1 citations · 1 across the 5 of their papers we have counts for
9 papers
On Berman functions
Krzysztof Dębicki, Enkelejd Hashorva, Zbigniew Michna
For fractional Brownian motion with Hurst parameter H the Berman constant is defined. In this paper we consider a general random field (rf) Z that is a spectral rf of some stationa…
On the continuity of Pickands constants
Krzysztof Dȩbicki, Enkelejd Hashorva, Zbigniew Michna
For a non-negative separable random field satisfying some mild assumptions we show that \begin{eqnarray*} H_Z^δ= \lim_{T\to\infty} \frac{1}{T^d} E \{\sup_…
Sojourn times of Gaussian related random fields
Krzysztof Dȩbicki, Enkelejd Hashorva, Peng Liu +1
This paper is concerned with the asymptotic analysis of sojourn times of random fields with continuous sample paths. Under a very general framework we show that there is an interes…
Simultaneous Ruin Probability for Two-Dimensional Brownian and Lévy Risk Models
Krzysztof Dȩbicki, Enkelejd Hashorva, Zbigniew Michna
The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite-time horizon. This is not the case for the simultaneous ruin pro…
Sojourn times of Gaussian processes with trend
Krzysztof Debicki, Peng Liu, Zbigniew Michna
We derive exact tail asymptotics of sojourn time above the level as , wher…
Ruin probabilities for two collaborating insurance companies
Zbigniew Michna
In this note we find a formula for the supremum distribution of spectrally positive or negative Lévy processes with a broken linear drift. This gives formulas for ruin probabilitie…