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Simulating heavy tailed processes using delayed hazard rate twisting (extended abstract)
ACM SIGMETRICS Performance Evaluation Review
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Simulating heavy tailed processes using delayed hazard rate twisting
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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Tail asymptotics for M/G/1 type queueing processes with subexponential increments
Queueing Systems: Theory and Applications
Appendix: A primer on heavy-tailed distributions
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Sojourn time asymptotics in the M/G/1 processor sharing queue
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Implementation of saddlepoint approximations in resampling problems
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Non-parametric bootstrap recycling
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The estimation of heavy-tailed probability density functions, their mixtures and quantiles
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Inferential Performance Assessment of Stochastic Optimisers and the Attainment Function
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Large Buffer Asymptotics for Fluid Queues with Heterogeneous M/G/∞ Weibullian Inputs
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Tail Asymptotics for the Supremum of a Random Walk when the Mean Is not Finite
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Waiting Time Asymptotics in the Single Server Queue with Service in Random Order
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A Note on Veraverbeke's Theorem
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ON CLASSES OF LIFETIME DISTRIBUTIONS WITH UNKNOWN AGE
Probability in the Engineering and Informational Sciences
UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
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A MAP/G/1 Queue with Negative Customers
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Proceedings of the 35th conference on Winter simulation: driving innovation
On An Equivalence Between Loss Rates And Cycle Maxima In Queues And Dams
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Extremes: A Continuous-Time Perspective
Probability in the Engineering and Informational Sciences
Strategic Long-Term Financial Risks: Single Risk Factors
Computational Optimization and Applications
Maxima of Waiting Times for the Random Order Service M|M|1 Queue
Problems of Information Transmission
High quantile estimation for heavy-tailed distributions
Performance Evaluation - Performance 2005
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Exact and asymptotic distributions of LULU smoothers
Journal of Computational and Applied Mathematics - Special issue: Jef Teugels
Tail asymptotics for the queue length in an M/G/1 retrial queue
Queueing Systems: Theory and Applications
Probability in the Engineering and Informational Sciences
Sojourn time asymptotics in processor-sharing queues
Queueing Systems: Theory and Applications
An Application of Extreme Value Theory for Measuring Financial Risk
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WSC '04 Proceedings of the 36th conference on Winter simulation
Importance sampling simulation in the presence of heavy tails
WSC '05 Proceedings of the 37th conference on Winter simulation
On location estimation for LARCH processes
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Asymptotics in Empirical Risk Minimization
The Journal of Machine Learning Research
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Regular variation and probability: The early years
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Extremal financial risk models and portfolio evaluation
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Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
ACM Transactions on Modeling and Computer Simulation (TOMACS)
ACM SIGMETRICS Performance Evaluation Review
Importance sampling for sums of random variables with regularly varying tails
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Validating and Calibrating Agent-Based Models: A Case Study
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Processor sharing: A survey of the mathematical theory
Automation and Remote Control
Frontier estimation via kernel regression on high power-transformed data
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Path-sampling for state-dependent importance sampling
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End-to-end available bandwidth as a random autocorrelated QoS-relevant time-series
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Stein's Lemma for elliptical random vectors
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The last departure time from an Mt/G/∞ queue with a terminating arrival process
Queueing Systems: Theory and Applications
On asymptotics of the emptiness probability in the M/GI/1 queue
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Temporal aggregation of equity return time-series models
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The limit behavior of a risk model based on entrance processes
Computers & Mathematics with Applications
Activity maxima in random networks in the heavy tail case
Problems of Information Transmission
Catastrophe risk management for sustainable development of regions under risks of natural disasters
Cybernetics and Systems Analysis
Average-Case Competitive Analyses for One-Way Trading
COCOON '08 Proceedings of the 14th annual international conference on Computing and Combinatorics
A moving window approach for nonparametric estimation of the conditional tail index
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Discounting, catastrophic risks management and vulnerability modeling
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Stochastic successive approximation method for assessing the insolvency risk of an insurance company
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The complexity of simulating Brownian Motion
SODA '09 Proceedings of the twentieth Annual ACM-SIAM Symposium on Discrete Algorithms
Subsampling tests for the mean change point with heavy-tailed innovations
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Efficient tail estimation for sums of correlated lognormals
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Optimizing portfolio tail measures: asymptotics and efficient simulation optimization
