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Ross Maller - Researcher Profile
Ross Maller
ANU Finance
Professor
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Publications Title Journal Name Year ABDC Ranking
Finite sample and asymptotic distributions of a statistic for sufficient follow-up in cure models Canadian Journal of Statistics 2023 A
Generalised Poisson-Dirichlet Distributions Based on the Dickman Subordinator Theory of Probability and its Applications 2023 A
Estimation of the cure rate for distributions in the Gumbel maximum domain of attraction under insufficient follow-up Biometrika 2022 A*
Generalized Poisson-Dirichlet distributions based on the Dickman subordinator Theory of Probability and its Applications 2022 A
A generalised Dickman distribution and the number of species in a negative binomial process model Advances in Applied Probability 2021 A
A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices Journal of Risk and Financial Management 2020 B
Compactness and continuity properties for a lévy process at a two-sided exit time Electronic Journal of Probability 2020 A
Limiting Distributions of Generalised Poisson–Dirichlet Distributions Based on Negative Binomial Processes Journal of Theoretical Probability 2020 A
Modelling life tables with advanced ages: An extreme value theory approach Insurance: Mathematics & Economics 2020 A*
Size biased sampling from the Dickman subordinator Stochastic Processes and their Applications 2020 A
Trimmed Lévy processes and their extremal components Stochastic Processes and their Applications 2020 A
Ratios of ordered points of point processes with regularly varying intensity measures Stochastic Processes and their Applications 2019 A
Small time convergence of subordinators with regularly or slowly varying canonical measure Stochastic Processes and their Applications 2019 A
Extensions of regularity for a lÉvy process∗ Theory of Probability and its Applications 2018 A
Matrix normalised stochastic compactness for a lévy process at zero Electronic Journal of Probability 2018 A
The recidivism of homicide offenders in Western Australia Australian and New Zealand Journal of Criminology 2018 A
Functional laws for trimmed Lévy processes Journal of Applied Probability 2017 A
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing Stochastic Processes and their Applications 2017 A
Small-Time almost-sure behaviour of extremal processes Advances in Applied Probability 2017 A
The effects of largest claim and excess of loss reinsurance on a company’s ruin time and valuation Risks 2017 B
Conditions for a Lévy process to stay positive near 0, in probability Bernoulli 2016 A
Distributional representations and dominance of a Lévy process over its maximal jump processes Bernoulli 2016 A
Passage time and fluctuation calculations for subexponential Lévy processes Bernoulli 2016 A
The large-sample distribution of the maximum Sharpe ratio with and without short sales Journal of Econometrics 2016 A*
Matrix normalized convergence of a Lévy process to normality at zero Stochastic Processes and their Applications 2015 A
Strong laws at zero for trimmed Lévy processes Electronic Journal of Probability 2015 A
Finite time ruin probabilities for tempered stable insurance risk processes Insurance: Mathematics & Economics 2013 A*
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases Insurance: Mathematics & Economics 2012 A*
Path decomposition of ruinous behavior for a general lÉvy insurance risk process Annals of Applied Probability 2012 A
A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model Journal of Economics and Finance 2011 B
On the performance of the minimum VaR portfolio The European Journal of Finance 2011 A
On the ruin probability of the generalised ornstein-uhlenbeck process in the cramér case Journal of Applied Probability 2011 A
Stability of the exit time for Lévy processes Advances in Applied Probability 2011 A
Stationary solutions of the stochastic differential equation dVt =Vt -dUt +dLt with Lévy noise Stochastic Processes and their Applications 2011 A
The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis Journal of Empirical Finance 2011 A
The small-time Chung-Wichura law for Lévy processes with non-vanishing Brownian component Probability Theory and Related Fields 2011 A*
The time at which a Lévy process creeps Electronic Journal of Probability 2011 A
A generalized skewness statistic for stationary ergodic martingale differences Mathematical Methods of Statistics 2010 B
Maximize the sharpe ratio and minimize a VaR Journal of Management 2010 A*
Optimal portfolio choice using the maximum Sharpe ratio Journal of Risk 2010 B
Renewal theorems and stability for the reflected process Stochastic Processes and their Applications 2009 A
An almost sure functional limit theorem at zero for a class of Lévy processes normed by the square root function, and applications Probability Theory and Related Fields 2008 A*
GARCH modelling in continuous time for irregularly spaced time series data Bernoulli 2008 A
Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes Advances in Applied Probability 2008 A
On the distribution tail of an integrated risk model: A numerical approach Insurance: Mathematics & Economics 2008 A*
Passage of Lévy processes across power law boundaries at small times Annals of Probability 2008 A*
Almost sure relative stability of the overshoot of power law boundaries Journal of Theoretical Probability 2007 A
Curve crossing for random walks reflected at their maximum Annals of Probability 2007 A*
Finite approximation schemes for Lévy processes, and their application to optimal stopping problems Stochastic Processes and their Applications 2007 A
A multinomial approximation for American option prices in Lévy process models Mathematical Finance 2006 A
Bias and consistency of the maximum Sharpe ratio Journal of Risk 2005 B
Cramér's estimate for a reflected Lévy process Annals of Applied Probability 2005 A
Drift to infinity and the strong law for subordinated random walks and Lévy processes Journal of Theoretical Probability 2005 A
Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes Stochastic Processes and their Applications 2005 A
Passage times of random walks and Lévy processes across power law boundaries Probability Theory and Related Fields 2005 A*
A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia Accounting and Finance 2004 A
A continuous-time GARCH process driven by a levy process: Stationarity and second-order behaviour Journal of Applied Probability 2004 A
Ruin probabilities and overshoots for general Lévy insurance risk processes Annals of Applied Probability 2004 A
Some effects of trimming on the law of the iterated logarithm Journal of Applied Probability 2004 A
Testing for mean reversion in processes of Ornstein-Uhlenbeck type Statistical Inference for Stochastic Processes 2004 C
Asymptotics of regressions with stationary and nonstationary residuals Stochastic Processes and their Applications 2003 A
Analysis of parametric models for competing risks Statistica Sinica 2002 A
Estimating the expected total number of events in a process Journal of the American Statistical Association 2002 A*
Stability and Attraction to Normality for Lévy Processes at Zero and at Infinity Journal of Theoretical Probability 2002 A
Stability of the overshoot for Lévy processes Annals of Probability 2002 A*
Random walks crossing curved boundaries: a functional limit theorem, stability and asymptotic distributions for exit times and positions Advances in Applied Probability 2000 A
Stability of perpetuities Annals of Probability 2000 A*
Generalized densities of order statistics Statistica Neerlandica 1999 A
Asymptotic properties of a class of mixture models for failure data: The interior and boundary cases Annals of the Institute of Statistical Mathematics 1998 A
On the rate of growth of the overshoot and the maximum partial sum Advances in Applied Probability 1998 A
Random Walks Crossing High Level Curved Boundaries Journal of Theoretical Probability 1998 A