Professor Ross Maller
BSc (UWA) PhD (ANU)
Professor, Probability and Statistics
ANU College of Business and Economics
Areas of expertise
- Stochastic Analysis And Modelling 010406
- Applied Statistics 010401
- Probability Theory 010404
- Statistical Theory 010405
Publications
- Broadhurst, R, Maller, R, Maller, M, Bouhours, B. 2017, 'The recidivism of homicide offenders in Western Australia', Australian and New Zealand Journal of Criminology, pp. 1-17: First published date: July 27, 2017 10.1177/0004865817722393
- Buchmann, B, Ipsen, Y & Maller, R 2017, 'Functional laws for trimmed Levy processes', Advances in Applied Probability.
- Fan, Y, Griffin, P, Maller, R, Szimayer, A., Wang, T. 2017, 'The Effects of Largest Claim and Excess of Loss Reinsurance on a Company's Ruin Time and Valuation', Risks, vol. 5, no. 3.
- Maller, R and Schmidli, P. 2017, 'Small time almost sure behaviour of extremal processes', Advances in Applied Probability, vol. 49, no. 2, pp. 411-429pp.
- Buchmann, B, Kaehler, B, Maller, R, Szimayer, A. 2016, 'Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing', Stochastic Processes and their Applications, vol. (available online 14/11/2016).
- Buchmann, B, Maller, R & Mason, D 2015, 'Laws of the iterated logarithm for self-normalised Levy processes at zero', Trans. Amer. Math. Soc., 367, 1737-1770.
- Maller, R, Roberts, S & Tourky, R 2016, 'The large-sample distribution of the maximum Sharpe ratio with and without short sales', Journal of Econometrics, vol. 194, pp. 138-152.
- Maller, R 2016, 'Small Time Almost Sure Comparisons Between a Levy Process and its Maximal Jump Processes', Markov Processes and Related Fields, vol. 22, no. 4, pp. 775-806 pp.
- Buchmann, B, Fan, Y. & Maller, R 2016 'Distributional Representations and Dominance of a Levy Process over its Maximal Jump Processes', Bernoulli, 22, 2325-2371.
- Maller, R 2016, 'Conditions for a L\'evy process to stay positive near 0, in probability', Bernoulli, vol. 22, no. 4, pp. 1963-1978.
- Doney, R., Kluppelberg, C., and Maller, R 2016, 'Passage Time and Fluctuation Calculations for Subexponential Levy Processes', Bernoulli; 22, 1491-1519.
- Maller, R & Mason, D 2015, 'Matrix normalized convergence of a LÃ©vy process to normality at zero', Stochastic Processes and their Applications, vol. 125, no. 6, pp. 2353-2382pp.
- Buchmann, B, Maller, R & Mason, D 2015, 'Laws of the iterated logarithm for self-normalised Levy processes at zero', Transactions of the American Mathematical Society, vol. 367, no. 3, pp. 1737-1770.
- Maller, R 2015, 'Strong Laws at Zero for Trimmed Levy Processes', Electron. J. Probab. 20, no. 88, 1–24.
- Broadhurst, R & Maller, R 2013, Stopping crime with the power of statistics, 3pp.
- Griffin, P, Maller, R & Roberts, D 2013, 'Finite time ruin probabilities for tempered stable insurance risk processes', Insurance; Mathematics and Economics, vol. 53, no. 2, pp. 478-489.
- Griffin, P & Maller, R 2013, 'Small and large time stability of the time taken for a Levy process to cross curved boundaries', Annales de l Institut Henri Poincare B: Probability and Statistics, vol. 49, no. 1, pp. 208-235.
- Maller, R & Mason, D 2013, 'A characterization of small and large time limit laws for self-normalized Levy process', in "Limit Theorems in Probability, Statistics and Number Theory, Springer Proceedings in Mathematics & Statistics, P. Eichelsbacher et al, Eds., Volume 42, 2013, 141-169. > (ed.), <>, pp. 141-169.
- Griffin, P & Maller, R 2012, 'Path decomposition of ruinous behavior for a general Levy insurance risk process', Annals of Applied Probability, vol. 22, no. 4, pp. 1411-1449.
- Griffin, P, Maller, R & van Schaik, K 2012, 'Asymptotic distributions of the overshoot and undershoots for the Levy insurance risk process in the Cramer and convolution equivalent cases', Insurance; Mathematics and Economics, vol. 51, no. 2, pp. 382-392.
- Buchmann, B & Maller, R 2011, 'The small-time Chung-Wichura law for Levy processes with non-vanishing Brownian component', Probability Theory and Related Fields, vol. 149, no. 1, pp. 303-330.
