OOIR: Observatory of International Research

Papers

(The TQCC of Methodology and Computing in Applied Probability is 2. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2021-02-01 to 2025-02-01.)

Article	Citations
Deep Learning for Constrained Utility Maximisation	23
Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback	16
Editorial for special issue on advances in Actuarial Science and quantitative finance	13
Exact Covariances and Refined Asymptotics in Dichromatic Tenable Balanced Pólya Urn Schemes	12
On Familywise Error Rate Cutoffs under Pairwise Exchangeability	10
Construction of Jointly Distributed Random Samples Drawn from the Beta Two-Parameter Process	10
Asymptotics of Running Maxima for φ-Subgaussian Random Double Arrays	10
A Versatile Stochastic Dissemination Model	8
On the Derivative Counting Processes of First- and Second-order Aggregated Semi-Markov Systems	7
Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with more General Dependent Claim Risks and Defaultable Risk	7
Fraction-Degree Reference Dependent Stochastic Dominance	7
A Collocation Method for Nonlinear Stochastic Differential Equations Driven by Fractional Brownian Motion and its Application to Mathematical Finance	7
Conditional Moment Matching and Stratified Approximation for Pricing and Hedging Periodic-Premium Variable Annuities	6
The Valuation at Origination of Mortgages with Full Prepayment and Default Risks	6
Strong Convergence for Weighted Sums of Widely Orthant Dependent Random Variables and Applications	6
Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach	5
Robust Optimal Investment Problem with Delay under Heston’s Model	5
Multivariate Reversed Hazard Rates and Inactivity Times of Systems	5
Normal Approximation for Fire Incident Simulation Using Permanental Cox Processes	5
Modeling and Control of Data Transmission	5
Duality Between the Local Score of One Sequence and Constrained Hidden Markov Model	5
On Transient Analysis of $$\Delta _N$$-Markov Chains	5
Unbiased Simulation of Rare Events in Continuous Time	4
On Several Properties of A Class of Hybrid Recursive Trees	4
Joint Reliability Function of Coherent Systems with Shared Heterogeneous Components	4

On Properties of the Phase-type Mixed Poisson Process and its Applications to Reliability Shock Modeling	4
Exact Simulation of Poisson-Dirichlet Distribution and Generalised Gamma Process	4
Exact One- and Two-Sample Likelihood Ratio Tests based on Time-Constrained Life-Tests from Exponential Distributions	4
Optimal Strategies in a Production Inventory Control Model	4
Efficient and robust estimation for autoregressive regression models using shape mixtures of skewt normal distribution	4
Discrete Tempered Stable Distributions	4
Numerical Resolution of McKean-Vlasov FBSDEs Using Neural Networks	3
Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims	3
Hitting Time Problems of Sticky Brownian Motion and Their Applications in Optimal Stopping and Bond Pricing	3
An Examination of the Negative Occupancy Distribution and the Coupon-Collector Distribution	3
Correction to: High-Dimensional Quadratic Classifiers in Non-sparse Settings	3
Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown	3
Accelerating the Pool-Adjacent-Violators Algorithm for Isotonic Distributional Regression	3
Asymptotic Behaviors of the VaR and CVaR Estimates for Widely Orthant Dependent Sequences	3
Three Distributions in the Extended Occupancy Problem	3
Strategic Behavior and Optimization of an M/M/1 Queue with N-Policy and Hysteretic Control	3
Correction to: Markovian Online Matching Algorithms on Large Bipartite Random Graphs	3
Equilibrium Joining Strategies of Positive Customers in a Markovian Queue with Negative Arrivals and Working Vacations	3
Stochastic Dynamics of a Hybrid Delay Food Chain Model with Harvesting and Jumps in a Polluted Environment	3
Hawkes Processes Framework With a Gamma Density As Excitation Function: Application to Natural Disasters for Insurance	3
Cornish-Fisher Expansions for Functionals of the Weighted Partial Sum Empirical Distribution	3
Random Assignment Versus Fixed Assignment in Multilevel Importance Splitting for Estimating Stochastic Reach Probabilities	3
Markovian Arrival Process Subject to Renewal Generated Binomial Catastrophes	3
Nonlinear Unbalanced Urn Models via Stochastic Approximation	2
Polynomial Convergence Rates of Piecewise Deterministic Markov Processes	2
Manage Pension Deficit with Heterogeneous Insurance	2
On the Mean and Variance Residual Life Comparisons of Coherent Systems with Identically Distributed Components	2
Ruin Problems for Risk Processes with Dependent Phase-Type Claims	2
Matrix-analytic Methods for the Evolution of Species Trees, Gene Trees, and Their Reconciliation	2
Replacement Policy for Heterogeneous Items Subject to Gamma Degradation Processes	2
WNBUE Class and its Applications to Signature-Based Bounds for Reliability of Coherent Systems	2
Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks	2
Second-Order Properties for Planar Mondrian Tessellations	2
The First-Passage Area of Wiener Process with Stochastic Resetting	2
Revisiting Best Linear Unbiased Estimation of Location-Scale Parameters Based on Optimally Selected Order Statistics Using Compound Design	2
The First Exit Time of Fractional Brownian Motion with a Drift from a Parabolic Domain	2
Busy Periods for Queues Alternating Between Two Modes	2
General Draw-Down Times for Refracted Spectrally Negative Lévy Processes	2
Asymptotics of Sum of Heavy-tailed Risks with Copulas	2
Weighted fractional generalized cumulative past entropy and its properties	2
Construction and Simulation of Generalized Multivariate Hawkes Processes	2
Pairwise Markov Models and Hybrid Segmentation Approach	2
Inference for the Lee-Carter Model With An AR(2) Process	2
Multi-State Joint Survival Signature for Multi-State Systems with Shared Multi-State Components	2
Analysis of IBNR Liabilities with Interevent Times Depending on Claim Counts	2
Stochastic Simulation Algorithms for Solving Transient Anisotropic Diffusion-recombination Equations and Application to Cathodoluminescence Imaging	2
Subsampling in Longitudinal Models	2
Stochastic Model of Conditional Non-stationary Time Series of the Wind Chill Index in West Siberia	2
Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling	2
Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process	2

A Numerical Method for Hedging Bermudan Options under Model Uncertainty	2
Convergence Rates of Attractive-Repulsive MCMC Algorithms	2
On Geometric-type Approximations with Applications	2
Bayesian Wavelet Stein’s Unbiased Risk Estimation of Multivariate Normal Distribution Under Reflected Normal Loss	2
Stochastic Analysis of Rumor Spreading with Multiple Pull Operations	2
Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps	2
Variance Bounding of Delayed-Acceptance Kernels	2