6 citations · 6 across the 3 of their papers we have counts for
3 papers
math.PR2015
A bivariate risk model with mutual deficit coverage
Jevgenijs Ivanovs, Onno Boxma
We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that…
math.PR2013
Exact boundaries in sequential testing for phase-type distributions
Hansjörg Albrecher, Peiman Asadi, Jevgenijs Ivanovs
We consider Wald's sequential probability ratio test for deciding whether a sequence of independent and identically distributed observations comes from a specified phase-type distr…
math.PR2010★ 6 cited
First passage process of a Markov additive process, with applications to reflection problems
Bernardo D'Auria, Jevgenijs Ivanovs, Offer Kella +1
In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix fu…