Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 18, issue 4, 2016

Editorial pp. 935-936

S. Eryilmaz and Markos V. Koutras

Piecewise Linear Approximations for Cure Rate Models and Associated Inferential Issues pp. 937-966

N. Balakrishnan, M. V. Koutras, F. S. Milienos and S. Pal

Multiple Window Scan Statistics for Two Dimensional Poisson Processes pp. 967-977

Jie Chen and Joseph Glaz

Merging Exchangeable Occupancy Distributions: The Family 𝓜 ( a ) $\mathcal {M}^{(a)}$ and its Connection with the Maximum Entropy Principle pp. 979-997

Francesca Collet, Fabrizio Leisen and Fabio Spizzichino

Some New Concepts and Their Computational Formulae in Aggregated Stochastic Processes with Classifications Based on Sojourn Times pp. 999-1019

Lirong Cui, Quan Zhang and Dejing Kong

Some Sufficient Conditions for Stochastic Comparisons Between Hitting Times for Skip-free Markov Chains pp. 1021-1034

Emilio De Santis and Fabio Spizzichino

Decomposing Hitting Times of Walks on Graphs into Simpler Ones pp. 1035-1042

Miguel Río and José Luis Palacios

A Pseudo-Pareto Distribution and Concomitants of Its Order Statistics pp. 1043-1064

Omer L. Gebizlioglu and Serap Yörübulut

Power Laws Variance Scaling of Boolean Random Varieties pp. 1065-1079

Dominique Jeulin

Stochastic Comparisons Between Lifetimes of Reliability Systems with Exchangeable Components pp. 1081-1095

Markos V. Koutras, Ioannis S. Triantafyllou and Serkan Eryilmaz

Asymptotic Multivariate Dominance: A Financial Application pp. 1097-1115

Sergio Ortobelli Lozza, Tommaso Lando, Filomena Petronio and Tomáš Tichý

Stirling’s Formula for Gamma Functions, Bounds for Ratios of Gamma Functions, Beta Functions and Percentiles of a Studentized Sample Mean: A Synthesis with New Results pp. 1117-1127

Nitis Mukhopadhyay and Mun S. Son

A Stochastic Model for Multi-Hierarchical Networks pp. 1129-1151

David Neuhäuser, Christian Hirsch, Catherine Gloaguen and Volker Schmidt

An Analytic Expression for the Distribution of the Generalized Shiryaev–Roberts Diffusion pp. 1153-1195

Aleksey S. Polunchenko and Grigory Sokolov

An Operator Property of the Distribution of a Nonhomogeneous Poisson Process with Applications pp. 1197-1215

Georgios Psarrakos

Interaction Processes for Unions of Facets, the Asymptotic Behaviour with Increasing Intensity pp. 1217-1239

Jakub Večeřa and Viktor Beneš

Volume 18, issue 3, 2016

On the Accuracy of the MAP Inference in HMMs pp. 597-627

Kristi Kuljus and Jüri Lember

Parameter Estimation of Discrete Multivariate Phase-Type Distributions pp. 629-651

Qi-Ming He and Jiandong Ren

Vector-Valued Tail Value-at-Risk and Capital Allocation pp. 653-674

Hélène Cossette, Mélina Mailhot, Étienne Marceau and Mhamed Mesfioui

Ruin Probability in a Correlated Aggregate Claims Model with Common Poisson Shocks: Application to Reinsurance pp. 675-689

Xiang Hu and Lianzeng Zhang

Stochastic Integral Representations of the Extrema of Time-homogeneous Diffusion Processes pp. 691-715

Runhuan Feng

Scan Statistic Tail Probability Assessment Based on Process Covariance and Window Size pp. 717-745

Anat Reiner-Benaim

Number of Jumps in Two-Sided First-Exit Problems for a Compound Poisson Process pp. 747-764

Shuanming Li, Yi Lu and Can Jin

A Copula-Based Method to Build Diffusion Models with Prescribed Marginal and Serial Dependence pp. 765-783

Enrico Bibbona, Laura Sacerdote and Emiliano Torre

Exact Confidence Intervals of the Extended Orey Index for Gaussian Processes pp. 785-804

Kęstutis Kubilius and Dmitrij Melichov

Background Risk Models and Stepwise Portfolio Construction pp. 805-827

Alexandru V. Asimit, Raluca Vernic and Ricardas Zitikis

Option Pricing Under Jump-Diffusion Processes with Regime Switching pp. 829-845

Nikita Ratanov

Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions pp. 847-867

Stephen Taylor, Scott Glasgow, James Taylor and Jan Vecer

Optimal Scaling for the Pseudo-Marginal Random Walk Metropolis: Insensitivity to the Noise Generating Mechanism pp. 869-884

Chris Sherlock

Estimation for Discrete-time Semi-Markov Reward Processes: Analysis and Inference pp. 885-900

K. Khorshidian, F. Negahdari and H. A. Mardnifard

Stochastic Asymptotic Stability of Nowak-May Model with Variable Diffusion Rates pp. 901-910

