21 citations · 43 across the 14 of their papers we have counts for
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math.PR2018★ 3 cited
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…
math.PR2018★ 21 cited
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…
math.PR2018★ 5 cited
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…