4 citations · 7 across the 5 of their papers we have counts for
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Extremes of threshold-dependent Gaussian processes
L. Bai, K. Debicki, E. Hashorva +1
In this contribution we are concerned with the asymptotic behaviour as of , where is a family of ce…
A note on ruin problems in perturbed classical risk models
Peng Liu, Chunsheng Zhang, Lanpeng Ji
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing…
Extremes of Chi-square Processes with Trend
Peng Liu, Lanpeng Ji
This paper studies the supremum of a chi-square process with trend over a threshold-dependent-time horizon. Under the assumption that the chi-square process is generated from a cen…
Parisian Ruin of Self-similar Gaussian Risk Processes
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji
In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the…
Finite-time ruin probability of aggregate Gaussian processes
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1
Let be an aggregate Gaussian risk process with independent Gaussian processes satisfying Piterbarg conditions an…