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59

Florin Avram

Before coming to the Department of Mathematics, University of Pau, I have worked in reverse chronological order in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University, 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

Journal articles36 documents

  • Florin Avram, Dan Goreac, Juan Li, Xiaochi Wu. Equity Cost-Induced Dichotomy for Optimal Dividends in the Cramér-Lundberg Model. MDPI Mathematics, MDPI, 2021, Special Issue Frontiers of Stochastic Processes Applied to Modelling in Finance, 9 (9), pp.931. ⟨10.3390/math9090931⟩. ⟨hal-02912757⟩
  • Florin Avram, Dan Goreac. Do Generalized Draw-down Times Lead to Better Dividends? A Pontryaghin Principle-Based Answer. IMA Journal of Mathematical Control and Information, Oxford University Press (OUP), In press, ⟨10.1093/imamci/dnaa036⟩. ⟨hal-03013802⟩
  • Florin Avram, Matija Vidmar. First passage problems for upwards skip-free random walks via the scale functions paradigm. Advances in Applied Probability, Applied Probability Trust, 2019, 51 (2), pp.408-424. ⟨10.1017/apr.2019.17⟩. ⟨hal-02369201⟩
  • Florin Avram, Dan Goreac. A PONTRYAGHIN MAXIMUM PRINCIPLE APPROACH FOR THE OPTIMIZATION OF DIVIDENDS/CONSUMPTION OF SPECTRALLY NEGATIVE MARKOV PROCESSES, UNTIL A GENERALIZED DRAW-DOWN TIME. Scandinavian Actuarial Journal, Taylor & Francis (Routledge), 2019, 9 (799-823). ⟨hal-01961105v1⟩
  • Florin Avram, Danijel Grahovac, Ceren Vardar-Acar. The W,Z/ν,δ Paradigm for the First Passage of Strong Markov Processes without Positive Jumps. Risks, MDPI, 2019, 7 (1), pp.18. ⟨10.3390/risks7010018⟩. ⟨hal-02369183⟩
  • Florin Avram, Jacky Cresson. BEYOND WENTZELL-FREIDLIN: SEMI-DETERMINISTIC APPROXIMATIONS FOR DIFFUSIONS WITH SMALL NOISE AND A REPULSIVE CRITICAL BOUNDARY POINT. Monografías del Seminario Matemático García de Galdeano, PUZ Prensas de la Universidad de Zaragoza, In press. ⟨hal-02390307⟩
  • Ali Fereshtian, Reza Mollapourasl, Florin Avram. RBF approximation by partition of unity for valuation of options under exponential Lévy processes. Journal of computational science, Elsevier, 2019, 32, pp.44-55. ⟨10.1016/j.jocs.2019.02.008⟩. ⟨hal-02369204⟩
  • Florin Avram, Jose-Luis Perez. A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems. Risks, MDPI, 2019, ⟨10.3390/risksxx010005⟩. ⟨hal-02369852⟩
  • Florin Avram, J.-L. Pérez, K. Yamazaki. Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Stochastic Processes and their Applications, Elsevier, 2018, 128 (1), pp.255--290. ⟨hal-02132605⟩
  • Florin Avram, A Banik. Ruin probabilities by Padé’s method. European Actuarial Journal, Springer, 2018, pp.1--27. ⟨hal-02132550⟩
  • Florin Avram, P. Patie, J. Wang. Purely Excessive Functions and Hitting Times of Continuous-Time Branching Processes. Methodology and Computing in Applied Probability, Springer Verlag, 2018, pp.1--9. ⟨hal-02132604⟩