- Durand, R.B., Gould, J. and Maller, R.A. (2011) On the performance of the minimum VaR portfolio, European Journal of Finance, 17, no. 7, pp. 553-576.
- Bankovsky, D, Kluppelberg, C & Maller, R 2011, 'On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramer case', Journal of Applied Probability, vol. 48A, pp. 15-28.
- Behme, A., Lindner, L., Maller, R 2011, 'Stationary solutions of the stochastic differential equation dV_{t} =V_{t} -dU_{t} +dL_{t} with Levy noise', Stochastic Processes and their Applications, vol. 121, no. 1, pp. 91-108.
- Durand, R.B., Maller, R A., Mueller, G. 2011, 'The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis', Journal of Empirical Finance, 18, 306--320.
- Griffin, P.S. and Maller, R 2011, 'Stability of the exit time for Levy processes', Advances in Applied Probability, vol. 43, no. 3, pp. 712-734.
- Griffin, P.S. and Maller, R 2011, 'The time at which a Levy process creeps', Elect. J. Prob., vol. 16, pp. 2182-2202.
- Kluppelberg, C, Maller, R & Szimayer, A 2011, 'The COGARCH: a review, with news on option pricing and statistical inference', in Jochen Blath, Peter Imkeller, Sylvie Reilly (ed.), Surveys in Stochastic Processes, European Mathematical Society Publishing House, ZÃ¼rich Switzerland, pp. 29-58.
- Maller, R & Mason, D 2010, 'Small-time compactness and convergence behavior of deterministically and self-normalised Levy processes', Transactions of the American Mathematical Society, vol. 362, no. 4, pp. 2205-2248.
- Maller, R, Durand, R & Jafarpour, H 2010, 'Optimal portfolio choice using the maximum Sharpe ratio', The Journal of Risk, vol. 12, no. 4, pp. 49-73.
- Kaehler, B & Maller, R 2010, 'A generalized skewness statistic for stationary ergodic martingale differences', Mathematical Methods of Statistics, vol. 19, no. 3, pp. 267-282.
- Durand, R., Jafarpour, H., Klueppelberg, C., Maller, R 2010, 'Maximize the Sharpe ratio and minimize a VaR', Journal of Wealth Management, vol. 13, no. 1, pp. 91-102.
- Maller, R 2009, 'Small-time versions of Strassen's law for Levy processes', Proceedings of the London Mathematical Society, vol. 98, pp. 531-558.
- Fleischer, P, Maller, R & Muller, G 2009, 'A Bayesian Analysis of Market Information Linkages among NAFTA Countries using a Multivariate Stochastic Volatility Model', Journal of Economics and Finance, vol. Online 28 May 09, p. 26.
- Muller, G, Durand, R, Maller, R et al 2009, 'Analysis of Stock Market Volatility by Continuous-time GARCH Models', in Greg N Gregoriou (ed.), Stock Market Volatility, Taylor & Francis Group, Boca Raton, FL, USA, pp. 31-50.
- Maller, R & Mason, D 2009, 'Stochastic Compactness of Levy Processes', in Christian Houdre, Vladimir Koltchinskii, David M. Mason and Magda Peligrad (ed.), High Dimensional Probability V: The Luminy Volume, Institute of Mathematical Statistics, Beachwood, Ohio, USA, pp. 239-257.
- Maller, R, Muller, G & Szimayer, A 2009, 'Ornstein-Uhlenbeck processes and extensions', in Andersen, T.G.; Davis, R.A.; KreiÃ?, J.-P.; Mikosch, Th. (ed.), Handbook of Financial Time Series, Springer, USA, pp. 16 pages.
- Park, H & Maller, R 2008, 'Moment and MGF Convergence of Overshoots and Undershoots for Levy Insurance Risk Processes', Advances in Applied Probability, vol. 40, no. 3, pp. 716 - 733.
- Bertoin, J, Doney, R & Maller, R 2008, 'Passage of Levy processes across power law boundaries at small times', The Annals of Probability, vol. 36, no. 1, pp. 160-197.
- Doney, R, Maller, R & Savov, M 2008, 'Renewal theorems and stability for the reflected process', Stochastic Processes and their Applications, vol. 119, pp. 1270-1297.
- Buchmann, B, Maller, R & Szimayer, A 2008, 'An almost sure functional limit theorem at zero for a class of Levy processes normed by the square root function, and applications', Probability Theory and Related Fields, vol. 142, no. 1-2, pp. 219 - 247.
- Maller, R, Muller, G & Szimayer, A 2008, 'GARCH Modelling in continuous time for irregularly spaced time series data', Bernoulli, vol. 14, no. 2, pp. 519 - 542.
