Obserwuj
Oscar Peralta
Tytuł
Cytowane przez
Cytowane przez
Rok
Parisian types of ruin probabilities for a class of dependent risk-reserve processes
M Bladt, BF Nielsen, O Peralta
Scandinavian Actuarial Journal 2019 (1), 32-61, 2019
162019
Approximation of ruin probabilities via erlangized scale mixtures
O Peralta, L Rojas-Nandayapa, W Xie, H Yao
Insurance: Mathematics and Economics 78, 136-156, 2018
82018
Rate of strong convergence to Markov-modulated Brownian motion
GT Nguyen, O Peralta
Journal of Applied Probability 59 (1), 1-16, 2022
42022
A Markov jump process associated with the matrix-exponential distribution
O Peralta
Journal of Applied Probability, 1-13, 2022
32022
Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes and applications
M Bladt, O Peralta
arXiv preprint arXiv:2204.02954, 2022
32022
An explicit solution to the Skorokhod embedding problem for double exponential increments
GT Nguyen, O Peralta
Statistics & Probability Letters 165, 108867, 2020
32020
RAP-modulated fluid processes: First passages and the stationary distribution
NG Bean, GT Nguyen, BF Nielsen, O Peralta
Stochastic Processes and their Applications 149, 308-340, 2022
22022
Advances of matrix–analytic methods in risk modelling
O Peralta
DTU Compute, 2019
2*2019
Duration-dependent stochastic fluid processes and solar energy revenue modeling
H Amini, A Minca, O Peralta
arXiv preprint arXiv:2304.06185, 2023
12023
Multivariate matrix-exponential affine mixtures and their applications in risk theory
ECK Cheung, O Peralta, JK Woo
Insurance: Mathematics and Economics 106, 364-389, 2022
12022
Strong convergence to two-dimensional alternating Brownian motion processes
G Latouche, GT Nguyen, O Peralta
Stochastic Models 38 (3), 488-502, 2022
12022
Wong-Zakai approximations with convergence rate for stochastic differential equations with regime switching
GT Nguyen, O Peralta
arXiv e-prints, arXiv: 2101.03250, 2021
12021
Ruin-dependent bivariate stochastic fluid processes
H Amini, A Minca, O Peralta
arXiv preprint arXiv:2307.16567, 2023
2023
Wong--Zakai approximation of regime-switching SDEs via rough path theory
J Barr, GT Nguyen, O Peralta
arXiv preprint arXiv:2304.10062, 2023
2023
Space-grid approximations of hybrid stochastic differential equations and first passage properties
H Albrecher, O Peralta
arXiv preprint arXiv:2211.01844, 2022
2022
Ruin problems for risk processes with dependent phase-type claims
O Peralta, M Simon
arXiv preprint arXiv:2009.13428, 2020
2020
THE MATRIX SEQUENTIAL PROBABILITY RATIO TEST AND MULTIVARIATE RUIN THEORY
H ALBRECHER, O PERALTA
Nie można teraz wykonać tej operacji. Spróbuj ponownie później.
Prace 1–17