Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 11, issue 4, 2009

The Gibbs Cloner for Combinatorial Optimization, Counting and Sampling pp. 491-549

Reuven Rubinstein

Convexity Bias in Eurodollar Futures Prices: A Dimension-Free HJM Criterion pp. 551-560

Vladimir Pozdnyakov and J. Michael Steele

On the Distributions of the State Sizes of Closed Continuous Time Homogeneous Markov Systems pp. 561-582

G. Vasiliadis and G. Tsaklidis

Moments’ Analysis in Homogeneous Markov Reward Models pp. 583-601

F. Castella, G. Dujardin and B. Sericola

New Results on the Barlow–Proschan and Natvig Measures of Component Importance in Nonrepairable and Repairable Systems pp. 603-620

Bent Natvig and Jørund Gåsemyr

Marked Markovian Arrivals in a Tandem G-Network with Blocking pp. 621-649

A. Gómez-Corral and M. E. Martos

Exact Distribution of the Product of Two or More Logistic Random Variables pp. 651-660

Saralees Nadarajah

On the Pricing of Options Written on the Last Exit Time pp. 661-668

Jiro Akahori, Yuri Imamura and Yuko Yano

Uniform Estimate for Maximum of Randomly Weighted Sums with Applications to Ruin Theory pp. 669-685

Xin-mei Shen, Zheng-yan Lin and Yi Zhang

Development of Computational Algorithms for Evaluating Option Prices Associated with Square-Root Volatility Processes pp. 687-703

Hideyuki Takada, Ushio Sumita and Hui Jin

Volume 11, issue 3, 2009

Editorial pp. 277-278

Esther Frostig

Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables pp. 279-306

Dominik Kortschak and Hansjörg Albrecher

Moment Bounds on Discrete Expected Stop-Loss Transforms, with Applications pp. 307-338

Cindy Courtois and Michel Denuit

Option Pricing for Log-Symmetric Distributions of Returns pp. 339-357

Fima C. Klebaner and Zinoviy Landsman

Fourier Inversion Formulas in Option Pricing and Insurance pp. 359-383

Daniel Dufresne, Jose Garrido and Manuel Morales

Properties of Distortion Risk Measures pp. 385-399

Alejandro Balbás, José Garrido and Silvia Mayoral

The Compound Poisson Surplus Model with Interest and Liquid Reserves: Analysis of the Gerber–Shiu Discounted Penalty Function pp. 401-423

Jun Cai, Runhuan Feng and Gordon E. Willmot

Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities pp. 425-441

Claude Lefèvre and Stéphane Loisel

Measurement of Longevity Risk Using Bootstrapping for Lee–Carter and Generalised Linear Poisson Models of Mortality pp. 443-461

S. Haberman and A. E. Renshaw

Life Anuities with Stochastic Survival Probabilities: A Review pp. 463-489

Michel Denuit

Volume 11, issue 2, 2009

Editorial pp. 117-117

Joseph Glaz

Goodness-of-Fit Tests for Continuous Regression pp. 119-144

Alejandra Cabaña and Enrique M. Cabaña

Robust Optimal Portfolio Choice Under Markovian Regime-switching Model pp. 145-157

Robert J. Elliott and Tak Kuen Siu

IPA Derivatives for Make-to-Stock Production-Inventory Systems With Backorders Under the (R,r) Policy pp. 159-179

Yihong Fan, Benjamin Melamed, Yao Zhao and Yorai Wardi

Comparative Construction of Plug-in Estimators of the Entropy Rate of Two-state Markov Chains pp. 181-200

Valérie Girardin and André Sesboüé

Queuing Systems with Semi-Markov Flow in Average and Diffusion Approximation Schemes pp. 201-209

V. S. Koroliuk, V. V. Koroliuk and N. Limnios

Multiple Priors and Asset Pricing pp. 211-229

Dilip B. Madan and Robert J. Elliott

Imbalance in Random Digital Trees pp. 231-247

Hosam M. Mahmoud

Estimating Relative Risk on the Line Using Nearest Neighbor Statistics pp. 249-265

Dmitri Pavlov, Svetla Slavova and Richard J. Kryscio

Simultaneous Occurrences of Runs in Independent Markov Chains pp. 267-275

S. Robin and V. T. Stefanov

Volume 11, issue 1, 2009

Editorial pp. 1-2

Paolo Giudici and Henry Wynn

The Maximum Lq-Likelihood Method: An Application to Extreme Quantile Estimation in Finance pp. 3-19

Davide Ferrari and Sandra Paterlini

Bootstrap Algorithms for Risk Models with Auxiliary Variable and Complex Samples pp. 21-27

