3 citations · 3 across the 3 of their papers we have counts for
4 papers
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…
Cross-codifference for bidimensional VAR(1) models with infinite variance
Aleksandra Grzesiek, Marek Teuerle, Agnieszka Wyłomańska
In this paper we consider the problem of a measure that allows us to describe the spatial and temporal dependence structure of multivariate time series with innovations having infi…
Scaling limits for Lévy walks with rests
Marek Teuerle
In this paper we investigate the asymptotic properties of the wait-first and jump-first Lévy walk with rest, which is a generalization of standard jump-first and jump-first Lévy wa…
Fractional diffusion equation with distributed-order material derivative. Stochastic foundations
Marcin Magdziarz, Marek Teuerle
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present…