florin avram

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An Age of Infection Kernel, an R Formula, and Further Results for Arino–Brauer A, B Matrix Epidemic Models with Varying Populations, Waning Immunity, and Disease and Vaccination Fatalities

Florin Avram , Rim Adenane , Lasko Basnarkov , Gianluca Bianchin , Dan Goreac et al.
Mathematics , 2023, 11 (6), pp.1307. ⟨10.3390/math11061307⟩
Article dans une revue hal-04263236 v1
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Equity Cost Induced Dichotomy for Optimal Dividends in the Cramér-Lundberg Model

Florin Avram , Dan Goreac , Juan Li , Xiaochi Wu
Mathematics , 2021, Special Issue Frontiers of Stochastic Processes Applied to Modelling in Finance, 9 (9), pp.931. ⟨10.3390/math9090931⟩
Article dans une revue hal-02912757 v1
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Do Generalized Draw-down Times Lead to Better Dividends? A Pontryaghin Principle-Based Answer

Florin Avram , Dan Goreac
IMA Journal of Mathematical Control and Information, In press, ⟨10.1093/imamci/dnaa036⟩
Article dans une revue hal-03013802 v1

The Løkka–Zervos Alternative for a Cramér–Lundberg Process with Exponential Jumps

Florin Avram , Dan Goreac , Jean-François Renaud
Risks, 2019, 7 (4), pp.120. ⟨10.3390/risks7040120⟩
Article dans une revue hal-04263241 v1
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RBF approximation by partition of unity for valuation of options under exponential Lévy processes

Ali Fereshtian , Reza Mollapourasl , Florin Avram
Journal of computational science, 2019, 32, pp.44-55. ⟨10.1016/j.jocs.2019.02.008⟩
Article dans une revue hal-02369204 v1
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The W,Z/ν,δ Paradigm for the First Passage of Strong Markov Processes without Positive Jumps

Florin Avram , Danijel Grahovac , Ceren Vardar-Acar
Risks, 2019, 7 (1), pp.18. ⟨10.3390/risks7010018⟩
Article dans une revue hal-02369183 v1
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A PONTRYAGHIN MAXIMUM PRINCIPLE APPROACH FOR THE OPTIMIZATION OF DIVIDENDS/CONSUMPTION OF SPECTRALLY NEGATIVE MARKOV PROCESSES, UNTIL A GENERALIZED DRAW-DOWN TIME

Florin Avram , Dan Goreac
Scandinavian Actuarial Journal, 2019, 9 (799-823)
Article dans une revue hal-01961105 v1
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First passage problems for upwards skip-free random walks via the scale functions paradigm

Florin Avram , Matija Vidmar
Advances in Applied Probability, 2019, 51 (2), pp.408-424. ⟨10.1017/apr.2019.17⟩
Article dans une revue hal-02369201 v1
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A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems

Florin Avram , Jose-Luis Perez
Article dans une revue hal-02369852 v1
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BEYOND WENTZELL-FREIDLIN: SEMI-DETERMINISTIC APPROXIMATIONS FOR DIFFUSIONS WITH SMALL NOISE AND A REPULSIVE CRITICAL BOUNDARY POINT

Florin Avram , Jacky Cresson
Publicaciones del Seminario Matemático García Galdeano, In press
Article dans une revue hal-02390307 v1

Ruin probabilities by Padé’s method

Florin Avram , A Banik
European Actuarial Journal, 2018, pp.1--27
Article dans une revue hal-02132550 v1

Purely Excessive Functions and Hitting Times of Continuous-Time Branching Processes

Florin Avram , P. Patie , J. Wang
Methodology and Computing in Applied Probability, 2018, pp.1--9
Article dans une revue hal-02132604 v1

Spectrally negative Lévy processes with Parisian reflection below and classical reflection above

Florin Avram , J.-L. Pérez , K. Yamazaki
Stochastic Processes and their Applications, 2018, 128 (1), pp.255-290. ⟨10.1016/j.spa.2017.04.013⟩
Article dans une revue hal-02132605 v1

