5 citations · 17 across the 7 of their papers we have counts for
7 papers
Refined distributional limit theorems for compound sums
Vsevolod K. Malinovskii
The paper is a sketch of systematic presentation of distributional limit theorems and their refinements for compound sums. When analyzing, e.g., ergodic semi-Markov systems with di…
Approximation of the fixed-probability level for a compound renewal process
Vsevolod Malinovskii
Dealing with compound renewal process with generally distributed jump sizes and inter-renewal intervals, we focus on the approximation for the fixed-probability level, which is the…
Value-at-Risk substitute for non-ruin capital is fallacious and redundant
Vsevolod Malinovskii
This seemed impossible to use a theoretically adequate but too sophisticated risk measure called non-ruin capital, whence its widespread (including regulatory documents) replacemen…
On approximations for the distribution of the time of first level crossing
Vsevolod Malinovskii
This paper is an overview of the classical level crossing problem which is studied extensively in the literature and is fundamental in many branches of applied probability. We disc…
On approximations for the distribution of first level crossing time
Vsevolod K. Malinovskii, Konstantin V. Malinovskii
We investigate performance of approximations put forth in \citeNP{[Malinovskii 2017a]} and \citeNP{[Malinovskii 2017b]} for the distribution of the time of first level crossing…
Generalized inverse Gaussian distributions and the time of first level crossing
Vsevolod K. Malinovskii
We propose a new approximation for the distribution of the time of the first crossing of a high level by random process $\homV{s}-cs$, where $\homV{s}$, , is compound rene…
On the time of first level crossing and inverse Gaussian distribution
Vsevolod K. Malinovskii
We propose a new approximation for the distribution of the time of the first level crossing by the random process $\homV{s}-cs$, where $\homV{s}$, , is compound renewal pr…