| Publication | Date of Publication | Type |
|---|
Shift-invariant homogeneous classes of random fields
Journal of Mathematical Analysis and Applications | 2024-10-07 | Paper |
On Berman functions
Methodology and Computing in Applied Probability | 2024-04-02 | Paper |
Sojourns of fractional Brownian motion queues: transient asymptotics
Queueing Systems | 2023-12-14 | Paper |
The harmonic mean formula for random processes
Stochastic Analysis and Applications | 2023-05-15 | Paper |
scientific article; zbMATH DE number 7662453 (Why is no real title available?)
| 2023-03-13 | Paper |
Cluster Random Fields and Random-Shift Representations
| 2022-06-30 | Paper |
Tail measures and regular variation
Electronic Journal of Probability | 2022-06-13 | Paper |
On the maximum of a Gaussian process with unique maximum point of its variance
Journal of Mathematical Sciences (New York) | 2022-06-07 | Paper |
Pandemic-type failures in multivariate Brownian risk models
Extremes | 2022-04-04 | Paper |
On the continuity of Pickands constants
Journal of Applied Probability | 2022-04-01 | Paper |
Finite-time ruin probability for correlated Brownian motions
Scandinavian Actuarial Journal | 2022-03-02 | Paper |
Multivariate max-stable processes and homogeneous functionals
Statistics \& Probability Letters | 2021-11-12 | Paper |
Shift-invariant homogeneous classes of random fields
| 2021-11-01 | Paper |
Multivariate extremes over a random number of observations
Scandinavian Journal of Statistics | 2021-09-17 | Paper |
On extremal index of max-stable random fields
Lithuanian Mathematical Journal | 2021-08-04 | Paper |
Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
Journal of Theoretical Probability | 2021-06-08 | Paper |
Tail Measures and Regular Variation
| 2021-03-07 | Paper |
Sojourn times of Gaussian related random fields
| 2021-01-27 | Paper |
Extremes of vector-valued Gaussian processes
Stochastic Processes and their Applications | 2020-09-02 | Paper |
Simultaneous ruin probability for two-dimensional Brownian risk model
Journal of Applied Probability | 2020-07-22 | Paper |
Asymptotic domination of sample maxima
Statistics \& Probability Letters | 2020-04-29 | Paper |
Approximation of supremum of max-stable stationary processes \& Pickands constants
Journal of Theoretical Probability | 2020-02-18 | Paper |
Uniform tail approximation of homogenous functionals of Gaussian fields
Advances in Applied Probability | 2019-09-16 | Paper |
Aggregation of randomly weighted large risks
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
On maximum of Gaussian process with unique maximum point of its variance
| 2019-01-28 | Paper |
Approximation of some multivariate risk measures for Gaussian risks
Journal of Multivariate Analysis | 2019-01-04 | Paper |
Tail measure and spectral tail process of regularly varying time series
The Annals of Applied Probability | 2018-12-17 | Paper |
Extremal behavior of hitting a cone by correlated Brownian motion with drift
Stochastic Processes and their Applications | 2018-12-10 | Paper |
Extremes of threshold-dependent Gaussian processes
Science China. Mathematics | 2018-11-23 | Paper |
Some mathematical aspects of price optimisation
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
Representations of \(\max\)-stable processes via exponential tilting
Stochastic Processes and their Applications | 2018-08-15 | Paper |
On Extremal Index of max-stable stationary processes
| 2018-08-08 | Paper |
Tail asymptotics of light-tailed Weibull-like sums
| 2018-08-08 | Paper |
Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
ESAIM: Probability and Statistics | 2018-08-07 | Paper |
On some new dependence models derived from multivariate collective models in insurance applications
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Gaussian risk models with financial constraints
