42 citations · 182 across the 34 of their papers we have counts for
8 papers · 1 filter
Extremes of Chi-square Processes with Trend
Peng Liu, Lanpeng Ji
This paper studies the supremum of a chi-square process with trend over a threshold-dependent-time horizon. Under the assumption that the chi-square process is generated from a cen…
Parisian Ruin of Self-similar Gaussian Risk Processes
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji
In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the…
Extremes of a class of nonhomogeneous Gaussian random fields
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji
This contribution establishes exact tail asymptotics of for a large class of nonhomogeneous Gaussian random fields on a bounded convex set…
Finite-time ruin probability of aggregate Gaussian processes
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1
Let be an aggregate Gaussian risk process with independent Gaussian processes satisfying Piterbarg conditions an…
Random Shifting and Scaling of Insurance Risks
Enkelejd Hashorva, Lanpeng Ji
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money…
Extremes of Order Statistics of Stationary Processes
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1
Let be independent copies of a stationary process . For given positive constants , define the set of th conjunctions $ C_{r…