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1

Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model

Lanpeng Ji, Chunsheng Zhang

Journal:

Applied Stochastic Models in Business and Industry

Year:

2012

Language:

english

File:

PDF, 1.56 MB

english, 2012

2

Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Communication in Statistics- Theory and Methods

Year:

2014

Language:

english

File:

PDF, 115 KB

english, 2014

3

Piterbarg theorems for chi-processes with trend

Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Year:

2015

Language:

english

File:

PDF, 520 KB

english, 2015

4

Extremes of $\alpha (\boldsymbol {t})$-locally stationary Gaussian random fields

Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Transactions of the American Mathematical Society

Year:

2015

Language:

english

File:

PDF, 373 KB

english, 2015

5

Extremal behaviour of hitting a cone by correlated Brownian motion with drift

Dȩbicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng, Rolski, Tomasz

Journal:

Stochastic Processes and their Applications

Year:

2018

Language:

english

File:

PDF, 764 KB

english, 2018

6

The Gerber–Shiu penalty functions for two classes of renewal risk processes

Lanpeng Ji, Chunsheng Zhang

Journal:

Journal of Computational and Applied Mathematics

Year:

2010

Language:

english

File:

PDF, 967 KB

english, 2010

7

Archimedean copulas in finite and infinite dimensions—with application to ruin problems

Corina Constantinescu, Enkelejd Hashorva, Lanpeng Ji

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 302 KB

english, 2011

8

On the supremum of -reflected processes with fractional Brownian motion as input

Hashorva, Enkelejd, Ji, Lanpeng, Piterbarg, Vladimir I.

Journal:

Stochastic Processes and their Applications

Year:

2013

Language:

english

File:

PDF, 249 KB

english, 2013

9

Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals

Dębicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Year:

2014

Language:

english

File:

PDF, 465 KB

english, 2014

10

On the probability of conjunctions of stationary Gaussian processes

Dȩbicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng, Tabiś, Kamil

Journal:

Statistics & Probability Letters

Year:

2014

Language:

english

File:

PDF, 395 KB

english, 2014

11

Extremes and First Passage Times of Correlated Fractional Brownian Motions

Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Stochastic Models

Year:

2014

Language:

english

File:

PDF, 223 KB

english, 2014

12

Extremes of order statistics of stationary processes

Dȩbicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng, Ling, Chengxiu

Journal:

Year:

2015

Language:

english

File:

PDF, 281 KB

english, 2015

13

Extremes of vector-valued Gaussian processes: Exact asymptotics

Dȩbicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng, Tabiś, Kamil

Journal:

Stochastic Processes and their Applications

Year:

2015

Language:

english

File:

PDF, 327 KB

english, 2015

14

Gaussian risk models with financial constraints

Dȩbicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Scandinavian Actuarial Journal

Year:

2015

Language:

english

File:

PDF, 459 KB

english, 2015

15

Parisian ruin of self-similar Gaussian risk processes

Dębicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Journal of Applied Probability

Year:

2015

Language:

english

File:

PDF, 125 KB

english, 2015

16

Approximation of Passage Times of γ-Reflected Processes with FBM Input

Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 135 KB

english, 2014

17

On theγ-reflected processes with fBm input*

Liu, Peng, Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Lithuanian Mathematical Journal

Year:

2015

Language:

english

File:

PDF, 266 KB

english, 2015

18

Parisian ruin over a finite-time horizon

Dębicki, Krzysztof, Hashorva, Enkelejd, Ji, LanPeng

Journal:

Science China Mathematics

Year:

2016

Language:

english

File:

PDF, 263 KB

english, 2016

19

Extremes of locally stationary chi-square processes with trend

Liu, Peng, Ji, Lanpeng

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 504 KB

english, 2016

20

A note on ruin problems in perturbed classical risk models

Liu, Peng, Zhang, Chunsheng, Ji, Lanpeng

Journal:

Statistics & Probability Letters

Year:

2017

Language:

english

File:

PDF, 403 KB

english, 2017

21

On the infinite sums of deflated Gaussian products

Hashorva, Enkelejd, Ji, Lanpeng, Tan, Zhongquan

Journal:

Electronic Communications in Probability

Year:

2012

Language:

english

File:

PDF, 241 KB

english, 2012

22

Extremes of a class of nonhomogeneous Gaussian random fields

Dȩbicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng

Journal:

The Annals of Probability

Year:

2016

Language:

english

File:

PDF, 265 KB

english, 2016

23

Ruin problem of a two-dimensional fractional Brownian motion risk process

Ji, Lanpeng, Robert, Stephan

Journal:

Stochastic Models

Year:

2018

Language:

english

File:

PDF, 692 KB

english, 2018

24

Random Shifting and Scaling of Insurance Risks

Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Year:

2014

Language:

english

File:

PDF, 241 KB

english, 2014

25

A Duality Result for the Generalized Erlang Risk Model

Ji, Lanpeng, Zhang, Chunsheng

Journal:

Year:

2014

Language:

english

File:

PDF, 244 KB

english, 2014

26

Extremes of threshold-dependent Gaussian processes

Bai, Long, Dȩbicki, Krzysztof, Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Science China Mathematics

Year:

2018

Language:

english

File:

PDF, 427 KB

english, 2018

27

Extremes and limit theorems for difference of chi-type processes

Albin, Patrik, Hashorva, Enkelejd, Ji, Lanpeng, Ling, Chengxiu

Journal:

ESAIM Probability and Statistics

Year:

2016

Language:

english

File:

PDF, 313 KB

english, 2016

28

Approximation of Passage Times of γ-Reflected Processes with FBM Input

Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 159 KB

english, 2014

29

Approximation of Passage Times of γ-Reflected Processes with FBM Input

Hashorva, Enkelejd, Ji, Lanpeng

Journal:

Journal of Applied Probability

Year:

2014

File:

PDF, 159 KB

2014

30

Tail asymptotic behavior of the supremum of a class of chi-square processes

Ji, Lanpeng, Liu, Peng, Robert, Stephan

Journal:

Statistics & Probability Letters

Year:

2019

Language:

english

File:

PDF, 361 KB

english, 2019

31

Logarithmic Asymptotics for Probability of Component-Wise Ruin in a Two-Dimensional Brownian Model

Dȩbicki, Krzysztof, Ji, Lanpeng, Rolski, Tomasz

Journal:

Year:

2019

Language:

english

File:

PDF, 389 KB

english, 2019

32

On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

Journal:

Scandinavian Actuarial Journal

Year:

2020

File:

PDF, 1.97 MB

2020

33

Exact asymptotics of component-wise extrema of two-dimensional Brownian motion

DeÌ§bicki, Krzysztof, Ji, Lanpeng, Rolski, Tomasz

Journal:

Year:

2020

File:

PDF, 717 KB

2020