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Tail approximation for reinsurance portfolios of Gaussian-like risks
Scandinavian Actuarial Journal | 2018-07-10 | Paper |
Domination of sample maxima and related extremal dependence measures
Dependence Modeling | 2018-06-27 | Paper |
ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
ASTIN Bulletin | 2018-06-04 | Paper |
On generalised Piterbarg constants
Methodology and Computing in Applied Probability | 2018-03-01 | Paper |
Asymptotic behavior of reliability function for multidimensional aggregated Weibull type reliability indices
| 2018-02-26 | Paper |
Generalized Pickands constants and stationary max-stable processes
Extremes | 2018-01-26 | Paper |
Extremes of randomly scaled Gumbel risks
Journal of Mathematical Analysis and Applications | 2017-11-02 | Paper |
Extremes of Gaussian random fields with regularly varying dependence structure
Extremes | 2017-11-02 | Paper |
Approximation of maximum of Gaussian random fields
Journal of Mathematical Analysis and Applications | 2017-09-25 | Paper |
Asymptotics for a discrete-time risk model with the emphasis on financial risk
Probability in the Engineering and Informational Sciences | 2017-08-24 | Paper |
Comparison inequalities for order statistics of Gaussian arrays
| 2017-02-23 | Paper |
Extremes of threshold-dependent Gaussian processes
| 2017-01-19 | Paper |
Extremes and limit theorems for difference of chi-type processes
ESAIM: Probability and Statistics | 2017-01-12 | Paper |
Maxima of skew elliptical triangular arrays
Communications in Statistics: Theory and Methods | 2016-07-15 | Paper |
Parisian ruin over a finite-time horizon
Science China. Mathematics | 2016-06-17 | Paper |
Maxima and minima of complete and incomplete stationary sequences
Stochastics | 2016-06-10 | Paper |
Extremes of a class of nonhomogeneous Gaussian random fields
The Annals of Probability | 2016-05-12 | Paper |
Boundary non-crossing probabilities for fractional Brownian motion with trend
Stochastics | 2016-04-27 | Paper |
Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
Methodology and Computing in Applied Probability | 2016-04-12 | Paper |
Limit laws for maxima of contracted stationary Gaussian sequences
Communications in Statistics. Theory and Methods | 2016-04-01 | Paper |
Insurance Applications of Some New Dependence Models derived from Multivariate Collective Models
| 2016-03-06 | Paper |
Exact tail asymptotics in bivariate scale mixture models
Extremes | 2016-01-22 | Paper |
Extremes of independent chi-square random vectors
Extremes | 2016-01-22 | Paper |
Berman's inequality under random scaling
Statistics and Its Interface | 2015-12-09 | Paper |
Gaussian approximation of perturbed chi-square risks
Statistics and Its Interface | 2015-12-09 | Paper |
Maxima of a triangular array of multivariate Gaussian sequence
Statistics \& Probability Letters | 2015-11-23 | Paper |
Extremes of \(\alpha(\mathbf{t})\)-locally stationary Gaussian random fields
Transactions of the American Mathematical Society | 2015-11-03 | Paper |
Parisian ruin of self-similar Gaussian risk processes
Journal of Applied Probability | 2015-10-30 | Paper |
On the \(\gamma\)-reflected processes with fBm input
Lithuanian Mathematical Journal | 2015-10-22 | Paper |
On the asymptotic Laplace method and its application to random chaos
Mathematical Notes | 2015-10-14 | Paper |
Asymptotic expansion of Gaussian chaos via probabilistic approach
Extremes | 2015-09-24 | Paper |
Extremes of vector-valued Gaussian processes: exact asymptotics
Stochastic Processes and their Applications | 2015-08-24 | Paper |
Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
Statistics | 2015-07-20 | Paper |
Extremes of order statistics of stationary processes
Test | 2015-06-26 | Paper |
Approximation of a random process with variable smoothness