On central branch/reinsurance risk networks: Exact results and heuristics

Florin Avram , S.-H. Loke
Risks, 2018, 6 (2), ⟨10.3390/risks6020035⟩
Article dans une revue hal-02132602 v1

On the central management of risk networks

Florin Avram , A. Minca
Advances in Applied Probability, 2017, 49 (1), pp.221-237. ⟨10.1017/apr.2016.85⟩
Article dans une revue hal-01759858 v1

On taxed spectrally negative Lévy processes with draw-down stopping

Florin Avram , N.L. Vu , X. Zhou
Insurance: Mathematics and Economics, 2017, 76, pp.69--74
Article dans une revue hal-01759859 v1

On fluctuation theory for spectrally negative lÉvy processes with parisian reflection below, and applications

Florin Avram , X. Zhou
Theory of Probability and Mathematical Statistics, 2017, 95, pp.17-40. ⟨10.1090/tpms/1020⟩
Article dans une revue hal-02136031 v1

On a class of dependent Sparre Andersen risk models and a bailout application

Florin Avram , L. Badescu , M.R. Pistorius , L. Rabehasaina
Insurance: Mathematics and Economics, 2016, 71, pp.27 - 39. ⟨10.1016/j.insmatheco.2016.08.001⟩
Article dans une revue hal-01610708 v1

Modeling probability densities with sums of exponentials via polynomial approximation

B. Dumitrescu , B.C. Şicleru , Florin Avram
Journal of Computational and Applied Mathematics, 2016, 292, pp.513-525
Article dans une revue hal-01581268 v1

Limit theorems for additive functionals of stationary fields, under integrability assumptions on the higher order spectral densities

Florin Avram , N. Leonenko , L. Sakhno
Stochastic Processes and their Applications, 2015, 125 (4), pp.1629-1652. ⟨10.1016/j.spa.2014.11.010⟩
Article dans une revue hal-02136409 v1

On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function

Florin Avram , Z. Palmowski , M.R. Pistorius
The Annals of Applied Probability, 2015, 25 (4), pp.1868-1935. ⟨10.1214/14-AAP1038⟩
Article dans une revue hal-02136410 v1
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A survey of some recent results on Risk Theory

Florin Avram , Romain Biard , Christophe Dutang , Stéphane Loisel , Landy Rabehasaina
ESAIM: Proceedings, 2014, 44, pp.322 - 337. ⟨10.1051/proc/201444020⟩
Article dans une revue hal-01616178 v1

The Tax Identity For Markov Additive Risk Processes

H. Albrecher , Florin Avram , C Constantinescu , J. Ivanovs
Methodology and Computing in Applied Probability, 2014, 16 (1), pp.245-258. ⟨10.1007/s11009-012-9310-y⟩
Article dans une revue hal-00993717 v1

On spectral analysis of heavy-tailed kolmogorov - Pearson diffusions

Florin Avram , N.N. Leonenko , N. Šuvak
Markov Processes And Related Fields, 2013, 19 (2), pp.249-298
Article dans une revue hal-00867038 v1

Loss systems with slow retrials in the halfin-whitt regime

Florin Avram , A.J.E.M. Janssen , J.S.H. van Leeuwaarden
Advances in Applied Probability, 2013, 45 (1), pp.274-294. ⟨10.1239/aap/1363354111⟩
Article dans une revue hal-00867035 v1

Spectral representation of transition density of Fisher-Snedecor diffusion

Florin Avram , N.N. Leonenko , N. Šuvak
Stochastics: An International Journal of Probability and Stochastic Processes, 2013, 85 (2), pp.346-369. ⟨10.1080/17442508.2013.775285⟩
Article dans une revue hal-00867030 v1

Hypothesis testing for Fisher-Snedecor diffusion

Florin Avram , N.N. Leonenko , N. Šuvak
Journal of Statistical Planning and Inference, 2012, 142 (8), pp.2308-2321. ⟨10.1016/j.jspi.2012.02.055⟩
Article dans une revue istex hal-00865052 v1

Uniform Asymptotics of Ruin

I. Sazonov M. Kelbert , Florin Avram
Markov Processes And Related Fields, 2012, 18, pp.681--692
Article dans une revue hal-00868355 v1

