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Jeffrey F. CollamoreProfessorAddress: Department of Mathematical Sciences University of Copenhagen Universitetsparken 5 DK-2100 Copenhagen Ø, Denmark E-mail: collamore-at-math.ku.dk Phone: +45 3532 0782 Fax: +45 3532 9555 |
Professional Biography
Faculty member at the Department of Mathematical Sciences since 2002.
Prior positions:
Department of Mathematics
(RiskLab), ETH Zürich, Switzerland, 2000-2;
Financial Stochastics Group, EURANDOM, The Netherlands, 1999-2000;
Department of Mathematical Statistics, Lund University, Sweden, 1998-9;
Department of Statistics,
University of Illinois, Urbana-Champaign, U.S.A., 1996-8.
M.A., Ph.D., Mathematics,
University of Wisconsin, Madison.
B.S., Physics, Mathematics, University of California, San Diego.
Links:
[U.COPENHAGEN |
ETH |
RISKLAB |
EURANDOM |
LUNDU. |
U.ILLINOIS |
U.WISCONSIN |
UCSD]
Research Interests
Pure and Applied Probability:
Insurance and Finance:
Selected Publications:
COLLAMORE, J. F. AND
MENTEMEIER, S. (2018). Large excursions and conditioned laws for recursive sequences generated by random matrices.
Ann. Probab. 46 (4), 2064-2120.
[REPRINT |
JOURNAL'S ONLINE VERSION | PREPRINT AT MATH ARXIV]
Conferences, 2015-present:
BURACZEWSKI, D.,
COLLAMORE, J. F.,
DAMEK, E. AND
ZIENKIEWICZ, J. (2016).
Large deviation estimates for exceedance times of perpetuity sequences and their dual processes. Ann. Probab. 44 (6), 3688-3739.
[REPRINT | JOURNAL'S ONLINE VERSION]
COLLAMORE, J. F.,
DIAO, G., AND
VIDYASHANKAR, A. N. (2014). Rare event simulation
for processes generated via stochastic fixed point equations. Ann. Appl. Probab. 24 (5), 2143-2175.
[REPRINT | JOURNAL'S ONLINE VERSION | PREPRINT AT MATH ARXIV
| SUPPLEMENTARY SOFTWARE PAGE]
COLLAMORE, J. F. AND
VIDYASHANKAR, A. N. (2013). Tail estimates
for stochastic fixed point equations via nonlinear renewal theory.
Stoch. Process. Appl. 123 (9), 3378-3429.
[ONLINE VERSION | JOURNAL'S ONLINE VERSION]
COLLAMORE, J. F.
AND
VIDYASHANKAR, A. N. (2013). Large deviation tail estimates and related limit laws for stochastic fixed point equations. In
Random Matrices and Iterated Random Functions (Alsmeyer, Löwe, eds.), Springer.
[LINK | ONLINE VERSION]
COLLAMORE, J. F.,
VIDYASHANKAR, A. N., AND
XU, J. (2013). Rare event simulation for stochastic fixed point equations related to the
smoothing transform. In Proceedings of the Winter Simulation Conference, 555-563. [ONLINE VERSION]
COLLAMORE, J. F. (2009). Random recurrence equations and ruin in a Markov-dependent stochastic economic
environment. Ann. Appl. Probab. 19 (4), 1404-1458.
[REPRINT |
JOURNAL'S ONLINE VERSION | JSTOR]
COLLAMORE, J. F. AND
HÖING, A. (2007). Small-time ruin for
a financial process modulated by a Harris recurrent Markov chain.
Finance Stoch. 11 (3), 299-322.
[REPRINT |
JOURNAL'S ONLINE VERSION]
COLLAMORE, J. F. (2002).
Importance sampling techniques for the
multidimensional ruin problem for general Markov additive sequences of
random vectors. Ann. Appl. Probab. 12 (1), 382-421.
[REPRINT |
JOURNAL'S ONLINE VERSION | JSTOR]
ASMUSSEN, S. AND
COLLAMORE, J. F. (1999). Exact asymptotics for a large
deviations problem for the GI/G/1 queue.
Markov Process. Related Fields 5 (4), 451-476.
[REPRINT]
COLLAMORE, J. F. (1998). First passage times for
general sequences of random vectors: a large deviations approach.
Stoch. Process. Appl. 78 (1), 97-130.
[ONLINE VERSION | JOURNAL'S ONLINE VERSION]
COLLAMORE, J. F. (1996). Hitting probabilities
and large deviations. Ann. Probab. 24 (4), 2065-2078.
[REPRINT |
JOURNAL'S ONLINE VERSION | JSTOR]
COLLAMORE, J. F. (1996). Large Deviation Techniques for the Study of the Hitting Probabilities of Rare Sets. Ph.D. dissertation, Univ. Wisconsin-Madison. (Advisor: Peter Ney.)
Teaching
Courses, 2020-21:
Previous Courses at Univ. Copenhagen:
Miscellaneous links:
[LINKEDIN PROFILE |
MATH GENEALOGY]