42 citations · 182 across the 34 of their papers we have counts for
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math.PR2018★ 15 cited
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…
math.PR2018
Tail Asymptotic Behavior of the supremum of a class of chi-square processes
Lanpeng Ji, Peng Liu, Stephan Robert
In this paper, we analyze a multivariate counterpart of the generalized weighted Kolmogorov-Smirnov statistic, which is the supremum of weighted locally stationary chi-square proce…