Giancarlo Manzi and Fulvia Mecatti

Random Survival Forests Models for SME Credit Risk Measurement pp. 29-45

Dean Fantazzini and Silvia Figini

Clinical and Operational Risk: A Bayesian Approach pp. 47-63

Chiara Cornalba

Modelling Operational Risk Losses with Graphical Models and Copula Functions pp. 65-93

Danae Politou and Paolo Giudici

Bayesian Copulae Distributions, with Application to Operational Risk Management pp. 95-115

Luciana Dalla Valle

Volume 10, issue 4, 2008

An Efficient Algorithm for Rare-event Probability Estimation, Combinatorial Optimization, and Counting pp. 471-505

Zdravko I. Botev and Dirk P. Kroese

Approximating Perpetuities pp. 507-529

Margarete Knape and Ralph Neininger

Two Queues with Weighted One-Way Overflow pp. 531-555

Peter Sendfeld

Two Queues with Weighted One-Way Overflow pp. 557-558

Peter Sendfeld

On the Finite Buffer Queue with Renewal Input and Batch Markovian Service Process: GI/BMSP/1/N pp. 559-575

A. D. Banik, M. L. Chaudhry and U. C. Gupta

Weak Convergence of the Empirical Mean Excess Process with Application to Estimate the Negative Tail Index pp. 577-593

Jürg Hüsler and Deyuan Li

Gaussian Scenario for the Heat Equation with Quadratic Potential and Weakly Dependent Data with Applications pp. 595-620

N. N. Leonenko and M. D. Ruiz-Medina

First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes pp. 621-644

Andrew N. Downes and Konstantin Borovkov

Volume 10, issue 3, 2008

Cox Point Processes Driven by Ornstein–Uhlenbeck Type Processes pp. 315-335

R. Lechnerová, K. Helisová and V. Beneš

Exact Simulation of IG-OU Processes pp. 337-355

Shibin Zhang and Xinsheng Zhang

Minimum Φ-Divergence Estimator and Φ-Divergence Statistics in Generalized Linear Models with Binary Data pp. 357-379

J. A. Pardo and M. C. Pardo

Algorithms for the Laplace–Stieltjes Transforms of First Return Times for Stochastic Fluid Flows pp. 381-408

Nigel G. Bean, Małgorzata M. O’Reilly and Peter G. Taylor

Runtime Analysis of Ant Colony Optimization with Best-So-Far Reinforcement pp. 409-433

Walter J. Gutjahr and Giovanni Sebastiani

Non-asymptotic Bandwidth Selection for Density Estimation of Discrete Data pp. 435-451

Zdravko I. Botev and Dirk P. Kroese

Simulation Study for the Clan of Ancestors in a Perfect Simulation Scheme of a Continuous One-Dimensional Loss Network pp. 453-469

Nancy L. Garcia and Nevena Marić

Volume 10, issue 2, 2008

Semi-Iterative Minimum Cross-Entropy Algorithms for Rare-Events, Counting, Combinatorial and Integer Programming pp. 121-178

Reuven Rubinstein

Numerical Bounds for Semi-Markovian Quantities and Application to Reliability pp. 179-198

Sophie Mercier

Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation pp. 199-223

Reiichiro Kawai

On the Ruin Problem in a Markov-Modulated Risk Model pp. 225-238

Xin Zhang

Quasi-Monte Carlo for Highly Structured Generalised Response Models pp. 239-275

F. Y. Kuo, W. T. M. Dunsmuir, I. H. Sloan, M. P. Wand and R. S. Womersley

Optimal Scaling for Random Walk Metropolis on Spherically Constrained Target Densities pp. 277-297

Peter Neal and Gareth Roberts

Small and Large Scale Asymptotics of some Lévy Stochastic Integrals pp. 299-314

Vladas Pipiras and Murad S. Taqqu

Volume 10, issue 1, 2008

Brownian Motion and Ornstein–Uhlenbeck Processes in Planar Shape Space pp. 1-22

Frank G. Ball, Ian L. Dryden and Mousa Golalizadeh

On the Boolean Model of Wiener Sausages pp. 23-37

Rostislav Černý, Stefan Funken and Evgueni Spodarev

Tail Dependence Comparison of Survival Marshall–Olkin Copulas pp. 39-54

Haijun Li

On the Distributions of the State Sizes of Discrete Time Homogeneous Markov Systems pp. 55-71

G. Vasiliadis and G. Tsaklidis

Multiple Eigenvalues in Spectral Analysis for Solving QBD Processes pp. 73-83

Winfried K. Grassmann and Steve Drekic

A Factorisation of Diffusion Measure and Finite Sample Path Constructions pp. 85-104

Alexandros Beskos, Omiros Papaspiliopoulos and Gareth O. Roberts

Exact Simulation for Discrete Time Spin Systems and Unilateral Fields pp. 105-120

Emilio De Santis and Mauro Piccioni