Original research

- O Peralta & M Simon (2023).
__Ruin problems for risk processes with dependent phase-type claims.__To appear in**Methodology and Computing in Applied Probability**. - H Albrecher & O Peralta.
__The matrix sequential probability ratio test and multivariate ruin theory.__To appear in in**2022 MATRIX Annals**. - ECK Cheung, O Peralta & JK Woo (2022). Multivariate matrix-exponential affine mixtures and their applications in risk theory.
**Insurance: Mathematics and Economics**106. - N Bean, GT Nguyen, BF Nielsen & O Peralta (2022). RAP-modulated fluid process: first passages and stationary distribution.
**Stochastic Processes and their Applications**149. - G Latouche, GT Nguyen & O Peralta (2022). Strong convergence to two-dimensional alternating Brownian motion process.
**Stochastic Models**38. - O Peralta (2022). A Markov jump process associated with the matrix-exponential distribution.
**Journal of Applied Probability**. - GT Nguyen & O Peralta
**Journal of Applied Probability**59. - GT Nguyen & O Peralta (2020). An explicit solution to the Skorokhod embedding problem for double exponential increments.
**Statistics and Probability Letters**165. - M Bladt, BF Nielsen, & O Peralta (2019). Parisian types of ruin probabilities for a class of dependent risk-reserve processes.
**Scandinavian Actuarial Journal**1. - O Peralta, L Rojas-Nandayapa, W Xie, H Yao (2018). Approximation of ruin probabilities via erlangized scale mixtures.
**Insurance: Mathematics and Economics**78.

- P Huo, O Peralta, J Guo, Q Xie & A Minca. Reinforcement learning for SBM graphon games with resampling. Submitted to
**International Conference on Artificial Intelligence and Statistics**. - H Amini, A Minca & O Peralta. Ruin-dependent bivariate stochastic fluid processes. Submitted to
**Stochastic Systems**. - H Amini, A Minca & O Peralta. Duration-dependent stochastic fluid processes and solar energy revenue modeling. Submitted to
**Operations Research.** - J Barr, GT Nguyen & O Peralta. Wong-Zakai approximation of regime-switching SDEs via rough path theory. Submitted to
**Electronic Journal of Probability**. - H Albrecher & O Peralta. Space-grid approximations of hybrid stochastic differential equations and first passage properties. Submitted to
**Stochastic Systems**. - M Bladt & O Peralta (2022). Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes. Invited to revise in
**Mathematics of Operations Research**. - GT Nguyen & O Peralta (2022). Rate of strong convergence to solutions of regime-switching stochastic differential equations. Submitted to
**Stochastic Analysis and Applications**.

- J Barr & O Peralta. The splitting theorem for telegraph processes and its Brownian limit.
- M Bladt, A Minca & O Peralta. Approximations of semi-Markov processes with applications to insurance mathematics.
- T Broadbridge & O Peralta. Matrix descriptors of the two-island model in population genetics.
- J Tonkin, GT Nguyen & O Peralta. Pricing barrier options driven by meromorphic Lévy processes.
- A Black, M Fairbrother & O Peralta. Efficient estimation of epidemic final size probabilities.
- W Allan, GT Nguyen & O Peralta. Strong solutions and simulation techniques for Lévy-driven stochastic differential equations with past-dependent switching.

Most of my published work and preprints can be found through my Google Scholar.

Copyright © 2023 Oscar Peralta - All Rights Reserved.