florin avram

Présentation

Publications

Article dans une revue (37)

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 Goreacet al. Mathematics , 2023, 11 (6), pp.1307. ⟨10.3390/math11061307⟩ Article dans une revue hal-04263236v1
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-02912757v1
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, 2021, 38 (1), pp.361-377. ⟨10.1093/imamci/dnaa036⟩ Article dans une revue hal-03013802v1
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-04263241v1
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-02369201v1
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-01961105v1
A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems Florin Avram,Jose-Luis Perez Risks, 2019, ⟨10.3390/risksxx010005⟩ Article dans une revue hal-02369852v1
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-02369183v1
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-02369204v1
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, 2019, 42, pp.13-24 Article dans une revue hal-02390307v1
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-02132602v1
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-02132604v1
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-02132605v1
Ruin probabilities by Padé’s method Florin Avram,A Banik European Actuarial Journal, 2018, pp.1--27 Article dans une revue hal-02132550v1
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-01759859v1
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-01759858v1
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-02136031v1
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-01581268v1
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-01610708v1
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-02136409v1
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-02136410v1
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-01616178v1
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-00993717v1
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-00867038v1
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-00867035v1
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-00867030v1
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-00868355v1
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-01050948v1
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-00865052v1
Parameter estimation for Fisher-Snedecor diffusion Florin Avram,N. Leonenko,N. Suvak Statistics, 2011, 45 (1), pp.1--16 Article dans une revue hal-00868081v1
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-00865059v1
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-00865054v1
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-00865056v1
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-00868092v1
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-00612383v1
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-00868090v1
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-00488316v1

Communication dans un congrès (12)

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-00868435v1
Weiss Johnson-Taaffe type matrix exponential approximations Florin Avram Workshop on Optimization, Scheduling and Queues,, 2012, Unknown Communication dans un congrès hal-00868434v1
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-00868436v1
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-00868433v1
Sur les probabilites stationnaires des files d'attente avec reessaies Florin Avram ALEA, 7-11 mars 2011, 2011, Unknown Communication dans un congrès hal-00868142v1
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-00868172v1
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-00868173v1
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-00868170v1
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-00868174v1
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-00868171v1
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-00866911v1
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-00866301v1

Ouvrages (1)

Matematică și epidemii Nicolas Bacaër,Daniel Maxin,Florian Munteanu,Florin Avram,Paul Georgescuet al. , 333 p., 2022, 979-10-343-0320-5 Ouvrages hal-03640965v1

Chapitre d'ouvrage (2)

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-00868496v1
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-00868091v1

Pré-publication, Document de travail (8)

On Dümbgen's exponentially modified Laplace continued fraction for Mill's ratio Florin Avram 2013 Pré-publication, Document de travail hal-00833533v1
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-00264472v1
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-00264360v1
A two-dimensional ruin problem on the positive quadrant Florin Avram,Zbigniew Palmowski,Martijn Pistorius 2007 Pré-publication, Document de travail hal-00264361v1
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-00264359v1
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-00220387v1
On the optimal dividend problem for a spectrally negative Lévy process Florin Avram,Zbigniew Palmowski,Martijn Pistorius 2006 Pré-publication, Document de travail hal-00220389v1
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-00220380v1

Rapport (1)

On matrix exponential approximations of the infimum of a spectrally negative Levy process Florin Avram,Andras Horvath,M.R. Pistorius 2012 Rapport hal-00739232v1