Mathematical Statistics and Limit Theorems | 2015-06-24 | Paper |
On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
Stochastic Processes and their Applications | 2015-06-19 | Paper |
Extremes of perturbed bivariate Rayleigh risks
| 2015-06-12 | Paper |
Extremes of homogeneous Gaussian random fields
Journal of Applied Probability | 2015-05-29 | Paper |
Piterbarg theorems for chi-processes with trend
Extremes | 2015-04-15 | Paper |
Aggregation of log-linear risks
Journal of Applied Probability | 2015-04-14 | Paper |
Tail behavior of weighted sums of order statistics of dependent risks
Stochastic Models | 2015-03-20 | Paper |
On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
Journal of Mathematical Analysis and Applications | 2015-02-27 | Paper |
Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
Stochastic Processes and their Applications | 2015-01-30 | Paper |
Second order asymptotics of aggregated log-elliptical risk
Methodology and Computing in Applied Probability | 2015-01-28 | Paper |
Second-order tail asymptotics of deflated risks
Insurance Mathematics \& Economics | 2015-01-28 | Paper |
Large deviations for proportions of observations which fall in random sets determined by order statistics
Methodology and Computing in Applied Probability | 2015-01-28 | Paper |
Finite-time ruin probability of aggregate Gaussian processes
| 2015-01-26 | Paper |
Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
Extremes | 2015-01-23 | Paper |
Tail asymptotic of Weibull-type risks
Statistics | 2014-12-22 | Paper |
Tail asymptotic expansions for \(L\)-statistics
Science China. Mathematics | 2014-12-03 | Paper |
Extremes of aggregated Dirichlet risks
Journal of Multivariate Analysis | 2014-11-28 | Paper |
Approximation of passage times of \(\gamma\)-reflected processes with FBM input
Journal of Applied Probability | 2014-10-15 | Paper |
Discussion: Statistical models and methods for dependence in insurance data
Journal of the Korean Statistical Society | 2014-09-30 | Paper |
Extremes and First Passage Times of Correlated Fractional Brownian Motions
Stochastic Models | 2014-09-25 | Paper |
Boundary noncrossings of additive Wiener fields
Lithuanian Mathematical Journal | 2014-09-08 | Paper |
Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
Communications in Statistics. Theory and Methods | 2014-08-18 | Paper |
Modeling of censored bivariate extremal events
Journal of the Korean Statistical Society | 2014-08-11 | Paper |
Limit properties of exceedances point processes of scaled stationary Gaussian sequences
| 2014-06-20 | Paper |
On the probability of conjunctions of stationary Gaussian processes
Statistics \& Probability Letters | 2014-06-11 | Paper |
Tail asymptotics of random sum and maximum of log-normal risks
Statistics \& Probability Letters | 2014-06-05 | Paper |
Tail asymptotics of randomly weighted large risks
| 2014-05-03 | Paper |
Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Calculation of Bayes premium for conditional elliptical risks
Insurance Mathematics \& Economics | 2014-04-25 | Paper |
ECOMOR and LCR reinsurance with gamma-like claims
Insurance Mathematics \& Economics | 2014-04-15 | Paper |
On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
Methodology and Computing in Applied Probability | 2014-04-14 | Paper |
Random Shifting and Scaling of Insurance Risks
| 2014-04-12 | Paper |
Extremes and products of multivariate AC-product risks
Insurance Mathematics \& Economics | 2014-04-03 | Paper |
Large deviations of Shepp statistics for fractional Brownian motion
Statistics \& Probability Letters | 2014-02-19 | Paper |
On extremal behavior of Gaussian chaos
Doklady Mathematics | 2014-01-24 | Paper |
Random Scaling of Gumbel Risks
| 2013-12-26 | Paper |
On beta-product convolutions
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
On Piterbarg theorem for maxima of stationary Gaussian sequences
