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Oscar Peralta
Oscar Peralta
University of Lausanne and The University of Adelaide
Verified email at adelaide.edu.au - Homepage
Title
Cited by
Cited by
Year
Parisian types of ruin probabilities for a class of dependent risk-reserve processes
M Bladt, BF Nielsen, O Peralta
Scandinavian Actuarial Journal 2019 (1), 32-61, 2019
92019
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
62018
Rate of strong convergence to Markov-modulated Brownian motion
GT Nguyen, O Peralta
Journal of Applied Probability 59 (1), 1-16, 2022
32022
RAP-modulated fluid processes: First passages and the stationary distribution
NG Bean, GT Nguyen, BF Nielsen, O Peralta
Stochastic Processes and their Applications 149, 308-340, 2022
22022
An explicit solution to the Skorokhod embedding problem for double exponential increments
GT Nguyen, O Peralta
Statistics & Probability Letters 165, 108867, 2020
22020
Strong convergence to two-dimensional alternating Brownian motion processes
G Latouche, GT Nguyen, O Peralta
Stochastic Models, 1-15, 2022
12022
Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes and applications
M Bladt, O Peralta
arXiv preprint arXiv:2204.02954, 2022
12022
A Markov jump process associated with the matrix-exponential distribution
O Peralta
arXiv preprint arXiv:2103.02722, 2021
12021
Advances of matrix–analytic methods in risk modelling
O Peralta
DTU Compute, 2019
1*2019
Multivariate matrix-exponential affine mixtures and their applications in risk theory
ECK Cheung, O Peralta, JK Woo
Insurance: Mathematics and Economics, 2022
2022
Wong-Zakai approximations with convergence rate for stochastic differential equations with regime switching
GT Nguyen, O Peralta
arXiv e-prints, arXiv: 2101.03250, 2021
2021
Ruin problems for risk processes with dependent phase-type claims
O Peralta, M Simon
arXiv preprint arXiv:2009.13428, 2020
2020
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Articles 1–12