Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 24, issue 4, 2022

Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims pp. 2265-2286

Dawei Lu and Meng Yuan

Markovian Arrival Process Subject to Renewal Generated Binomial Catastrophes pp. 2287-2312

Nitin Kumar and Umesh Chandra Gupta

Random Assignment Versus Fixed Assignment in Multilevel Importance Splitting for Estimating Stochastic Reach Probabilities pp. 2313-2338

Hao Ma and Henk A. P. Blom

Optimizing Dividends and Capital Injections Limited by Bankruptcy, and Practical Approximations for the Cramér-Lundberg Process pp. 2339-2371

Florin Avram, Dan Goreac, Rim Adenane and Ulyses Solon

On the Maximum of a Bivariate INMA Model with Integer Innovations pp. 2373-2402

J. Hüsler, M. G. Temido and A. Valente-Freitas

A Multi-Step Algorithm for BSDEs Based On a Predictor-Corrector Scheme and Least-Squares Monte Carlo pp. 2403-2426

Qiang Han and Shaolin Ji

Multi-Point and Multi-Interval Bounded-Covering Availability Measures for Aggregated Markovian Repairable Systems pp. 2427-2453

He Yi, Lirong Cui, Narayanaswamy Balakrishnan and Jingyuan Shen

A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks pp. 2455-2484

Sabrina Mulinacci

Analysis of a Multiple Dual-Stage Vacation Queueing System with Disaster and Repairable Server pp. 2485-2508

Sudhesh R., Mohammed Shapique A. and Dharmaraja S.

Hawkes Processes Framework With a Gamma Density As Excitation Function: Application to Natural Disasters for Insurance pp. 2509-2537

Laurent Lesage, Madalina Deaconu, Antoine Lejay, Jorge Augusto Meira, Geoffrey Nichil and Radu State

Stochastic Analysis of an Eco-Epidemic Model with Biological Control pp. 2539-2555

Debasis Mukherjee

Numerical Resolution of McKean-Vlasov FBSDEs Using Neural Networks pp. 2557-2586

Maximilien Germain, Joseph Mikael and Xavier Warin

Statistical Causality for Multivariate Nonlinear Time Series via Gaussian Process Models pp. 2587-2632

Anna B. Zaremba and Gareth W. Peters

Accelerating the Pool-Adjacent-Violators Algorithm for Isotonic Distributional Regression pp. 2633-2645

Alexander Henzi, Alexandre Mösching and Lutz Dümbgen

Bounds for the Renewal Function and Related Quantities pp. 2647-2660

Sotirios Losidis and Konstadinos Politis

On Some Distributional Properties of Subordinated Gaussian Random Fields pp. 2661-2688

Robin Merkle and Andrea Barth

Distributions of $$({k}_{1},{k}_{2},\dots,{k}_{m})$$ ( k 1, k 2, ⋯, k m ) -runs with Multi-state Trials pp. 2689-2702

Xian Zhao, Yanbo Song, Xiaoyue Wang and Zhiyue Lv

Kac-Ornstein-Uhlenbeck Processes: Stationary Distributions and Exponential Functionals pp. 2703-2721

Nikita Ratanov

On Distribution and Average Run Length of a Two-Stage Control Process pp. 2723-2742

Hsing-Ming Chang and James C. Fu

Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with more General Dependent Claim Risks and Defaultable Risk pp. 2743-2777

Yan Zhang, Peibiao Zhao and Rufei Ma

Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps pp. 2779-2800

Ehyter Matías Martín-González, Antonio Murillo-Salas and Henry Pantí

On the Mean and Variance Residual Life Comparisons of Coherent Systems with Identically Distributed Components pp. 2801-2822

Elham Khaleghpanah Noughabi, Majid Chahkandi and Majid Rezaei

A Discontinuous Galerkin Method for Approximating the Stationary Distribution of Stochastic Fluid-Fluid Processes pp. 2823-2864

Nigel Bean, Angus Lewis, Giang T. Nguyen, Małgorzata M. O’Reilly and Vikram Sunkara

Construction and Simulation of Generalized Multivariate Hawkes Processes pp. 2865-2896

Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niewęgłowski

Sojourn-time Distribution for $$M/G^a/1$$ M / G a / 1 Queue with Batch Service of Fixed Size - Revisited pp. 2897-2912

Veena Goswami, Mohan Chaudhry and Abhijit Datta Banik

Optimal Investment and Risk Control Strategies for an Insurer Subject to a Stochastic Economic Factor in a Lévy Market pp. 2913-2931