Uniform Asymptotics of Ruin Probabilities for L 'evy Processes

I. Sazonov M. Kelbert , Florin Avram
Markov Processes And Related Fields, 2012, 18, pp.681--692
Article dans une revue hal-01050948 v1

Parameter estimation for Fisher-Snedecor diffusion

Florin Avram , N. Leonenko , N. Suvak
Statistics, 2011, 45 (1), pp.1--16
Article dans une revue hal-00868081 v1

On moments based Padé approximations of ruin probabilities

Florin Avram , D.F. Chedom , A. Horváth
Journal of Computational and Applied Mathematics, 2011, 235 (10), pp.3215-3228. ⟨10.1016/j.cam.2011.01.008⟩
Article dans une revue hal-00865059 v1

On symbolic RG factorization of quasi-birth-and-death processes

Florin Avram , D. Fotso Chedom
TOP, 2011, 19 (2), pp.317-335. ⟨10.1007/s11750-011-0195-7⟩
Article dans une revue istex hal-00865054 v1

Comments on: Light tail asymptotics in multidimensional reflecting processes for queueing networks

Florin Avram
TOP, 2011, 19 (2), pp.300-301. ⟨10.1007/s11750-011-0181-0⟩
Article dans une revue istex hal-00865056 v1

On the efficient evaluation of ruin probabilities for completely monotone claim distributions

H. Albrecher , Florin Avram , D. Kortschak
Journal of Computational and Applied Mathematics, 2010, 233 (10), pp.2724-2736. ⟨10.1016/j.cam.2009.11.021⟩
Article dans une revue hal-00868090 v1
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On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields

Florin Avram , Nikolai Leonenko , Ludmila Sakhno
ESAIM: Probability and Statistics, 2010, 14, pp.210-255. ⟨10.1051/ps:2008031⟩
Article dans une revue hal-00612383 v1

On a Szegó type limit theorem, the Hólder-Young-Brascamp-Lieb inequality and applications to the asymptotic theory of integrals and quadratic forms of stationary fields

Florin Avram , N. Leonenko , L. Sakhno
ESAIM: Probability and Statistics, 2010, 14, pp.210--255
Article dans une revue hal-00868092 v1

Series Expansions for the First Passage Distribution of Wong-Pearson Jump-Diffusions

Florin Avram , Nikolai Leonenko , Landy Rabehasaina
Stochastic Analysis and Applications, 2009, 27 (4), p. 770 - 796. ⟨10.1080/07362990902976611⟩
Article dans une revue hal-00488316 v1

On matrix exponential approximations of the infimum of a spectrally negative Levy process

Florin Avram , A. Horvath , M.F Pistorius
Journees MAS, 2012, Clermont Ferrand, 29-31 aout 2012, 2012, Unknown
Communication dans un congrès hal-00868435 v1

Weiss Johnson-Taaffe type matrix exponential approximations

Florin Avram
Workshop on Optimization, Scheduling and Queues,, 2012, Unknown
Communication dans un congrès hal-00868434 v1

Loss systems with slow retrials in the Halfin-Whitt

Florin Avram , A.J.M Jansen , J.S.H Van Leeuwaarden
9th International Workshop on Retrial Queues, June 28-30, 2012, Seville, Spain, 2012, Unknown
Communication dans un congrès hal-00868436 v1

On moments based matrix-exponential approximations of the Pollaczek-Khinchine formula

Florin Avram
XI eme Colloque Franco-Roumain de Mathematiques Appliquees, 24-28 aout 2012, 2012, Unknown
Communication dans un congrès hal-00868433 v1

Sur les probabilites stationnaires des files d'attente avec reessaies

Florin Avram
ALEA, 7-11 mars 2011, 2011, Unknown
Communication dans un congrès hal-00868142 v1

On exact and asymptotic formulas for multiserver retrial queues

Florin Avram
Diaspora în Cercetarea Știinţifică Românească și Învățământul Superior" 21-24 septembre 2010, Bucharest, Roumanie, 2010, Unknown
Communication dans un congrès hal-00868172 v1

