EconPapers    
Economics at your fingertips  
 

Methodology and Computing in Applied Probability

1999 - 2022

Current editor(s): Joseph Glaz

From Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


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