Krzysztof Dȩbicki

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20142023

most citedExtremes of threshold-dependent Gaussian processes

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

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math.PR2022★ 2 cited

Extremes of Reflecting Gaussian Processes on Discrete Grid

Krzysztof Dȩbicki, Grigori Jasnovidov

For ${X (t), t \in G_{δ}}$ a centered Gaussian process with stationary increments and a.s. sample paths on a discrete grid $G_{δ} = {0, δ, 2 δ, ...}$ , where $δ > 0$ , we investigate the sta…

math.PR2017★ 3 cited

Extremes of threshold-dependent Gaussian processes

L. Bai, K. Debicki, E. Hashorva +1

In this contribution we are concerned with the asymptotic behaviour as $u \to \infty$ of $P {sup_{t \in [0, T]} X_{u} (t) > u}$ , where $X_{u} (t), t \in [0, T], u > 0$ is a family of ce…

math.PR2014

Parisian Ruin of Self-similar Gaussian Risk Processes

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji

In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the…

math.PR2014

Finite-time ruin probability of aggregate Gaussian processes

Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1

Let ${\sum_{i = 1}^{n} λ_{i} X_{i} (t), t \in [0, T]}$ be an aggregate Gaussian risk process with $X_{i}, i \leq n$ independent Gaussian processes satisfying Piterbarg conditions an…