On Lie systems and first time passage problems for stochastic processes

Florin Avram
MCQT'10, 28 juin-01juillet 2010, Toledo, Espagne, 2010, Unknown
Communication dans un congrès hal-00868173 v1

A Lie Systems Approach for the First Passage-Time of Piecewise Deterministic Processes

Florin Avram
Modern Trends in Controlled Stochastic Processes, 13-16 Juillet 2010, Liverpool, Royaume Uni, 2010, Unknown
Communication dans un congrès hal-00868170 v1

On two symbolic-numeric approaches for retrial queues

Florin Avram
Workshop on Queuing Networks, 5 octobre 2010, EURANDOM, Eindhoven, Pays Bas, 2010, Unknown
Communication dans un congrès hal-00868174 v1

Méthodes Lie dans l'étude des processus de Markov

Florin Avram
Projet LEA MATH MODE, Méthodes algébriques en probabilités et statistique, 2-3 aout 2010, Bucarest, Roumanie, 2010, Unknown
Communication dans un congrès hal-00868171 v1

Some Examples of Asymptotic Approximations for the Stationary Distribution of Queueing Networks

Florin Avram
Summer School in Applied Probability, 11-21 mai 2009,Fields Institute, Carleton University, Ottawa,Canada, 2009, Unknown
Communication dans un congrès hal-00866911 v1

Some examples of large deviations approximations for the stationary distribution of queueing networks

Florin Avram
The Pyrenees International Workshop on Statistics, Probability and Operations Research, 15-18 septembre 2009, Jaca, Espagne, 2009, Unknown, pp.1
Communication dans un congrès hal-00866301 v1

Harmonic analysis tools for statistical inference in spectral domain.

Florin Avram , N. Leonenko , L. Sakhno
xx. Dependence in Probability and Statistics. Lecture Notes in Statistics. Ed.:P. Doukhan, G. Lang, D. Surgailis, and G. Teyssière., Springer, pp.59--71, 2010
Chapitre d'ouvrage hal-00868496 v1

A Lie Systems Approach for the First Passage-Time of Piecewise Deterministic Processes

Florin Avram , J.F Carinena , X. de Lucas
MODERN TRENDS IN CONTROLLED STOCHASTIC PROCESSES : theory and applications., 4, pp.144--160, 2010
Chapitre d'ouvrage hal-00868091 v1

On Dümbgen's exponentially modified Laplace continued fraction for Mill's ratio

Florin Avram
2013
Pré-publication, Document de travail hal-00833533 v1

Exit problem of a two-dimensional risk process from the quadrant: exact and asymptotic results

Florin Avram , Zbigniew Palmowski , Martijn Pistorius
2008
Pré-publication, Document de travail hal-00264360 v1
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ON A SZEGO TYPE LIMIT THEOREM, THE HOLDER-YOUNG-BRASCAMP-LIEB INEQUALITY, AND THE ASYMPTOTIC THEORY OF INTEGRALS AND QUADRATIC FORMS OF STATIONARY FIELDS

Florin Avram , Nikolai Leonenko , Ludmila Sakhno
2008
Pré-publication, Document de travail hal-00264472 v1

On the optimal dividend problem for a spectrally negative L\'{e}vy process

Florin Avram , Zbigniew Palmowski , Martijn R. Pistorius
2007
Pré-publication, Document de travail hal-00264359 v1

A two-dimensional ruin problem on the positive quadrant

Florin Avram , Zbigniew Palmowski , Martijn Pistorius
2007
Pré-publication, Document de travail hal-00264361 v1
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On the optimal dividend problem for a spectrally negative Lévy process

Florin Avram , Zbigniew Palmowski , Martijn Pistorius
2006
Pré-publication, Document de travail hal-00220389 v1
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Exit problem of a two-dimensional risk process from a cone: exact and asymptotic results

Florin Avram , Zbigniew Palmowski , Martijn Pistorius
2006
Pré-publication, Document de travail hal-00220387 v1
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A two-dimensional ruin problem on the positive quadrant: Laplace transform and inversion

Florin Avram , Martijn Pistorius , Zbigniew Palmowski
2006
Pré-publication, Document de travail hal-00220380 v1