Lithuanian Mathematical Journal | 2013-12-05 | Paper |
Minima and maxima of elliptical arrays and spherical processes
Bernoulli | 2013-08-16 | Paper |
Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
Lithuanian Mathematical Journal | 2013-08-08 | Paper |
Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
Extremes | 2013-06-25 | Paper |
Tail Asymptotics of Deflated Risks
| 2013-05-12 | Paper |
Efficient simulation of tail probabilities for sums of log-elliptical risks
Journal of Computational and Applied Mathematics | 2013-04-18 | Paper |
Exact tail asymptotics of aggregated parametrised risk
Journal of Mathematical Analysis and Applications | 2013-02-21 | Paper |
Limit laws for extremes of dependent stationary Gaussian arrays
Statistics \& Probability Letters | 2013-01-25 | Paper |
Asymptotics of maxima of strongly dependent Gaussian processes
Journal of Applied Probability | 2013-01-19 | Paper |
Scale mixtures of Kotz-Dirichlet distributions
Journal of Multivariate Analysis | 2012-11-29 | Paper |
On the infinite sums of deflated Gaussian products
Electronic Communications in Probability | 2012-10-23 | Paper |
A new family of bivariate max-infinitely divisible distributions
Metrika | 2012-09-23 | Paper |
Gaussian approximation of conditional elliptical copulas
Journal of Multivariate Analysis | 2012-08-24 | Paper |
Limit theorems for the spacings of weak records
Metrika | 2012-05-23 | Paper |
Asymptotics of random contractions
Insurance Mathematics \& Economics | 2012-02-10 | Paper |
Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
Insurance Mathematics \& Economics | 2011-12-21 | Paper |
A convolution identity for exchangeable risks
| 2011-07-05 | Paper |
On Pearson-Kotz Dirichlet distributions
Journal of Multivariate Analysis | 2011-04-19 | Paper |
Asymptotics of the convex hull of spherically symmetric samples
Discrete Applied Mathematics | 2011-03-09 | Paper |
Conditional limit results for type I polar distributions
Extremes | 2011-02-22 | Paper |
Near-extremes and related point processes
| 2011-02-02 | Paper |
Tail asymptotics under beta random scaling
Journal of Mathematical Analysis and Applications | 2010-09-17 | Paper |
On the residual dependence index of elliptical distributions
Statistics \& Probability Letters | 2010-06-25 | Paper |
Boundary non-crossings of Brownian pillow
Journal of Theoretical Probability | 2010-04-23 | Paper |
Asymptotics of the norm of elliptical random vectors
Journal of Multivariate Analysis | 2010-03-01 | Paper |
On the strong Kotz approximation of Dirichlet random vectors
Statistics | 2009-09-18 | Paper |
Extremes of weighted Dirichlet arrays
Extremes | 2009-08-08 | Paper |
Conditional limits of \(W_{p}\) scale mixture distributions
Journal of Statistical Planning and Inference | 2009-08-05 | Paper |
On the Max-Domain of Attraction of Type-III Elliptical Triangular Arrays
Communications in Statistics: Theory and Methods | 2009-06-25 | Paper |
Asymptotics for Kotz type III elliptical distributions
Statistics \& Probability Letters | 2009-04-15 | Paper |
Asymptotic properties of type I elliptical random vectors
Extremes | 2009-02-28 | Paper |
Tail asymptotic results for elliptical distributions
Insurance Mathematics \& Economics | 2008-08-18 | Paper |
Conditional limiting distribution of beta-independent random vectors
Journal of Multivariate Analysis | 2008-08-06 | Paper |
The number and sum of near \(m\)-extremes
| 2008-03-06 | Paper |
Gaussian Approximation of Conditional Elliptical Random Vectors
Stochastic Models | 2008-03-06 | Paper |
An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
Communications in Statistics: Theory and Methods | 2008-01-23 | Paper |
Extremes of conditioned elliptical random vectors
Journal of Multivariate Analysis | 2007-10-24 | Paper |
scientific article; zbMATH DE number 5190928 (Why is no real title available?)
