zhongyang Sun and Junyi Guo
Fraction-Degree Reference Dependent Stochastic Dominance pp. 1193-1219 Downloads
Jianping Yang, Chaoqun Zhao, Weiru Chen, Diwei Zhou and Shuguang Han
Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model pp. 1221-1236 Downloads
Yang Yang, Xinzhi Wang and Shaoying Chen
Hitting Time Problems of Sticky Brownian Motion and Their Applications in Optimal Stopping and Bond Pricing pp. 1237-1251 Downloads
Haoyan Zhang and Yingxu Tian
Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process pp. 1253-1270 Downloads
Xiaoyi Zhang
Robust Optimal Investment Problem with Delay under Heston’s Model pp. 1271-1296 Downloads
Ying Zhao, Hui Mi and Lixia Xu

Volume 24, issue 1, 2022

An Evolutionary Model that Satisfies Detailed Balance pp. 1-37 Downloads
Jüri Lember and Chris Watkins
Variance Swaps Under Multiscale Stochastic Volatility of Volatility pp. 39-64 Downloads
Min-Ku Lee, See-Woo Kim and Jeong-Hoon Kim
Batch Size Selection for Variance Estimators in MCMC pp. 65-93 Downloads
Ying Liu, Dootika Vats and James M. Flegal
Performance Analysis of Multi-processor Two-Stage Tandem Call Center Retrial Queues with Non-Reliable Processors pp. 95-142 Downloads
B. Krishna Kumar, R. Sankar, R. Navaneetha Krishnan and R. Rukmani
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications pp. 143-178 Downloads
Achref Bachouch, Côme Huré, Nicolas Langrené and Huyên Pham
Matrix Variate Two-Sided Power Distribution pp. 179-194 Downloads
Shokofeh Zinodiny and Saralees Nadarajah
An Algorithm for Asymptotic Mean and Variance for Markov Renewal Process of M/G/1 Type with Finite Level pp. 195-212 Downloads
Yang Woo Shin
Assessment of Shock Models for a Particular Class of Intershock Time Distributions pp. 213-231 Downloads
Coskun Kus, Altan Tuncel and Serkan Eryilmaz
Omega Model for a Jump-Diffusion Process with a Two-Step Premium Rate and a Threshold Dividend Strategy pp. 233-258 Downloads
Zhongqin Gao, Jingmin He, Zhifeng Zhao and Bingbing Wang
Profile of Random Exponential Recursive Trees pp. 259-275 Downloads
Hosam Mahmoud
The Eigen-Distribution for Multi-Branching Weighted Trees on Independent Distributions pp. 277-287 Downloads
Weiguang Peng, NingNing Peng and Kazuyuki Tanaka
Stochastic Fluid Models with Positive Jumps at Level Zero pp. 289-308 Downloads
Hédi Nabli
Competing Risks Modeling by Extended Phase-Type Semi-Markov Distributions pp. 309-319 Downloads
Brenda Garcia-Maya, Nikolaos Limnios and Bo Henry Lindqvist
Integer-valued Bilinear Model with Dependent Counting Series pp. 321-343 Downloads
Sakineh Ramezani and Mehrnaz Mohammadpour
On Cumulative Entropies in Terms of Moments of Order Statistics pp. 345-359 Downloads
Narayanaswamy Balakrishnan, Francesco Buono and Maria Longobardi
Robust Stochastic Stackelberg Differential Reinsurance and Investment Games for an Insurer and a Reinsurer with Delay pp. 361-384 Downloads
Lu Yang, Chengke Zhang and Huainian Zhu
A Fourier Transform Method for Solving Backward Stochastic Differential Equations pp. 385-412 Downloads
Yingming Ge, Lingfei Li and Gongqiu Zhang
Nonlinear Unbalanced Urn Models via Stochastic Approximation pp. 413-430 Downloads
Soumaya Idriss
Investigating Several Fundamental Properties of Random Lobster Trees and Random Spider Trees pp. 431-447 Downloads
Yuxin Ren, Panpan Zhang and Dipak K. Dey
Uniform Preferential Selection Model for Generating Scale-free Networks pp. 449-470 Downloads
Raheel Anwar, Muhammad Irfan Yousuf and Muhammad Abid
Correction to: Articles in MCAP 23:1 March 2021 Issue to Be Classified as Original Articles pp. 471-472 Downloads
Joseph Glaz
Correction to: Editorial of the Special Issue of MCAP: S4G Stochastic Geometry, Stereology and Spatial Statistics pp. 473-473 Downloads
Joseph Glaz
Page updated 2022-11-29