2 papers
math.PR2009
An excursion approach to maxima of the Brownian Bridge
Mihael Perman, Jon A. Wellner
Functionals of Brownian bridge arise as limiting distributions in nonparametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian brid…
math.PR2004
Ruin probabilities and decompositions for general perturbed risk processes
Miljenko Huzak, Mihael Perman, Hrvoje Sikic +1
We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy process…