321 citations
- Technische Universität DarmstadtDE12 papers
- Institute of MathematicsPL9 papers
- Institute of PhysicsPL6 papers
- University of Cape TownZA6 papers
- Heidelberg UniversityDE5 papers
- GSI Helmholtz Centre for Heavy Ion ResearchDE4 papers
- Joint Institute for Nuclear ResearchRU4 papers
- Polish Academy of SciencesPL4 papers
- Technical University of MunichDE4 papers
- University of RostockDE4 papers
- University of Zielona GóraPL4 papers
- Centre National de la Recherche ScientifiqueFR3 papers
4 papers · 1 filter
Convergence to stable laws for a class of multidimensional stochastic recursions
Dariusz Buraczewski, Ewa Damek, Yves Guivarc'h
We consider a Markov chain $\{X_n\}_{n=0}^\8$ on defined by the stochastic recursion , where are i.i.d. random variables taking values in…
The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process
Zbigniew Palmowski, Martijn Pistorius
We analyze the asymptotics of crossing a high piecewise linear barriers by a renewal compound process with the subexponential jumps. The study is motivated by ruin probabilities of…
A two-dimensional ruin problem on the positive quadrant
Florin Avram, Zbigniew Palmowski, Martijn Pistorius
In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of th…
Asymptotic Behavior of Total Times For Jobs That Must Start Over If a Failure Occurs
Soeren Asmussen, Pierre Fiorini, Lester Lipsky +2
Many processes must complete in the presence of failures. Different systems respond to task failure in different ways. The system may resume a failed task from the failure point (o…