B
Bohan Chen
Researcher at Centrum Wiskunde & Informatica
Publications - 8
Citations - 33
Bohan Chen is an academic researcher from Centrum Wiskunde & Informatica. The author has contributed to research in topics: Large deviations theory & Estimator. The author has an hindex of 2, co-authored 8 publications receiving 21 citations.
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Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
TL;DR: In this article, the authors propose a class of strongly efficient rare-event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution in a general large deviations regime.
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Consistency of the PLFit estimator for power-law data
TL;DR: In this article, Clauset et al. showed that the Hill estimator is consistent for general intermediate sequences for the number of order statistics used, even when that number is random.
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Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
TL;DR: In this article, the authors propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution in a general large deviations regime.
Journal ArticleDOI
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
TL;DR: It is shown that for regularly varying claim sizes the probability of ruin after reinsurance is also regularly varying in terms of the initial capital, and an explicit asymptotic expression for the latter is derived.
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Sample-path large deviations for a class of heavy-tailed Markov additive processes.
TL;DR: For a class of additive processes driven by affine recursion, the authors developed a sample-path large deviations principle in the $M_1'$ topology on $D [0, 1] and showed that the most likely paths in large deviations results are step functions with both positive and negative jumps.