1 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2008★ 1 cited
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…
math.PR2007★ 1 cited
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…