5 citations · 14 across the 12 of their papers we have counts for
4 papers · 1 filter
Pandemic-type Failures in Multivariate Brownian Risk Models
Krzysztof Dȩbicki, Enkelejd Hashorva, Nikolai Kriukov
Modelling of multiple simultaneous failures in insurance, finance and other areas of applied probability is important especially from the point of view of pandemic-type events. A b…
Bounds for expected supremum of fractional Brownian motion with drift
Krzysztof Bisewski, Krzysztof Dębicki, Michel Mandjes
We provide upper and lower bounds for the mean of , with a zero-mean, variance-normalized version of fractional B…
Finite-time ruin probability for correlated Brownian motions
Krzysztof Dȩbicki, Enkelejd Hashorva, Konrad Krystecki
Let be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation and define the joint survival probabi…
Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
Krzysztof Debicki, Lanpeng Ji, Tomasz Rolski
We derive the exact asymptotics of \[ P\left( \sup_{t\ge 0} \Bigl( X_1(t) - μ_1 t\Bigr)> u, \ \sup_{s\ge 0} \Bigl( X_2(s) - μ_2 s\Bigr)> u \right), \ \ u\to\infty, \] where $(X_1(t…