60 citations · 317 across the 50 of their papers we have counts for
Showing 2013 · math.PRShow all
3 papers · 2 filters
math.PR2013★ 15 cited
A new class of large claim size distributions: Definition, properties, and ruin theory
Sergej Beck, Jochen Blath, Michael Scheutzow
We investigate a new natural class of probability distributions modeling large claim sizes, motivated by the `principle of one big jump'. Though significantly more ge…
math.PR2013
A Stochastic Gronwall Lemma
Michael Scheutzow
We prove a stochastic Gronwall lemma of the following type: if is an adapted nonnegative continuous process which satisfies a linear integral inequality with an added continuou…
math.PR2013
Forward Brownian Motion
Krzysztof Burdzy, Michael Scheutzow
We consider processes which have the distribution of standard Brownian motion (in the forward direction of time) starting from random points on the trajectory which accumulate at $…