| 2007-09-13 | Paper |
Exact asymptotics for type I bivariate elliptical distributions
Albanian Journal of Mathematics | 2007-09-13 | Paper |
scientific article; zbMATH DE number 5190919 (Why is no real title available?)
| 2007-09-13 | Paper |
On the asymptotic distribution of certain bivariate reinsurance treaties
Insurance Mathematics \& Economics | 2007-09-03 | Paper |
On the max-domain of attractions of bivariate elliptical arrays
Extremes | 2007-05-29 | Paper |
Extremes of asymptotically spherical and elliptical random vectors
Insurance Mathematics \& Economics | 2007-05-24 | Paper |
The neighbourhood of bivariate maxima
| 2007-05-07 | Paper |
On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays
Statistics \& Probability Letters | 2007-02-14 | Paper |
Conditional limiting distribution of type III elliptical random vectors
Journal of Multivariate Analysis | 2007-02-13 | Paper |
Exact asymptotics for boundary crossing probabilities of Brownian motion with piecewise linear trend
Electronic Communications in Probability | 2006-11-03 | Paper |
On the regular variation of elliptical random vectors
Statistics \& Probability Letters | 2006-08-04 | Paper |
A novel class of bivariate max-stable distributions
Statistics \& Probability Letters | 2006-06-16 | Paper |
Analysis of a change-point regression problem in quality control by partial sums processes and Kolmogorov type tests
Metrika | 2006-02-08 | Paper |
Multiple maxima in multivariate samples
Statistics \& Probability Letters | 2005-12-05 | Paper |
A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend
Statistics \& Probability Letters | 2005-09-29 | Paper |
Elliptical triangular arrays in the max-domain of attraction of Hüsler-Reiss distribution
Statistics \& Probability Letters | 2005-06-01 | Paper |
Estimation of Tails and Related Quantities Using the Number of Near-Extremes
Communications in Statistics: Theory and Methods | 2005-05-23 | Paper |
Asymptotics and bounds for multivariate Gaussian tails
Journal of Theoretical Probability | 2005-05-20 | Paper |
Bivariate maximum insurance claim and related point processes
Statistics \& Probability Letters | 2005-04-21 | Paper |
On multivariate Gaussian tails
Annals of the Institute of Statistical Mathematics | 2004-10-05 | Paper |
Exact asymptotics for boundary crossings of the Brownian bridge with trend with application to the Kolmogorov test
Annals of the Institute of Statistical Mathematics | 2004-09-27 | Paper |
Asymptotics of dominated Gaussian maxima
Extremes | 2004-03-16 | Paper |
On the power of the Kolmogorov test to detect the trend of a Brownian bridge with applications to a change-point problem in regression models.
Statistics \& Probability Letters | 2004-02-14 | Paper |
On the number of points near the multivariate maxima
Statistics \& Probability Letters | 2004-01-15 | Paper |
Asymptotics of a boundary crossing probability of a Brownian bridge with general trend
Methodology and Computing in Applied Probability | 2004-01-14 | Paper |
On the number of near-maximum insurance claim under dependence.
Insurance Mathematics \& Economics | 2003-11-16 | Paper |
Remarks on domination of maxima
Statistics \& Probability Letters | 2003-05-07 | Paper |
On asymptotics of multivariate integrals with applications to records
Stochastic Models | 2002-11-25 | Paper |
Asymptotic results for FGM random sequences
Statistics \& Probability Letters | 2002-10-23 | Paper |
Remarks on compound Poisson approximation of Gaussian random sequences
Statistics \& Probability Letters | 2002-09-05 | Paper |
On the number of near-maxima
| 2001-10-18 | Paper |
Extremes of Gaussian processes with maximal variance near the boundary points
Methodology and Computing in Applied Probability | 2001-09-23 | Paper |
Extreme values in FGM random sequences
Journal of Multivariate Analysis | 1999-09-21 | Paper |
