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Research Interests
Description: My main research interests lie in stochastic modelling, probability theory and statistics. I focus on nonstandard models, where heavy tails or long range dependence is present. In heavy tailed models the probability of observing an extreme value is relatively high. In the presence of long range dependence long periods of high values followed by long periods of low values are observed. My contributions have been primarily in the asymptotic analysis of the probability of a stationary a-stable random walk with negative drift exceeding a threshold as the threshold tends to infinity. This concept finds applications in many fields of applied probability including actuarial science and queuing theory. Click here for a list of refereed publications.
Key Words: Extreme Event Modelling; Heavy Tailed Distributions; Long Range Dependence; a-Stable Processes; Risk Processes; Ruin Probabilities.