Leonardo Rojas Nandayapa
Leonardo Rojas Nandayapa
Institute of Financial and Actuarial Mathematics, University of Liverpool
Verified email at liverpool.ac.uk - Homepage
Title
Cited by
Cited by
Year
Asymptotics of sums of lognormal random variables with Gaussian copula
S Asmussen, L Rojas-Nandayapa
Statistics & Probability Letters 78 (16), 2709-2714, 2008
942008
On the Laplace transform of the lognormal distribution
S Asmussen, JL Jensen, L Rojas-Nandayapa
Methodology and Computing in Applied Probability 18 (2), 441-458, 2016
78*2016
Efficient simulation of tail probabilities of sums of correlated lognormals
S Asmussen, J Blanchet, S Juneja, L Rojas-Nandayapa
Annals of Operations Research 189 (1), 5-23, 2011
552011
Exponential family techniques for the lognormal left tail
S Asmussen, JL Jensen, L Rojas‐Nandayapa
Scandinavian Journal of Statistics 43 (3), 774-787, 2016
302016
Sums of dependent lognormal random variables: asymptotics and simulation
S Asmussen, L Rojas-Nandayapa
TN Thiele Centre, University of Aarhus, 2006
232006
Stability and performance of greedy server systems
L Rojas-Nandayapa, S Foss, DP Kroese
Queueing Systems 68 (3-4), 221, 2011
212011
Spatial and temporal effects in Mexican direct elections for the chamber of deputies
JJ Fernández-Durán, A Poiré, L Rojas-Nandayapa
Political Geography 23 (5), 529-548, 2004
162004
Approximating the Laplace transform of the sum of dependent lognormals
PJ Laub, S Asmussen, JL Jensen, L Rojas-Nandayapa
Advances in Applied Probability 48 (A), 203-215, 2016
152016
Efficient tail estimation for sums of correlated lognormals
J Blanchet, S Juneja, L Rojas-Nandayapa
2008 Winter Simulation Conference, 607-614, 2008
152008
Efficient simulation of tail probabilities of sums of dependent random variables
JH Blanchet, L Rojas-Nandayapa
Journal of Applied Probability 48, 147-164, 2011
132011
Risk Probabilities: Asymptotics and Simulation: PhD Dissertation
L Rojas-Nandayapa
Department of Mathematical Sciences, University of, 2008
13*2008
Asymptotic tail behaviour of phase-type scale mixture distributions
L Rojas-Nandayapa, W Xie
Annals of Actuarial Science 12 (2), 412-432, 2018
82018
Fitting phase–type scale mixtures to heavy–tailed data and distributions
M Bladt, L Rojas-Nandayapa
Extremes 21 (2), 285-313, 2018
82018
Sums of dependent log-normal random variables with Gaussian copula
S Asmussen, L Rojas-Nandayapa
Statistics & Probability Letters 78, 2709-2714, 2008
82008
Semiparametric Cross Entropy for rare-event simulation
Z Botev, A Ridder, L Rojas-Nandayapa
Journal of Applied Probability 53 (3), 633-649, 2016
52016
Efficient simulation of finite horizon problems in queueing and insurance risk
L Rojas-Nandayapa, S Asmussen
Queueing Systems 57 (2), 85-97, 2007
52007
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
42018
A ruin model with a resampled environment
C Constantinescu, G Delsing, M Mandjes, L Rojas Nandayapa
Scandinavian Actuarial Journal 2020 (4), 323-341, 2020
32020
Efficient simulation for dependent rare events with applications to extremes
LN Andersen, PJ Laub, L Rojas-Nandayapa
Methodology and Computing in Applied Probability 20 (1), 385-409, 2018
22018
Estimating tail probabilities of random sums of infinite mixtures of phase-type distributions
H Yao, L Rojas-Nandayapa, T Taimre
2016 Winter Simulation Conference (WSC), 347-358, 2016
22016
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