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Classification of slice-based VBR video traffic and estimation of link loss by exceedance
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Frontier estimation with local polynomials and high power-transformed data
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Modelling the financial risk associated with U.S. movie box office earnings
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Silent networking for energy-constrained nodes
Computer Communications
A hybrid pareto mixture for conditional asymmetric fat-tailed distributions
IEEE Transactions on Neural Networks
The perturbed compound Poisson risk model with two-sided jumps
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Scoring and thresholding for availability
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Functional nonparametric estimation of conditional extreme quantiles
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Heavy-traffic extreme value limits for Erlang delay models
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Asymptotics of the norm of elliptical random vectors
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Computing ruin probability in the classical risk model
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Foreword to the thematical issue "centenary of the queuing theory"
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Beta kernel quantile estimators of heavy-tailed loss distributions
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Journal of Computational and Applied Mathematics - Special issue: Jef Teugels
Exact and asymptotic distributions of LULU smoothers
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Adaptive threshold estimation via extreme value theory
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Queueing approximation of suprema of spectrally positive Lévy process
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Computer simulation of stochastic models with SDE-Solver software package
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ICANN/ICONIP'03 Proceedings of the 2003 joint international conference on Artificial neural networks and neural information processing
IDEAL'07 Proceedings of the 8th international conference on Intelligent data engineering and automated learning
To balance or unbalance load in size-interval task allocation
Probability in the Engineering and Informational Sciences
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Security-capacity trade-off in large wireless networks using keyless secrecy
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Efficient rare event simulation for heavy-tailed compound sums
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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Asymptotic biometric analysis for large gallery sizes
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Asymptotics of the convex hull of spherically symmetric samples
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Average-case competitive analyses for one-way trading
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GARCH dependence in extreme value models with Bayesian inference
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ACC'10 Proceedings of the 2010 international conference on Applied computing conference
A flexible extreme value mixture model
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On Pearson-Kotz Dirichlet distributions
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Approximate shortest path queries using Voronoi duals
Transactions on computational science IX
Approximate shortest path queries using Voronoi duals
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Controlling false match rates in record linkage using extreme value theory
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On the asymptotics of numbers of observations in random regions determined by order statistics
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Tail index estimation in the presence of long-memory dynamics
Computational Statistics & Data Analysis
A semiparametric Bayesian approach to extreme value estimation
Statistics and Computing
Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks
Mathematics and Computers in Simulation
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ADMA'06 Proceedings of the Second international conference on Advanced Data Mining and Applications
The queue length in an M/G/1 batch arrival retrial queue
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Characterization of multivariate heavy-tailed distribution families via copula
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Approximate Bayesian computing for spatial extremes
Computational Statistics & Data Analysis
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NETWORKING'05 Proceedings of the 4th IFIP-TC6 international conference on Networking Technologies, Services, and Protocols; Performance of Computer and Communication Networks; Mobile and Wireless Communication Systems
Investment selection and risk management for insurance corporation
IDEAL'06 Proceedings of the 7th international conference on Intelligent Data Engineering and Automated Learning
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Operations Research Letters
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Reduced-load equivalence for Gaussian processes
Operations Research Letters
Gaussian approximation of conditional elliptical copulas
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A survey on computing Lévy stable distributions and a new MATLAB toolbox
Signal Processing
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Joint distributions of some actuarial random vectors for the Cox risk model
Applied Stochastic Models in Business and Industry
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Rare event simulation techniques
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A note on tail dependence regression
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ACM SIGMETRICS Performance Evaluation Review - Special issue on the 31st international symposium on computer performance, modeling, measurements and evaluation (IFIPWG 7.3 Performance 2013)
Estimation of Spectral Bounds in Gradient Algorithms
Acta Applicandae Mathematicae: an international survey journal on applying mathematics and mathematical applications
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Bayesian analysis of tail asymmetry based on a threshold extreme value model
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