Weiwei Shen and Juliang Yin

On Properties of the Phase-type Mixed Poisson Process and its Applications to Reliability Shock Modeling pp. 2933-2960

Dheeraj Goyal, Nil Kamal Hazra and Maxim Finkelstein

General M-Estimator Processes and their m out of n Bootstrap with Functional Nuisance Parameters pp. 2961-3005

Salim Bouzebda, Issam Elhattab and Anouar Abdeldjaoued Ferfache

The Computational Cost of Blocking for Sampling Discretely Observed Diffusions pp. 3007-3027

Marcin Mider, Paul A. Jenkins, Murray Pollock and Gareth O. Roberts

Stochastic Simulation Algorithms for Solving Transient Anisotropic Diffusion-recombination Equations and Application to Cathodoluminescence Imaging pp. 3029-3048

Karl K. Sabelfeld and Anastasia E. Kireeva

Single-Index Importance Sampling with Stratification pp. 3049-3073

Erik Hintz, Marius Hofert, Christiane Lemieux and Yoshihiro Taniguchi

Moments of the Ruin Time in a Lévy Risk Model pp. 3075-3099

Philipp Lukas Strietzel and Anita Behme

Analysis of a Stochastic Single-Species Model with Intraspecific Cooperation pp. 3101-3120

Yuqian Zhang, Yingbo Fan and Meng Liu

Bayesian Analysis of Proportions via a Hidden Markov Model pp. 3121-3139

Ceren Eda Can, Gul Ergun and Refik Soyer

Reliability Assessment for Censored $${\boldsymbol{\delta}}$$ δ -Shock Models pp. 3141-3173

Stathis Chadjiconstantinidis and Serkan Eryilmaz

Approximations of Copulas via Transformed Moments pp. 3175-3193

Robert M. Mnatsakanov, Hansjoerg Albrecher and Stephane Loisel

Markovian Online Matching Algorithms on Large Bipartite Random Graphs pp. 3195-3225

Mohamed Habib Aliou Diallo Aoudi, Pascal Moyal and Vincent Robin

Correction to: Markovian Online Matching Algorithms on Large Bipartite Random Graphs pp. 3227-3227

Mohamed Habib Aliou Diallo Aoudi, Pascal Moyal and Vincent Robin

An Examination of the Negative Occupancy Distribution and the Coupon-Collector Distribution pp. 3229-3260

Ben O’Neill

Volume 24, issue 3, 2022

Difference Equations Approach for Multi-Server Queueing Models with Removable Servers pp. 1297-1321

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

Ji Hwan Cha, Maxim Finkelstein and Gregory Levitin

Asymptotics of Running Maxima for φ-Subgaussian Random Double Arrays pp. 1341-1366

Nour Al Hayek, Illia Donhauzer, Rita Giuliano, Andriy Olenko and Andrei Volodin

Rare Events in Random Geometric Graphs pp. 1367-1383

Christian Hirsch, Sarat B. Moka, Thomas Taimre and Dirk P. Kroese

Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty pp. 1385-1409

Ran Xu, Wenyuan Wang and Jose Garrido

Duality Between the Local Score of One Sequence and Constrained Hidden Markov Model pp. 1411-1438

Sabine Mercier and Grégory Nuel

Equilibrium Joining Strategies of Positive Customers in a Markovian Queue with Negative Arrivals and Working Vacations pp. 1439-1466

Gopinath Panda and Veena Goswami

Stochastic Model of Conditional Non-stationary Time Series of the Wind Chill Index in West Siberia pp. 1467-1483

Nina Kargapolova and Vasily Ogorodnikov

Joint Reliability Function of Coherent Systems with Shared Heterogeneous Components pp. 1485-1502

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

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

Uchenna Chinedu Nduka

Dynamical Behaviors of a Stochastic Single-Species Model with Allee Effects pp. 1553-1563

Famei Zheng and Guixin Hu

Moments for Hawkes Processes with Gamma Decay Kernel Functions pp. 1565-1601

Lirong Cui, Bei Wu and Juan Yin

Solving Elliptic Equations with Brownian Motion: Bias Reduction and Temporal Difference Learning pp. 1603-1626

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

Dheeraj Goyal, Nil Kamal Hazra and Maxim Finkelstein

Two Reliability Acceptance Sampling Plans for Items Subject to Wiener Process of Degradation pp. 1651-1668

