Select Publications
Preprints
2021, Exact simulation of extrinsic stress-release processes, , http://arxiv.org/abs/2106.14415v1
,2020, Approximate Bayesian Computations to fit and compare insurance loss models, , http://arxiv.org/abs/2007.03833v2
,2020, Quickest detection in practice in presence of seasonality: An illustration with call center data, , http://arxiv.org/abs/2006.04576v1
,2018, Rare tail approximation using asymptotics and $L^1$ polar coordinates, , http://arxiv.org/abs/1809.06594v1
,2017, Tail asymptotics of light-tailed Weibull-like sums, , http://arxiv.org/abs/1712.04070v1
,2017, Orthogonal polynomial expansions to evaluate stop-loss premiums, , http://arxiv.org/abs/1712.03468v2
,2017, Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables, , http://arxiv.org/abs/1711.11218v2
,2016, Efficient simulation for dependent rare events with applications to extremes, , http://arxiv.org/abs/1609.09725v2
,2016, Orthonormal polynomial expansions and lognormal sum densities, , http://arxiv.org/abs/1601.01763v1
,2015, Approximating the Laplace transform of the sum of dependent lognormals, , http://arxiv.org/abs/1507.03750v2
,2015, Hawkes Processes, , http://arxiv.org/abs/1507.02822v1
,