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florin avram

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Documents

Présentation

Before coming to the [Department of Mathematics, University of Pau](http://lma.univ-pau.fr/accueil/index.php), I have worked in reverse chronological order in the [Department of Actuarial Mathematics and Statistics](http://www.ma.hw.ac.uk/ams.html) at [Heriot-Watt University](http://www.hw.ac.uk/), in the Operations Research Center at MIT, in Departmento de Estatistica, Universidade de Campinas, Brazil, the departments of mathematics at Utah State in Logan, and at Northeastern University, Boston (eight years), Cornell, Purdue and Chapel Hill. My principal research interests are probability and optimization, especially as applied to ruin theory, stochastic networks, mathematical finance and statistics. News: ------ Guest Editor of Special Issue "Exit Problems for Levy and Markov Processes with One-Sided Jumps and Related Topics" in Risks Journal, 30 April 2019 http://www.mdpi.com/journal/risks/special\_issues/Exit\_Problems\_Levy\_Markov

Publications

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
Mathematics , 2023, 11 (6), pp.1307. ⟨10.3390/math11061307⟩
Article dans une revue hal-04263236v1
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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-02912757v1
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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-03013802v1
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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-02369204v1
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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-02369183v1
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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, inPress
Article dans une revue hal-02390307v1

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
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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-02369201v1
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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-01961105v1
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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-02369852v1

Ruin probabilities by Padé’s method

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

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

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

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

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

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

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
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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-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

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

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

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 hal-00865052v1

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

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 hal-00865054v1

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

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 hal-00865056v1

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

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
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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-00612383v1

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

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

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

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

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

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 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

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

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

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 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

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

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

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

Florin Avram
2013
Pré-publication, Document de travail hal-00833533v1
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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-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
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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-00220389v1
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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-00220387v1
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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-00220380v1