55 citations · 314 across the 47 of their papers we have counts for
6 papers · 1 filter
Extremes of homogeneous Gaussian random fields
Krzysztof Dębicki, Enkelejd Hashorva, Natalia Soja-Kukieła
Let be a centered homogeneous Gaussian field with a.s. continuous sample paths and correlation function such that \[r(s,t)=1…
Random Scaling of Gumbel Risks
Krzysztof Dȩbicki, Julia Farkas, Enkelejd Hashorva
In this paper we consider the product of two positive independent risks and . If is bounded and has distribution in the Gumbel max-domain of attraction with…
Tail Asymptotics of Supremum of Certain Gaussian Processes over Threshold Dependent Random Intervals
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji
Let be a centered Gaussian process and let be a non-negative constant. In this paper we study the asymptotics of $P\{\underset{t\in [0,\mathcal{T}/u^γ]}\sup X(…
On the infimum attained by the reflected fractional Brownian motion
Krzysztof Dębicki, Kamil Marcin Kosiński
Let be a fractional Brownian motion with Hurst parameter . For the storage process $Q_{B_H}(t)=\sup_{-\infty\le s\le t} \left(B_H(t)-B_H(s)…
Gaussian risk models with financial constraints
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji
In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, w…
Gaussian Approximation of Perturbed Chi-Square Risks
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji
In this paper we show that the conditional distribution of perturbed chi-quare risks can be approximated by certain distributions including the Gaussian ones. Our results are of in…