42 citations · 182 across the 34 of their papers we have counts for
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math.PR2016★ 2 cited
Extremal behaviour of hitting a cone by correlated Brownian motion with drift
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji +1
This paper derives an exact asymptotic expression for \[ \mathbb{P}_{\mathbf{x}_u}\{\exists_{t\ge0} \mathbf{X}(t)- \boldsymbolμt\in \mathcal{U} \}, \ \ {\rm as}\ \ u\to\infty, \] w…
math.PR2016
A note on ruin problems in perturbed classical risk models
Peng Liu, Chunsheng Zhang, Lanpeng Ji
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing…