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20222026
most citedParisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance

2 citations · 2 across the 5 of their papers we have counts for

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math.PR2026

Asymptotic Behavior of Path Functionals for Vector-Valued Gaussian Processes at High Levels

Pavel Ievlev, Timofei Shashkov, Svyatoslav Novikov

We study precise asymptotics for high-level exceedance probabilities of path functionals of continuous vector-valued Gaussian processes. The probabilities have the form $$ \mathbb{…

math.PR2025

Extremes of Brownian Decision Trees

Krzysztof Dȩbicki, Pavel Ievlev, Nikolai Kriukov

We consider a Brownian motion with linear drift that splits at fixed time points into a fixed number of branches, which may depend on the branching point. For this process, which w…

math.PR2022★ 2 cited

Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance

Pavel Ievlev

This paper investigates the Parisian ruin probability for processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptotics as…