75 citations · 618 across the 95 of their papers we have counts for
8 papers · 1 filter
Extremal behaviour of hitting a cone by correlated Brownian motion with drift
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji +1
This paper derives an exact asymptotic expression for \[ \mathbb{P}_{\mathbf{x}_u}\{\exists_{t\ge0} \mathbf{X}(t)- \boldsymbolμt\in \mathcal{U} \}, \ \ {\rm as}\ \ u\to\infty, \] w…
Uniform tail approximation of homogenous functionals of Gaussian fields
Krzysztof Dȩbicki, Enkelejd Hashorva, Peng Liu
Let be a centered Gaussian random field with continuous trajectories and set with some positive function. Classical results establis…
Extremes of Gaussian Random Fields with regularly varying dependence structure
Krzyztof Dębicki, Enkelejd Hashorva, Peng Liu
Let be a centered Gaussian random field with variance function that attains its maximum at the unique point , and let $M(\…
Some Mathematical Aspects of Price Optimisation
Y. Bai, E. Hashorva, G. Ratovomirija +1
Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathem…
Representations of Max-Stable Processes via Exponential Tilting
Enkelejd Hashorva
The recent contribution Dieker & Mikosch (2015) [1] obtained important representations of max-stable stationary Brown-Resnick random fields with a spectral representation det…
Insurance Applications of Some New Dependence Models derived from Multivariate Collective Models
Enkelejd Hashorva, Gildas Ratovomirija, Maissa Tamraz
Consider two different portfolios which have claims triggered by the same events. Their corresponding collective model over a fixed time period is given in terms of individual clai…