Ji Hwan Cha and Sophie Mercier

A New Robust Class of Skew Elliptical Distributions pp. 1669-1691

Hok Shing Kwong and Saralees Nadarajah

A Numerical Approach for Evaluating the Time-Dependent Distribution of a Quasi Birth-Death Process pp. 1693-1715

Michel Mandjes and Birgit Sollie

On Dependent Multi-State Semi-Coherent Systems Based on Multi-State Joint Signature pp. 1717-1734

He Yi, Narayanaswamy Balakrishnan and Lirong Cui

Modelling with the Novel INAR(1)-PTE Process pp. 1735-1751

Emrah Altun and Naushad Mamode Khan

Using Infinite-server Resource Queue with Splitting of Requests for Modeling Two-channel Data Transmission pp. 1753-1772

Tatyana Bushkova, Svetlana Moiseeva, Alexander Moiseev, János Sztrik, Ekaterina Lisovskaya and Ekaterina Pankratova

Several Topological Indices of Random Caterpillars pp. 1773-1789

Panpan Zhang and Xiaojing Wang

Cornish-Fisher Expansions for Functionals of the Weighted Partial Sum Empirical Distribution pp. 1791-1804

Christopher S. Withers and Saralees Nadarajah

First Hitting Time of Brownian Motion on Simple Graph with Skew Semiaxes pp. 1805-1831

Angelos Dassios and Junyi Zhang

A Family of Induced Distributions pp. 1833-1848

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

He Yi, Lirong Cui and Narayanaswamy Balakrishnan

Discrete Tempered Stable Distributions pp. 1877-1890

Michael Grabchak

Revisiting Best Linear Unbiased Estimation of Location-Scale Parameters Based on Optimally Selected Order Statistics Using Compound Design pp. 1891-1915

Narayanaswamy Balakrishnan and Ritwik Bhattacharya

Profit Optimization of Cattle Growth with Variable Prices pp. 1917-1952

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

Michel Denuit and Christian Y. Robert

Multivariate Reversed Hazard Rates and Inactivity Times of Systems pp. 1987-2008

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

Xiaojun Zhu, Narayanaswamy Balakrishnan and Hon-Yiu So

Convergence Rates of Attractive-Repulsive MCMC Algorithms pp. 2029-2054

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

Hédi Nabli

Asymptotic Behavior of Common Connections in Sparse Random Networks pp. 2071-2092

Bikramjit Das, Tiandong Wang and Gengling Dai

Efficient Algorithms for Tail Probabilities of Exchangeable Lognormal Sums pp. 2093-2121

Kemal Dinçer Dingeç and Wolfgang Hörmann

Unbiased Simulation of Rare Events in Continuous Time pp. 2123-2148

James Hodgson, Adam Johansen and Murray Pollock

Estimating the Logarithm of Characteristic Function and Stability Parameter for Symmetric Stable Laws pp. 2149-2167

Jüri Lember and Annika Krutto

A Multinomial Approximation Approach for the Finite Time Survival Probability Under the Markov-modulated Risk Model pp. 2169-2194

Jingchao Li, Bihao Su, Zhenghong Wei and Ciyu Nie

Stochastic Analysis of Rumor Spreading with Multiple Pull Operations pp. 2195-2211

Frédérique Robin, Bruno Sericola, Emmanuelle Anceaume and Yves Mocquard

Ruin Probability for Finite Erlang Mixture Claims Via Recurrence Sequences pp. 2213-2236

Luis Rincón and David J. Santana

Variance Bounding of Delayed-Acceptance Kernels pp. 2237-2260

Chris Sherlock and Anthony Lee

Correction to: Asymptotic Normality for Inference on Multisample, High-Dimensional Mean Vectors Under Mild Conditions pp. 2261-2261

Makoto Aoshima and Kazuyoshi Yata

Correction to: High-Dimensional Quadratic Classifiers in Non-sparse Settings pp. 2263-2263

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

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

Franck Adékambi and Essodina Takouda

On The Randomized Schmitter Problem pp. 515-535

Hansjörg Albrecher and José Carlos Araujo-Acuna

Ruin and Dividend Measures in the Renewal Dual Risk Model pp. 537-569

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

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

Julien Callant, Julien Trufin and Pierre Zuyderhoff

Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback pp. 613-634

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

Fenge Chen, Bing Li and Xingchun Peng

Deep Learning for Constrained Utility Maximisation pp. 661-692

Ashley Davey and Harry Zheng

Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses pp. 693-711

Michel Denuit and Christian Y. Robert

Estimation of Tempered Stable Lévy Models of Infinite Variation pp. 713-747

José E. Figueroa-López, Ruoting Gong and Yuchen Han

Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes pp. 749-788

Pavel V. Gapeev

Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions pp. 789-813

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

Daniel J. Geiger and Akim Adekpedjou

A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy pp. 831-874

Wentao Hu, Cuixia Chen, Yufeng Shi and Ze Chen

General Draw-Down Times for Refracted Spectrally Negative Lévy Processes pp. 875-891