  • Florin Avram, S.-H. Loke. On central branch/reinsurance risk networks: Exact results and heuristics. Risks, 2018, 6 (2). ⟨hal-02132602⟩
  • Florin Avram, N.L. Vu, X. Zhou. On taxed spectrally negative Lévy processes with draw-down stopping. Insurance: Mathematics and Economics, Elsevier, 2017, 76, pp.69--74. ⟨hal-01759859⟩
  • Florin Avram, A. Minca. On the central management of risk networks. Advances in Applied Probability, Applied Probability Trust, 2017, 49 (1), pp.221--237. ⟨hal-01759858⟩
  • Florin Avram, X. Zhou. On fluctuation theory for spectrally negative lÉvy processes with parisian reflection below, and applications. Theory of Probability and Mathematical Statistics, American Mathematical Society, 2017, 95, pp.17-40. ⟨10.1090/tpms/1020⟩. ⟨hal-02136031⟩
  • B. Dumitrescu, B.C. Şicleru, Florin Avram. Modeling probability densities with sums of exponentials via polynomial approximation. Journal of Computational and Applied Mathematics, Elsevier, 2016, 292, pp.513-525. ⟨hal-01581268⟩
  • Florin Avram, L. Badescu, M.R. Pistorius, L. Rabehasaina. On a class of dependent Sparre Andersen risk models and a bailout application. Insurance: Mathematics and Economics, Elsevier, 2016, 71, pp.27 - 39. ⟨10.1016/j.insmatheco.2016.08.001⟩. ⟨hal-01610708⟩
  • Florin Avram, Z. Palmowski, M.R. Pistorius. On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2015, 25 (4), pp.1868--1935. ⟨hal-02136410⟩
  • Florin Avram, N. Leonenko, L. Sakhno. Limit theorems for additive functionals of stationary fields, under integrability assumptions on the higher order spectral densities. Stochastic Processes and their Applications, Elsevier, 2015, 125 (4), pp.1629--1652. ⟨hal-02136409⟩
  • Florin Avram, Romain Biard, Christophe Dutang, Stéphane Loisel, Landy Rabehasaina. A survey of some recent results on Risk Theory. ESAIM: Proceedings, EDP Sciences, 2014, 44, pp.322 - 337. ⟨10.1051/proc/201444020⟩. ⟨hal-01616178⟩
  • H. Albrecher, Florin Avram, C Constantinescu, J. Ivanovs. The Tax Identity For Markov Additive Risk Processes. Methodology and Computing in Applied Probability, Springer Verlag, 2014, 16 (1), pp.245-258. ⟨10.1007/s11009-012-9310-y⟩. ⟨hal-00993717⟩
  • Florin Avram, N.N. Leonenko, N. Šuvak. Spectral representation of transition density of Fisher-Snedecor diffusion. Stochastics: An International Journal of Probability and Stochastic Processes, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2013, 85 (2), pp.346-369. ⟨10.1080/17442508.2013.775285⟩. ⟨hal-00867030⟩
  • Florin Avram, N.N. Leonenko, N. Šuvak. On spectral analysis of heavy-tailed kolmogorov - Pearson diffusions. Markov Processes and Related Fields, Polymath, 2013, 19 (2), pp.249-298. ⟨hal-00867038⟩
