| Publication | Date of Publication | Type |
|---|
Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
Extremes | 2024-11-12 | Paper |
On the maxima of suprema of dependent Gaussian models
Queueing Systems | 2023-12-14 | Paper |
Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
Stochastic Processes and their Applications | 2023-03-14 | Paper |
Extrema of multi-dimensional Gaussian processes over random intervals
Journal of Applied Probability | 2022-04-01 | Paper |
Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
| 2022-03-30 | Paper |
Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
Extremes | 2021-05-21 | Paper |
On the cumulative parisian ruin of multi-dimensional Brownian motion risk models
Scandinavian Actuarial Journal | 2020-12-16 | Paper |
Tail asymptotic behavior of the supremum of a class of chi-square processes
Statistics \& Probability Letters | 2019-09-25 | Paper |
Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model
| 2019-06-21 | 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 |
Gaussian risk models with financial constraints
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Ruin problem of a two-dimensional fractional Brownian motion risk process
Stochastic Models | 2018-05-03 | 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 |
Extremes of locally stationary chi-square processes with trend
Stochastic Processes and their Applications | 2016-12-27 | Paper |
A note on ruin problems in perturbed classical risk models
Statistics \& Probability Letters | 2016-11-18 | Paper |
Extremes of chi-square processes with trend
| 2016-07-22 | Paper |
Parisian ruin over a finite-time horizon
Science China. Mathematics | 2016-06-17 | Paper |
Extremes of a class of nonhomogeneous Gaussian random fields
The Annals of Probability | 2016-05-12 | Paper |
Gaussian approximation of perturbed chi-square risks
Statistics and Its Interface | 2015-12-09 | 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 |
Extremes of vector-valued Gaussian processes: exact asymptotics
Stochastic Processes and their Applications | 2015-08-24 | Paper |
Extremes of order statistics of stationary processes
Test | 2015-06-26 | Paper |
On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
Stochastic Processes and their Applications | 2015-06-19 | Paper |
Piterbarg theorems for chi-processes with trend
Extremes | 2015-04-15 | 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 |
Approximation of passage times of \(\gamma\)-reflected processes with FBM input
Journal of Applied Probability | 2014-10-15 | Paper |
Extremes and First Passage Times of Correlated Fractional Brownian Motions
Stochastic Models | 2014-09-25 | 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 |
On the probability of conjunctions of stationary Gaussian processes
Statistics \& Probability Letters | 2014-06-11 | Paper |
Analysis of the multiple roots of the Lundberg fundamental equation in the PH(\(n\)) risk model
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Random Shifting and Scaling of Insurance Risks
| 2014-04-12 | Paper |
On the infinite sums of deflated Gaussian products
Electronic Communications in Probability | 2012-10-23 | Paper |
The Gerber-Shiu penalty functions for a perturbed risk model with two classes of risks and a threshold dividend strategy
Chinese Journal of Applied Probability and Statistics | 2012-10-05 | Paper |
Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
Insurance Mathematics \& Economics | 2011-12-21 | Paper |
The Gerber-Shiu penalty functions for two classes of renewal risk processes
Journal of Computational and Applied Mathematics | 2010-02-12 | Paper |
Extrema of multi-dimensional Gaussian processes over random intervals
| N/A | Paper |
Probability of entering an orthant by correlated fractional Brownian motion with drift: Exact asymptotics
| N/A | Paper |
