319 citations · 464 across the 28 of their papers we have counts for
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math.PR2008★ 1 cited
The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process
Zbigniew Palmowski, Martijn Pistorius
We analyze the asymptotics of crossing a high piecewise linear barriers by a renewal compound process with the subexponential jumps. The study is motivated by ruin probabilities of…
math.PR2008
Cramér asymptotics for finite time first passage probabilities of general Lévy processes
Zbigniew Palmowski, Martijn Pistorius
We derive the exact asymptotics of if and tend to infinity with constant, for a Lévy process that admits exponential moments. The proo…
math.PR2008★ 69 cited
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of cla…