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- Leonardo Rojas-Nandayapa
Dr Leonardo Rojas-Nandayapa
Associate Investigator
The University of Queensland
I am a mathematician working in applied probability. My main research interests are on rare events, heavy-tailed distributions and extremes, with certain emphasis on efficient rare-event simulation. I also have interests in risk theory, stochastic simulation, queueing theory, extreme value theory, stability and statistical inference for stochastic processes.
Currently, I am a Lecturer at the Institute of Financial and Applied Mathematics at the University of Liverpool. In the past I was a recipient of an ARC Discovery Early Career Research Award for the period 2013-2016. Before that, I held lecturer positions at the School of Mathematics and Physics of The University of Queensland, Brisbane, Australia and the Statistics Department at ITAM, Mexico
Research Interests:
Applied probability
Heavy-tails
Quantitative Risk
Rare events and extremes
Statistical Inference for Stochastic Processes
Stochastic simulation
Qualifications:
PhD in Science
Projects
Publications
Invited talks, refereed proceedings and other conference outputs
Rojas-Nandayapa, L.
(2016). Approximation of heavy-tailed distributions via infinite dimensional phase-type dis- tributions with an application in risk.
6th Ritsumeikan-Monash Symposium on Probability and Related Fields.
Rojas-Nandayapa, L.
(2016). Approximation of Heavy-tailed distributions via infinite dimensional phase–type distributions with an application in risk.
Applied Probability Symposium.
Yao, H., Rojas-Nandayapa L., & Taimre T.
(2016). ESTIMATING TAIL PROBABILITIES OF GEOMETRIC SUMS OF INFINITE MIXTURES OF PHASE-TYPE DISTRIBUTIONS.
2016 Winter Simulation Conference.
Journal Articles
Peralta, O., Rojas-Nandayapa L., Xie W., & Yao H.
(2018). Approximation of ruin probabilities via Erlangized scale mixtures.
Insurance: Mathematics and Economics. 78, 136-156. doi: 10.1016/j.insmatheco.2017.12.005
Andersen, L. Nørvang, Laub P., & Rojas-Nandayapa L.
(2018). Efficient Simulation for Dependent Rare Events with Applications to Extremes.
Methodology and Computing in Applied Probability. 20(1), 385-409. doi: 10.1007/s11009-017-9557-4
Rojas-Nandayapa, L., & Xie W.
(2017). Asymptotic tail behaviour of phase-type scale mixture distributions.
Annals of Actuarial Science. 1 - 21. doi: 10.1017/S1748499517000136
Botev, Z. I., Ridder A., & Rojas-Nandayapa L.
(2016). Semiparametric cross entropy for rare-event simulation.
Journal of Applied Probability. 53(03), 633-649. doi: 10.1017/jpr.2016.31
Asmussen, S., Jensen J. L., & Rojas-Nandayapa L.
(2016). Exponential family techniques for the lognormal left tail.
Scandinavian Journal of Statistics. 43(3), 774-787. doi: 10.1111/sjos.12203
Laub, P., Asmussen S., Jensen J. L., & Rojas-Nandayapa L.
(2016). Approximating the Laplace transform of the sum of dependent lognormals.
Advances in Applied Probability. 48(A), 203-215. doi: 10.1017/apr.2016.50
Asmussen, S., Jensen J. Ledet, & Rojas-Nandayapa L.
(2014). On the Laplace Transform of the Lognormal Distribution.
Methodology and Computing in Applied Probability. 18(2), 441-458. doi: 10.1007/s11009-014-9430-7
Research links
