6 citations · 8 across the 4 of their papers we have counts for
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math.PR2015★ 2 cited
On the distribution of cumulative Parisian ruin
Hélène Guérin, Jean-François Renaud
We introduce the concept of cumulative Parisian ruin, which is based on the time spent in the red by the underlying surplus process. Our main result is an explicit representation f…
math.PR2015
Long time behavior of telegraph processes under convex potentials
Joaquin Fontbona, Hélène Guérin, Florent Malrieu
We study the long-time behavior of variants of the telegraph process with position-dependent jump-rates, which result in a monotone gradient-like drift toward the origin. We comput…