5 citations · 6 across the 4 of their papers we have counts for
7 papers · 1 filter
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…
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…
Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
Krzysztof Debicki, Lanpeng Ji, Tomasz Rolski
We derive the exact asymptotics of \[ P\left( \sup_{t\ge 0} \Bigl( X_1(t) - μ_1 t\Bigr)> u, \ \sup_{s\ge 0} \Bigl( X_2(s) - μ_2 s\Bigr)> u \right), \ \ u\to\infty, \] where $(X_1(t…
Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model
Krzysztof Debicki, Lanpeng Ji, Tomasz Rolski
We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin fun…
On the cumulative Parisian ruin of multi-dimensional Brownian motion models
Lanpeng Ji
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for t…
Extremes of vector-valued Gaussian processes: exact asymptotics
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji +1
Let be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of $$ P\left(\ex…