  • Florin Avram, A.J.E.M. Janssen, J.S.H. van Leeuwaarden. Loss systems with slow retrials in the halfin-whitt regime. Advances in Applied Probability, Applied Probability Trust, 2013, 45 (1), pp.274-294. ⟨10.1239/aap/1363354111⟩. ⟨hal-00867035⟩
  • I. Sazonov M. Kelbert, Florin Avram. Uniform Asymptotics of Ruin. Markov Processes And Related Fields, Polymat Publishing Company, 2012, 18, pp.681--692. ⟨hal-00868355⟩
  • I. Sazonov M. Kelbert, Florin Avram. Uniform Asymptotics of Ruin Probabilities for L 'evy Processes. Markov Processes And Related Fields, Polymat Publishing Company, 2012, 18, pp.681--692. ⟨hal-01050948⟩
  • Florin Avram, N.N. Leonenko, N. Šuvak. Hypothesis testing for Fisher-Snedecor diffusion. Journal of Statistical Planning and Inference, Elsevier, 2012, 142 (8), pp.2308-2321. ⟨10.1016/j.jspi.2012.02.055⟩. ⟨hal-00865052⟩
  • Florin Avram. Comments on: Light tail asymptotics in multidimensional reflecting processes for queueing networks. TOP, Springer Verlag, 2011, 19 (2), pp.300-301. ⟨10.1007/s11750-011-0181-0⟩. ⟨hal-00865056⟩
  • Florin Avram, D. Fotso Chedom. On symbolic RG factorization of quasi-birth-and-death processes. TOP, Springer Verlag, 2011, 19 (2), pp.317-335. ⟨10.1007/s11750-011-0195-7⟩. ⟨hal-00865054⟩
  • Florin Avram, N. Leonenko, N. Suvak. Parameter estimation for Fisher-Snedecor diffusion. Statistics, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2011, 45 (1), pp.1--16. ⟨hal-00868081⟩
  • Florin Avram, D. Fotso Chedom, A. Horvath. On moment based Pade approximations of ruin probabilities. Journal of Computational and Applied Mathematics, Elsevier, 2011, 235 (10), pp.3215--3228. ⟨hal-00868080⟩
  • Florin Avram, D.F. Chedom, A. Horváth. On moments based Padé approximations of ruin probabilities. Journal of Computational and Applied Mathematics, Elsevier, 2011, 235 (10), pp.3215-3228. ⟨10.1016/j.cam.2011.01.008⟩. ⟨hal-00865059⟩
  • Florin Avram, N. Leonenko, L. Sakhno. 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. ESAIM: Probability and Statistics, EDP Sciences, 2010, 14, pp.210--255. ⟨hal-00868092⟩
  • H. Albrecher, Florin Avram, D. Kortschak. On the efficient evaluation of ruin probabilities for completely monotone claim distributions. Journal of Computational and Applied Mathematics, Elsevier, 2010, 233 (10), pp.2724--2736. ⟨hal-00868090⟩
  • Florin Avram, Nikolai Leonenko, Ludmila Sakhno. On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields. ESAIM: Probability and Statistics, EDP Sciences, 2010, 14, pp.210-255. ⟨10.1051/ps:2008031⟩. ⟨hal-00612383⟩
  • Florin Avram, Nikolai Leonenko, Landy Rabehasaina. Series Expansions for the First Passage Distribution of Wong-Pearson Jump-Diffusions. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2009, 27 (4), p. 770 - 796. ⟨10.1080/07362990902976611⟩. ⟨hal-00488316⟩

