42 citations · 182 across the 34 of their papers we have counts for
34 papers
Bayesian CART models for aggregate claim modeling
Yaojun Zhang, Lanpeng Ji, Georgios Aivaliotis +1
This paper proposes three types of Bayesian CART (or BCART) models for aggregate claim amount, namely, frequency-severity models, sequential models and joint models. We propose a g…
Probability of entering an orthant by correlated fractional Brownian motion with drift: Exact asymptotics
Krzysztof Debicki, Lanpeng Ji, Svyatoslav Novikov
For , where are mutually independent fractional Brownian motions, we obtain the exact…
Bayesian CART models for insurance claims frequency
Yaojun Zhang, Lanpeng Ji, Georgios Aivaliotis +1
Accuracy and interpretability of a (non-life) insurance pricing model are essential qualities to ensure fair and transparent premiums for policy-holders, that reflect their risk. I…
On the maxima of suprema of dependent Gaussian models
Lanpeng Ji, Xiaofan Peng
In this paper, we study the asymptotic distribution of the maxima of suprema of dependent Gaussian processes with trend. For different scales of the time horizon we obtain differen…
Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
Lanpeng Ji, Xiaofan Peng
We investigate extreme value theory of a class of random sequences defined by the all-time suprema of aggregated self-similar Gaussian processes with trend. This study is motivated…
Extrema of multi-dimensional Gaussian processes over random intervals
Lanpeng Ji, Xiaofan Peng
This paper studies the joint tail asymptotics of extrema of the multi-dimensional Gaussian process over random intervals defined as $$ P(u):=\mathbb{P}\left\{\cap_{i=1}^n \left(\su…