L. Ji

activity

20132024

most citedOn the Supremum of gamma-reflected Processes with Fractional Brownian Motion as Input

42 citations · 182 across the 34 of their papers we have counts for

collaborators

Showing 2024Show all

2 papers · 1 filter

stat.ME2024

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…

math.PR2024

Probability of entering an orthant by correlated fractional Brownian motion with drift: Exact asymptotics

Krzysztof Debicki, Lanpeng Ji, Svyatoslav Novikov

For ${B_{H} (t) = (B_{H, 1} (t), \dots, B_{H, d} (t))^{⊤}, t \geq 0}$ , where ${B_{H, i} (t), t \geq 0}, 1 \leq i \leq d$ are mutually independent fractional Brownian motions, we obtain the exact…