Conference papers12 documents

  • Florin Avram. Weiss Johnson-Taaffe type matrix exponential approximations. Workshop on Optimization, Scheduling and Queues,, 2012, Unknown. ⟨hal-00868434⟩
  • Florin Avram. On moments based matrix-exponential approximations of the Pollaczek-Khinchine formula. XI eme Colloque Franco-Roumain de Mathematiques Appliquees, 24-28 aout 2012, 2012, Unknown. ⟨hal-00868433⟩
  • Florin Avram, A.J.M Jansen, J.S.H Leeuwaarden. Loss systems with slow retrials in the Halfin-Whitt. 9th International Workshop on Retrial Queues, June 28-30, 2012, Seville, Spain, 2012, Unknown. ⟨hal-00868436⟩
  • Florin Avram, A. Horvath, M.F Pistorius. On matrix exponential approximations of the infimum of a spectrally negative Levy process. Journees MAS, 2012, Clermont Ferrand, 29-31 aout 2012, 2012, Unknown. ⟨hal-00868435⟩
  • Florin Avram. Sur les probabilites stationnaires des files d'attente avec reessaies. ALEA, 7-11 mars 2011, 2011, Unknown. ⟨hal-00868142⟩
  • Florin Avram. A Lie Systems Approach for the First Passage-Time of Piecewise Deterministic Processes. Modern Trends in Controlled Stochastic Processes, 13-16 Juillet 2010, Liverpool, Royaume Uni, 2010, Unknown. ⟨hal-00868170⟩
  • Florin Avram. On Lie systems and first time passage problems for stochastic processes. MCQT'10, 28 juin-01juillet 2010, Toledo, Espagne, 2010, Unknown. ⟨hal-00868173⟩
  • Florin Avram. On exact and asymptotic formulas for multiserver retrial queues. Diaspora în Cercetarea Știinţifică Românească și Învățământul Superior" 21-24 septembre 2010, Bucharest, Roumanie, 2010, Unknown. ⟨hal-00868172⟩
  • Florin Avram. On two symbolic-numeric approaches for retrial queues. Workshop on Queuing Networks, 5 octobre 2010, EURANDOM, Eindhoven, Pays Bas, 2010, Unknown. ⟨hal-00868174⟩
  • Florin Avram. Méthodes Lie dans l'étude des processus de Markov. Projet LEA MATH MODE, Méthodes algébriques en probabilités et statistique, 2-3 aout 2010, Bucarest, Roumanie, 2010, Unknown. ⟨hal-00868171⟩
  • Florin Avram. Some examples of large deviations approximations for the stationary distribution of queueing networks. The Pyrenees International Workshop on Statistics, Probability and Operations Research, 15-18 septembre 2009, Jaca, Espagne, 2009, Unknown, pp.1. ⟨hal-00866301⟩
  • Florin Avram. Some Examples of Asymptotic Approximations for the Stationary Distribution of Queueing Networks. Summer School in Applied Probability, 11-21 mai 2009,Fields Institute, Carleton University, Ottawa,Canada, 2009, Unknown. ⟨hal-00866911⟩

Book sections2 documents

  • Florin Avram, J.F Carinena, X. de Lucas. A Lie Systems Approach for the First Passage-Time of Piecewise Deterministic Processes. MODERN TRENDS IN CONTROLLED STOCHASTIC PROCESSES : theory and applications., pp.144--160, 2010. ⟨hal-00868091⟩
  • Florin Avram, N. Leonenko, L. Sakhno. Harmonic analysis tools for statistical inference in spectral domain.. 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. ⟨hal-00868496⟩

Preprints, Working Papers, ...8 documents

  • Florin Avram. On Dümbgen's exponentially modified Laplace continued fraction for Mill's ratio. 2013. ⟨hal-00833533⟩
  • Florin Avram, Nikolai Leonenko, Ludmila Sakhno. ON A SZEGO TYPE LIMIT THEOREM, THE HOLDER-YOUNG-BRASCAMP-LIEB INEQUALITY, AND THE ASYMPTOTIC THEORY OF INTEGRALS AND QUADRATIC FORMS OF STATIONARY FIELDS. 2008. ⟨hal-00264472⟩
  • Florin Avram, Zbigniew Palmowski, Martijn Pistorius. Exit problem of a two-dimensional risk process from the quadrant: exact and asymptotic results. 2008. ⟨hal-00264360⟩
  • Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius. On the optimal dividend problem for a spectrally negative L\'{e}vy process. 2007. ⟨hal-00264359⟩
  • Florin Avram, Zbigniew Palmowski, Martijn Pistorius. A two-dimensional ruin problem on the positive quadrant. 2007. ⟨hal-00264361⟩
  • Florin Avram, Zbigniew Palmowski, Martijn Pistorius. Exit problem of a two-dimensional risk process from a cone: exact and asymptotic results. 2006. ⟨hal-00220387⟩
  • Florin Avram, Martijn Pistorius, Zbigniew Palmowski. A two-dimensional ruin problem on the positive quadrant: Laplace transform and inversion. 2006. ⟨hal-00220380⟩
  • Florin Avram, Zbigniew Palmowski, Martijn Pistorius. On the optimal dividend problem for a spectrally negative Lévy process. 2006. ⟨hal-00220389⟩

Reports1 document

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