- Bertoin, J, Lindner, A & Maller, R 2008, 'On continuity properties of the law of integrals of Levy processes', in C.Donati-Martin, M.Emery, A.Rouault, C.Stricker (ed.), Seminaire de Probabilites XLI, Springer, Berlin, pp. 137-159.
- Brokate, M, Kluppelberg, C, Kostadinova, R , Maller, R. 2008, 'On the distribution tail of an integrated risk model: A numerical approach', Insurance; Mathematics and Economics, vol. 42, pp. 101-106.
- Maller, R & Mason, D 2008, 'Convergence in distribution of Levy processes at small times with self-normalization', Acta Scientiarum Mathematicarum, vol. 74, pp. 315 - 347.
- Erickson, K & Maller, R 2007, 'Finiteness of Integrals of Functions of Levy Processes', Proceedings of the London Mathematical Society, vol. 94, no. 3, pp. 386-420.
- Doney, R & Maller, R 2007, 'Almost sure relative stability of the overshoot of power law boundaries', Journal of Theoretical Probability, vol. 20, no. 1, pp. 47-63.
- Szimayer, A & Maller, R 2007, 'Finite approximation schemes for Levy processes, and their application to optimal stopping problems', Stochastic Processes and their Applications, vol. 117, pp. 1422-1447.
- Doney, R & Maller, R 2007, 'Curve crossing for random walks reflected at their maximum', Annals of Applied Probability, vol. 35, no. 4, pp. 1351-1373.
- Maller, R, Solomon, D & Szimayer, A 2006, 'A Multinomial Approximation for American Option Prices in Levy Process Models', Mathematical Finance, vol. 16, no. 4, pp. 613-633.
- Kluppelberg, C, Lindner, A & Maller, R 2006, 'Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models', in Yuri Kabanov, Robert Lipster (ed.), From stochastic calculus to mathematical finance, Springer, Germany, pp. 393-419.
- Erickson, K & Maller, R 2005, 'Drift to Infinity and the Strong Law for Subordinated Random Walks and Levy Processes', Journal of Theoretical Probability, vol. 18, no. 2, pp. 359-375.
- Doney, R & Maller, R 2005, 'Cramers estimate for a reflected Levy process', The Annals of Probability, vol. 15, pp. 1-6.
- Doney, R & Maller, R 2005, 'Passage times of random walks and Levy processes across power law boundaries', Probability Theory and Related Fields, vol. 133, no. 1, pp. 57-70.
- Maller, R, Durand, R & Lee, P 2005, 'Bias and consistency of the maximum Sharpe ratio', The Journal of Risk, vol. 7, no. 4, pp. 103-115.
- Erickson, K & Maller, R 2005, 'Generalised Ornstein-Uhlenbeck processes and the convergence of Levy integrals', in J-M Morel, F Takens, B Teissier (ed.), Seminaire de Probabilites XXXVIII, Springer, Germany, pp. 70-94.
- Lindner, A & Maller, R 2005, 'Levy integrals and the Stationarity of generalised Ornstein-Uhlenbeck processes', Stochastic Processes and their Applications, vol. 115, no. 10, pp. 1701-1722.
- Kluppelberg, C, Lindner, A & Maller, R 2004, 'A continous-time GARCH process driven by a Levy process: stationarity and second-order behaviour', Journal of Applied Probability, vol. 41, pp. 601-622.
- Szimayer, A & Maller, R 2004, 'Testing for mean reversion in processes of Ornstein-Uhlenbeck type', Statistical Inference for Stochastic Processes, vol. 7, pp. 95-113.
- Doney, R & Maller, R 2004, 'Moments of passage times for Levy processes', Annales de l Institut Henri Poincare B: Probability and Statistics, vol. 40, pp. 279-297.
- Durack, N, Durand, R & Maller, R 2004, 'A best choice among asset pricing models? The conditional capital asset pricing model in Australia', Accounting and Finance, vol. 44, pp. 139-162.
- Kesten, H & Maller, R 2004, 'Some effects of trimming on the law of the iterated logarithm', Journal of Applied Probability, vol. 41A, pp. 253-271.
- Kluppelberg, C, Kyprianou, A & Maller, R 2004, 'Ruin probabilities and overshoots for general Levy insurance risk processes', Annals of Applied Probability, vol. 14, no. 4, pp. 1766-1801.
- Maller, R 2003, 'Asymptotics of regressions with stationary and nonstationary residuals', Stochastic Processes and their Applications, vol. 105, pp. 33-67.
- Maller, R & Zhou, X 2003, 'Testing for Individual Heterogeneity in Parametric Models for Event-History Data', Mathematical Methods of Statistics, vol. 12, no. 3, pp. 276-304.