M. Pitchaimani and R. Rajaji

Expansions for Log Densities of Multivariate Estimates pp. 911-920

Christopher S. Withers and Saralees Nadarajah

Dependence Assessment Based on Generalized Relative Complexity: Application to Sampling Network Design pp. 921-933

F. J. Alonso, M. C. Bueso and J. M. Angulo

Volume 18, issue 2, 2016

The Markov Additive Risk Process Under an Erlangized Dividend Barrier Strategy pp. 275-306

Zhimin Zhang and Eric C. K. Cheung

Numerically Stable Methods for the Computation of Exit Rates in Markov Chains pp. 307-334

Juan A. Carrasco

Twisting the Alive Particle Filter pp. 335-358

Adam Persin and Ajay Jasr

Characterization and Enumeration of Certain Classes of Tenable Pólya Urns Grown by Drawing Multisets of Balls pp. 359-375

Scott R. Konzem and Hosam M. Mahmoud

A Random Shock Model with Mixed Effect, Including Competing Soft and Sudden Failures, and Dependence pp. 377-400

Sophie Mercier and Hai Ha Pham

Bivariate Issues in Leader Election Algorithms with Marshall-Olkin Limit Distribution pp. 401-418

Cheng Zhang and Hosam Mahmoud

Analysis of B M A P/M S P/1 Queue pp. 419-440

S. K. Samanta, M. L. Chaudhry and A. Pacheco

On the Laplace Transform of the Lognormal Distribution pp. 441-458

Søren Asmussen, Jens Ledet Jensen and Leonardo Rojas-Nandayapa

A Reduced-Form Model for Correlated Defaults with Regime-Switching Shot Noise Intensities pp. 459-486

Yinghui Dong, Kam C. Yuen, Guojing Wang and Chongfeng Wu

Birth and Death Chains on Finite Trees: Computing their Stationary Distribution and Hitting Times pp. 487-498

José Luis Palacios and Daniel Quiroz

Analysis and Approximation of a Stochastic Growth Model with Extinction pp. 499-515

Fabien Campillo, Marc Joannides and Irène Larramendy-Valverde

Waiting Time Distribution for the Emergence of Superpatterns pp. 517-528

Anant P. Godbole and Martha Liendo

Preservation of Stochastic Orders under the Formation of Generalized Distorted Distributions. Applications to Coherent Systems pp. 529-545

Jorge Navarro, Yolanda Águila, Miguel A. Sordo and Alfonso Suárez-Llorens

Earthquake Forecasting Based on Multi-State System Methodology pp. 547-561

A. Karagrigoriou, A. Makrides, T. Tsapanos and G. Vougiouka

Scan Statistics for Detecting a Local Change in Variance for Normal Data with Known Variance pp. 563-573

Bo Zhao and Joseph Glaz

On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility pp. 575-596

Alessandro Ramponi

Volume 18, issue 1, 2016

Adaptive Rejection Metropolis Simulated Annealing for Detecting Global Maximum Regions pp. 1-19

Huaiye Zhang and Inyoung Kim

ϕ-Divergence Based Procedure for Parametric Change-Point Problems pp. 21-35

A. Batsidis, N. Martín, L. Pardo and K. Zografos

A Law of the Iterated Logarithm for the Sojourn Time Process in Queues in Series pp. 37-57

Saulius Minkevičius, Vladimiras Dolgopolovas and Leonidas L. Sakalauskas

Second-Order Characteristics of the Edge System of Random Tessellations and the PPI Value of Foams pp. 59-79

Claudia Redenbach, Joachim Ohser and Ali Moghiseh

Nonidentifiability of the Two-State BMAP pp. 81-106

Joanna Rodríguez, Rosa E. Lillo and Pepa Ramírez-Cobo

On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model pp. 107-135

Romuald Hervé Momeya and Manuel Morales

Estimating Response Ratios from Continuous Outcome Data pp. 137-151

Jørund Gåsemyr, Bent Natvig and Ingunn Fride Tvete

A Functional Central Limit Theorem for a Markov-Modulated Infinite-Server Queue pp. 153-168

D. Anderson, J. Blom, M. Mandjes, H. Thorsdottir and K. Turck

On First Hitting Times for Skew CIR Processes pp. 169-180

Shiyu Song, Guangli Xu and Yongjin Wang

Higher-order expansions of distributions of maxima in a Hüsler-Reiss model pp. 181-196

Enkelejd Hashorva, Zuoxiang Peng and Zhichao Weng

Rare Event Probability Estimation in the Presence of Epistemic Uncertainty on Input Probability Distribution Parameters pp. 197-216

Mathieu Balesdent, Jérôme Morio and Loïc Brevault

Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion pp. 217-235

Riccardo Gatto and Benjamin Baumgartner

On the Evaluation of Expected Penalties at Claim Instants That Cause Ruin in the Classical Risk Model pp. 237-255

Yi Lu

Analysis of a Multivariate Claim Process pp. 257-273

Qi-Ming He and Jiandong Ren