Search Results - "Hashorva, Enkelejd"

On Extremal Index of Max-Stable Random Fields by Hashorva, Enkelejd

“…For a given stationary max-stable random field X ( t ), t ∈ ℤ d , the corresponding generalized Pickands constant coincideswith the classical extremal index θ…”
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Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants by Dȩbicki, Krzysztof, Hashorva, Enkelejd

“…Let X ( t ) , t ∈ R be a stochastically continuous stationary max-stable process with Fréchet marginals Φ α , α > 0 and set M X ( T ) = sup t ∈ [ 0 , T ] X ( t…”
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Domination of sample maxima and related extremal dependence measures by Hashorva, Enkelejd

“…For a given d-dimensional distribution function (df) H we introduce the class of dependence measures μ(H, Q) = −E{n H(Z1, . . . , Zd)}, where the random vector…”
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Pandemic-type failures in multivariate Brownian risk models by Dȩbicki, Krzysztof, Hashorva, Enkelejd, Kriukov, Nikolai

“…Modelling of multiple simultaneous failures in insurance, finance and other areas of applied probability is important especially from the point of view of…”
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Extremes of \alpha(\boldsymbol{t})-locally stationary Gaussian random fields by Hashorva, Enkelejd, Ji, Lanpeng

“…The main result of this contribution is the derivation of the exact asymptotic behavior of the supremum of a class of \alpha (\mathbf {t})-process generated by…”
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Simultaneous ruin probability for two-dimensional brownian risk model by Dȩbicki, Krzysztof, Hashorva, Enkelejd, Michna, Zbigniew

“…The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite time horizon. This is not the case for the…”
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Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics by Hashorva, Enkelejd, Mishura, Yuliya, Shevchenko, Georgiy

“…We study boundary non-crossing probabilities P f , u : = P ( ∀ t ∈ T X t + f ( t ) ≤ u ( t ) ) for a continuous centered Gaussian process X indexed by some…”
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Shift-invariant homogeneous classes of random fields by Hashorva, Enkelejd

“…Given an Rd-valued random field (rf) Z(t),t∈T and an α-homogeneous mapping κ we define the corresponding equivalent class of rf's (denoted by Cκ[Z]) which…”
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Parisian ruin over a finite-time horizon by Dębicki, Krzysztof, Hashorva, Enkelejd, Ji, LanPeng

“…For a risk process R_u（t） = u ＋ ct- X（t）, t≥0, where u≥0 is the initial capital, c 〉 0 is the premium rate and X（t）, t≥0 is an aggregate claim process, we…”
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Random shifting and scaling of insurance risks by Hashorva, Enkelejd, Ji, Lanpeng

“…Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the…”
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Tail asymptotic expansions for L-statistics by Hashorva, Enkelejd, Ling, ChengXiu, Peng, ZuoXiang

“…We derive higher-order expansions of L-statistics of independent risks X1,..., Xn under conditions on the underlying distribution function F. The new results…”
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Extremes of perturbed bivariate Rayleigh risks by Hashorva, Enkelejd, Nadarajah, Saralees, Pogany, Tibor K

“…* We establish first an asymptotic expansion for the joint survival function of a bivariate Rayleigh distribution, one of the most popular probabilistic models…”
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Multivariate max-stable processes and homogeneous functionals by Hashorva, Enkelejd, Kume, Alfred

“…Multivariate max-stable processes are important for both theoretical investigations and various statistical applications motivated by the fact that these are…”
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Exact tail asymptotics of aggregated parametrised risk by Hashorva, Enkelejd

“…In this paper we investigate the extremal behaviour of aggregated risk for a specific parametrised multivariate dependence framework. Furthermore we discuss…”
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Extremes of aggregated Dirichlet risks by Hashorva, Enkelejd

“…The class of Dirichlet random vectors is central in numerous probabilistic and statistical applications. The main result of this paper derives the exact tail…”
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Minima and maxima of elliptical arrays and spherical processes by HASHORVA, ENKELEJD

“…In this paper, we investigate first the asymptotics of the minima of elliptical triangular arrays. Motivated by the findings of Kabluchko (Extremes 14 (2011)…”
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Exact tail asymptotics in bivariate scale mixture models by Hashorva, Enkelejd

“…Let ( X , Y ) = ( RU 1 , RU 2 ) be a given bivariate scale mixture random vector, with R  > 0 independent of the bivariate random vector ( U 1 , U 2 ). In this…”
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The harmonic mean formula for random processes by Bisewski, Krzysztof, Hashorva, Enkelejd, Shevchenko, Georgiy

“…Motivated by the classical harmonic mean formula, estabished by Aldous in 1989, we investigate the relation between the sojourn time and supremum of a random…”
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Piterbarg theorems for chi-processes with trend by Hashorva, Enkelejd, Ji, Lanpeng

“…Let χ n ( t ) = ( ∑ i = 1 n X i 2 ( t ) ) 1 / 2 , t ≥ 0 be a chi-process with n degrees of freedom where X i ’s are independent copies of some generic centered…”
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Exact asymptotics and limit theorems for supremum of stationary χ-processes over a random interval by Tan, Zhongquan, Hashorva, Enkelejd

“…Let {χk(t),t≥0} be a stationary χ-process with k degrees of freedom being independent of some non-negative random variable T. In this paper we derive the exact…”
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