Lanpeng Ji

activity

20142017

most citedExtremes of Chi-square Processes with Trend

4 citations · 7 across the 5 of their papers we have counts for

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math.PR2014★ 4 cited

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…

math.PR2014

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…

math.PR2014

Finite-time ruin probability of aggregate Gaussian processes

Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1

Let ${\sum_{i = 1}^{n} λ_{i} X_{i} (t), t \in [0, T]}$ be an aggregate Gaussian risk process with $X_{i}, i \leq n$ independent Gaussian processes satisfying Piterbarg conditions an…