28 citations · 70 across the 22 of their papers we have counts for
24 papers · 1 filter
On extremes of a random walk with positive drift over an intermediate regularly varying time interval
Sergey Foss, Dmitry Korshunov
We consider a random walk with a finite positive drift that is stopped at a random time having an intermediate regularly varying distribution. We assume that the jump…
Probabilistic approach to risk processes with level-dependent premium rate
Denis Denisov, Niklas Gotthardt, Dmitry Korshunov +1
We study risk processes with level dependent premium rate. Assuming that the premium rate converges, as the risk reserve increases, to the critical value in the net-profit conditio…
Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski
We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a Lévy process, both with negative drift, o…
Slowly varying asymptotics for signed stochastic difference equations
Dmitry Korshunov
For a stochastic difference equation which stabilises upon time we study tail distribution asymptotics of under the assumption that the distribution of $…
Branching processes with immigration in atypical random environment
Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski
Motivated by a seminal paper of Kesten et al. (1975) we consider a branching process with a geometric offspring distribution with i.i.d. random environmental parameters , $n\g…
Strong law of large numbers for a function of the local times of a transient random walk in
I. M. Asymont, D. Korshunov
For an arbitrary transient random walk in , , we prove a strong law of large numbers for the spatial sum of…