Xuan Huang and Jieming Zhou

A Numerical Method for Hedging Bermudan Options under Model Uncertainty pp. 893-916

Junichi Imai

Dynamic Bivariate Mortality Modelling pp. 917-938

Ying Jiao, Yahia Salhi and Shihua Wang

On the Risk of Ruin in a SIS Type Epidemic pp. 939-961

Claude Lefèvre and Matthieu Simon

Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model pp. 963-990

Charles Guy Njike Leunga and Donatien Hainaut

Inference for the Lee-Carter Model With An AR(2) Process pp. 991-1019

Deyuan Li, Chen Ling, Qing Liu and Liang Peng

Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees pp. 1021-1049

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

Mhamed Mesfioui and Julien Trufin

On a Markovian Game Model for Competitive Insurance Pricing pp. 1061-1091

Claire Mouminoux, Christophe Dutang, Stéphane Loisel and Hansjoerg Albrecher

Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling pp. 1093-1118

Khouzeima Moutanabbir and Hassan Abdelrahman

Manage Pension Deficit with Heterogeneous Insurance pp. 1119-1141

Sheng De-Lei, Linfeng Shi, Danping Li and Yanping Zhao

On Accelerating Monte Carlo Integration Using Orthogonal Projections pp. 1143-1168

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

Yingxu Tian, Zhongyang Sun and Junyi Guo

Fraction-Degree Reference Dependent Stochastic Dominance pp. 1193-1219

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

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

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

Xiaoyi Zhang

Robust Optimal Investment Problem with Delay under Heston’s Model pp. 1271-1296

Ying Zhao, Hui Mi and Lixia Xu

Volume 24, issue 1, 2022

An Evolutionary Model that Satisfies Detailed Balance pp. 1-37

Jüri Lember and Chris Watkins

Variance Swaps Under Multiscale Stochastic Volatility of Volatility pp. 39-64

Min-Ku Lee, See-Woo Kim and Jeong-Hoon Kim

Batch Size Selection for Variance Estimators in MCMC pp. 65-93

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

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

Achref Bachouch, Côme Huré, Nicolas Langrené and Huyên Pham

Matrix Variate Two-Sided Power Distribution pp. 179-194

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

Yang Woo Shin

Assessment of Shock Models for a Particular Class of Intershock Time Distributions pp. 213-231

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

Zhongqin Gao, Jingmin He, Zhifeng Zhao and Bingbing Wang

Profile of Random Exponential Recursive Trees pp. 259-275

Hosam Mahmoud

The Eigen-Distribution for Multi-Branching Weighted Trees on Independent Distributions pp. 277-287

Weiguang Peng, NingNing Peng and Kazuyuki Tanaka

Stochastic Fluid Models with Positive Jumps at Level Zero pp. 289-308

Hédi Nabli

Competing Risks Modeling by Extended Phase-Type Semi-Markov Distributions pp. 309-319

Brenda Garcia-Maya, Nikolaos Limnios and Bo Henry Lindqvist

Integer-valued Bilinear Model with Dependent Counting Series pp. 321-343

Sakineh Ramezani and Mehrnaz Mohammadpour

On Cumulative Entropies in Terms of Moments of Order Statistics pp. 345-359

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

Lu Yang, Chengke Zhang and Huainian Zhu

A Fourier Transform Method for Solving Backward Stochastic Differential Equations pp. 385-412

Yingming Ge, Lingfei Li and Gongqiu Zhang

Nonlinear Unbalanced Urn Models via Stochastic Approximation pp. 413-430

Soumaya Idriss

Investigating Several Fundamental Properties of Random Lobster Trees and Random Spider Trees pp. 431-447

Yuxin Ren, Panpan Zhang and Dipak K. Dey

Uniform Preferential Selection Model for Generating Scale-free Networks pp. 449-470

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

Joseph Glaz

Correction to: Editorial of the Special Issue of MCAP: S4G Stochastic Geometry, Stereology and Spatial Statistics pp. 473-473

Joseph Glaz