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Gennady Samorodnitsky
Gennady Samorodnitsky
Verified email at cornell.edu
Title
Cited by
Cited by
Year
Stable non-Gaussian random processes: stochastic models with infinite variance
G Samoradnitsky
Routledge, 2017
74622017
Extreme value theory as a risk management tool
P Embrechts, SI Resnick, G Samorodnitsky
North American Actuarial Journal 3 (2), 30-41, 1999
7301999
Subexponentiality of the product of independent random variables
DBH Cline, G Samorodnitsky
Stochastic Processes and their Applications 49 (1), 75-98, 1994
4491994
Long range dependence
G Samorodnitsky
Foundations and Trends® in Stochastic Systems 1 (3), 163-257, 2007
3272007
Heavy tails and long range dependence in on/off processes and associated fluid models
D Heath, S Resnick, G Samorodnitsky
Mathematics of operations research 23 (1), 145-165, 1998
2601998
Fat tails, VaR and subadditivity
J Daníelsson, BN Jorgensen, G Samorodnitsky, M Sarma, CG de Vries
Journal of econometrics 172 (2), 283-291, 2013
1862013
Sub-additivity re-examined: the case for Value-at-Risk
J Danielsson, BN Jorgensen, M Sarma, CG de Vries
Eurandom, 2005
1852005
Stochastic processes and long range dependence
G Samorodnitsky
Springer, 2016
1792016
The supremum of a negative drift random walk with dependent heavy-tailed steps
T Mikosch, G Samorodnitsky
The Annals of Applied Probability 10 (3), 1025-1064, 2000
1432000
Living on the edge
P Embrechts, S Resnick, G Samorodnitsky
Risk 11 (1), 96-100, 1998
1371998
Ruin theory revisited: stochastic models for operational risk
P Embrechts, G Samorodnitsky
Cornell University Operations Research and Industrial Engineering, 2002
1162002
Functional large deviations for multivariate regularly varying random walks
H Hult, F Lindskog, T Mikosch, G Samorodnitsky
1142005
Patterns of buffer overflow in a class of queues with long memory in the input stream
D Heath, S Resnick, G Samorodnitsky
The Annals of Applied Probability, 1021-1057, 1997
1071997
Modeling teletraffic arrivals by a Poisson cluster process
G Fa˙, B González-Arévalo, T Mikosch, G Samorodnitsky
Queueing Systems 54, 121-140, 2006
992006
Multivariate extremes, aggregation and risk estimation
HA Hauksson, M Dacorogna, T Domenig, U Mller, G Samorodnitsky
Taylor & Francis Group 1 (1), 79-95, 2001
972001
Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes
G Samorodnitsky
942004
Distributions of subadditive functionals of sample paths of infinitely divisible processes
J Rosinski, G Samorodnitsky
The Annals of Probability, 996-1014, 1993
911993
Activity periods of an infinite server queue and performance of certain heavy tailed fluid queues
S Resnick, G Samorodnitsky
Queueing Systems 33, 43-71, 1999
891999
Do financial returns have finite or infinite variance? A paradox and an explanation
M Grabchak, G Samorodnitsky
Quantitative Finance 10 (8), 883-893, 2010
832010
Variable heavy tails in internet traffic
F Hernandez-Campos, JS Marron, G Samorodnitsky, FD Smith
Performance Evaluation 58 (2-3), 261-284, 2004
752004
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