We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure
convergence of ARCH(1) and GARCH(1,1) discrete-time models, to suggest an extension …

We formulate the insurance risk process in a general Lévy process setting, and give general
theorems for the ruin probability and the asymptotic distribution of the overshoot of the …

For a series of randomly discounted terms we give an integral criterion to distinguishbetween
almost-sure absolute convergence and divergence in probability to $\infty$, these being …

An estimator for the proportion of ‘immunes’ in a population is proposed, when a sample of
censored failure times is available. Our suggestion is to use one minus the maximum …

This paper surveys a class of Generalised Ornstein-Uhlenbeck (GOU) processes associated
with Lévy processes, which has been recently much analysed in view of its applications in …

In a sample of censored survival times, the presence of an immune proportion of individuals
who are not subject to death, failure, or relapse, etc., may be indicated by a relatively high …

Suppose a population contains individuals who may be subject to failure with exponentially
distributed failure times, or else are "immune" to failure. We do not know which individuals …

We use Australian data to test the Conditional Capital Asset Pricing Model (Jagannathan and
Wang, 1996). Our results are generally supportive: the model performs well compared with …

A situation in which a sample of failure times with many of the largest times censored may be
taken as evidence of a proportion of “immune” or “cured” individuals, who are not subject to …

The discrete-time GARCH methodology which has had such a profound influence on the
modelling of heteroscedasticity in time series is intuitively well motivated in capturing many ‘…