50 citations · 50 across the 2 of their papers we have counts for
2 papers
q-fin.MF2023
Ruin probability for the quota share model with~phase-type distributed claims
Krzysztof Burnecki, Zbigniew Palmowski, Marek Teuerle +1
In this paper, we generalise the results presented in the literature for the ruin probability for the insurer--reinsurer model under a pro-rata reinsurance contract. We consider cl…
cond-mat.stat-mech2022★ 50 cited
Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions
Michał Balcerek, Krzysztof Burnecki, Samudrajit Thapa +2
Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion be…