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1

On the Laplace Transform of the Lognormal Distribution

Asmussen, Søren, Jensen, Jens Ledet, Rojas-Nandayapa, Leonardo

Journal:

Methodology and Computing in Applied Probability

Year:

2016

Language:

english

File:

PDF, 531 KB

english, 2016

2

Asymptotic tail behaviour of phase-type scale mixture distributions

Rojas-Nandayapa, Leonardo, Xie, Wangyue

Journal:

Annals of Actuarial Science

Year:

2017

Language:

english

File:

PDF, 259 KB

english, 2017

3

Approximation of ruin probabilities via Erlangized scale mixtures

Peralta, Oscar, Rojas-Nandayapa, Leonardo, Xie, Wangyue, Yao, Hui

Journal:

Insurance: Mathematics and Economics

Year:

2018

Language:

english

File:

PDF, 932 KB

english, 2018

4

Fitting phase–type scale mixtures to heavy–tailed data and distributions

Bladt, Mogens, Rojas-Nandayapa, Leonardo

Journal:

Year:

2018

Language:

english

File:

PDF, 1.47 MB

english, 2018

5

Asymptotics of sums of lognormal random variables with Gaussian copula

Søren Asmussen, Leonardo Rojas-Nandayapa

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 845 KB

english, 2008

6

Efficient simulation of tail probabilities of sums of

Søren Asmussen, José Blanchet, Sandeep Juneja, Leonardo Rojas-Nandayapa

Journal:

Annals of Operations Research

Year:

2011

Language:

english

File:

PDF, 597 KB

english, 2011

7

Efficient simulation of finite horizon problems in queueing and insurance risk

Leonardo Rojas-Nandayapa, Søren Asmussen

Journal:

Queueing Systems

Year:

2007

Language:

english

File:

PDF, 537 KB

english, 2007

8

Stability and performance of greedy server systems

Leonardo Rojas-Nandayapa, Sergey Foss, Dirk P. Kroese

Journal:

Queueing Systems

Year:

2011

Language:

english

File:

PDF, 343 KB

english, 2011

9

Non-existence of stabilizing policies for the critical push–pull network and generalizations

Nazarathy, Yoni, Rojas-Nandayapa, Leonardo, Salisbury, Thomas S.

Journal:

Operations Research Letters

Year:

2013

Language:

english

File:

PDF, 271 KB

english, 2013

10

[IEEE 2008 Winter Simulation Conference (WSC) - Miami, FL, USA (2008.12.7-2008.12.10)] 2008 Winter Simulation Conference - Efficient tail estimation for sums of correlated lognormals

Blanchet, Jose, Juneja, Sandeep, Rojas-Nandayapa, Leonardo

Year:

2008

Language:

english

File:

PDF, 356 KB

english, 2008

11

Exponential Family Techniques for the Lognormal Left Tail

Asmussen, Søren, Jensen, Jens Ledet, Rojas-Nandayapa, Leonardo

Journal:

Scandinavian Journal of Statistics

Year:

2016

Language:

english

File:

PDF, 231 KB

english, 2016

12

Approximating the Laplace transform of the sum of dependent lognormals

Laub, Patrick J., Asmussen, Søren, Jensen, Jens L., Rojas-Nandayapa, Leonardo

Journal:

Advances in Applied Probability

Year:

2016

Language:

english

File:

PDF, 198 KB

english, 2016

13

[IEEE 2016 Winter Simulation Conference (WSC) - Washington, DC, USA (2016.12.11-2016.12.14)] 2016 Winter Simulation Conference (WSC) - Estimating tail probabilities of random sums of infinite mixtures of phase-type distributions

Hui Yao,, Rojas-Nandayapa, Leonardo, Taimre, Thomas

Year:

2016

Language:

english

File:

PDF, 9.25 MB

english, 2016

14

Efficient simulation of tail probabilities of sums of dependent random variables

Blanchet, Jose H., Rojas-Nandayapa, Leonardo

Journal:

Journal of Applied Probability

Year:

2011

Language:

english

File:

PDF, 232 KB

english, 2011

15

Efficient simulation of tail probabilities of sums of dependent random variables

Blanchet, Jose H., Rojas-Nandayapa, Leonardo

Journal:

Journal of Applied Probability

Year:

2011

File:

PDF, 232 KB

2011

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