Gennady Samorodnitsky
Gennady Samorodnitsky
Verified email at cornell.edu
TitleCited byYear
Stable non-Gaussian random processes: stochastic models with infinite variance
G Samoradnitsky
Routledge, 2017
61352017
Extreme value theory as a risk management tool
P Embrechts, SI Resnick, G Samorodnitsky
North American Actuarial Journal 3 (2), 30-41, 1999
5371999
Subexponentiality of the product of independent random variables
DBH Cline, G Samorodnitsky
Stochastic Processes and their Applications 49 (1), 75-98, 1994
3601994
Long range dependence
G Samorodnitsky
Foundations and Trends® in Stochastic Systems 1 (3), 163-257, 2007
2342007
Heavy tails and long range dependence in on/off processes and associated fluid models
D Heath, S Resnick, G Samorodnitsky
Mathematics of operations research 23 (1), 145-165, 1998
2301998
Subadditivity re-examined: the case for Value-at-Risk
J Danielsson, BN Jorgensen, S Mandira, G Samorodnitsky, CG De Vries
Cornell University Operations Research and Industrial Engineering, 2005
1372005
The supremum of a negative drift random walk with dependent heavy-tailed steps
T Mikosch, G Samorodnitsky
The Annals of Applied Probability 10 (3), 1025-1064, 2000
1272000
Fat tails, VaR and subadditivity
J Daníelsson, BN Jorgensen, G Samorodnitsky, M Sarma, CG de Vries
Journal of econometrics 172 (2), 283-291, 2013
1112013
Living on the edge
P Embrechts, S Resnick, G Samorodnitsky
Risk 11 (1), 96-100, 1998
1101998
Ruin theory revisited: stochastic models for operational risk
P Embrechts, G Samorodnitsky
Cornell University Operations Research and Industrial Engineering, 2002
1072002
Patterns of buffer overflow in a class of queues with long memory in the input stream
D Heath, S Resnick, G Samorodnitsky
The Annals of Applied Probability 7 (4), 1021-1057, 1997
1021997
Functional large deviations for multivariate regularly varying random walks
H Hult, F Lindskog, T Mikosch, G Samorodnitsky
The Annals of Applied Probability 15 (4), 2651-2680, 2005
852005
Multivariate extremes, aggregation and risk estimation
HA Hauksson, M Dacorogna, T Domenig, U Mller, G Samorodnitsky
Taylor & Francis Group 1 (1), 79-95, 2001
852001
Distributions of subadditive functionals of sample paths of infinitely divisible processes
J Rosinski, G Samorodnitsky
The Annals of Probability 21 (2), 996-1014, 1993
841993
Modeling teletraffic arrivals by a Poisson cluster process
G Fa˙, B González-Arévalo, T Mikosch, G Samorodnitsky
Queueing Systems 54 (2), 121-140, 2006
792006
Activity periods of an infinite server queue and performance of certain heavy tailed fluid queues
S Resnick, G Samorodnitsky
Queueing Systems 33 (1-3), 43-71, 1999
791999
Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes
G Samorodnitsky
The Annals of Probability 32 (2), 1438-1468, 2004
732004
Variable heavy tails in internet traffic
F Hernandez-Campos, JS Marron, G Samorodnitsky, FD Smith
Performance Evaluation 58 (2-3), 261-284, 2004
682004
Stable non-Gaussian random processes: stochastic models with infinite variance
MS Taqqu
Chapman & Hall, 1994
661994
Do financial returns have finite or infinite variance? A paradox and an explanation
M Grabchak, G Samorodnitsky
Quantitative Finance 10 (8), 883-893, 2010
582010
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