activity
20092026
most citedAsymptotics of supremum distribution of a Gaussian process over a Weibullian time

55 citations · 314 across the 47 of their papers we have counts for

collaborators
Showing 2019Show all

2 papers · 1 filter

math.PR2019

Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model

Krzysztof Debicki, Lanpeng Ji, Tomasz Rolski

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin fun…

math.PR2019★ 2 cited

Pickands-Piterbarg constants for self-similar Gaussian processes

Krzysztof Dȩbicki, Kamil Tabiś

For a centered self-similar Gaussian process and we analyze asymptotic behaviour of \[ \mathcal{H}_Y^R(T) \; = \; \mathbf{E} \exp \left( \sup_{t \…