1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2014
Tail approximation for reinsurance portfolios of Gaussian-like risks
Julia Farkas, Enkelejd Hashorva
We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large valu…
math.PR2013★ 1 cited
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…