Search Results - subject:"exact asymptotics"

Finite-time ruin probability for correlated Brownian motions

Dębicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 890-915

Persistent link: https://www.econbiz.de/10012696892

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

Ji, Lanpeng - In: Scandinavian actuarial journal 2020 (2020) 9, pp. 819-842

Persistent link: https://www.econbiz.de/10012313740

Exact asymptotics in an infinite-server system with overdispersed input

Heemskerk, Mariska; Mandjes, Michel - In: Operations research letters 47 (2019) 6, pp. 513-520

Persistent link: https://www.econbiz.de/10012131854

Tail asymptotics of random sum and maximum of log-normal risks

Hashorva, Enkelejd; Kortschak, Dominik - In: Statistics & Probability Letters 87 (2014) C, pp. 167-174

In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandayapa (2008) also for the more general setup of random sums and random maximum the...

Persistent link: https://www.econbiz.de/10010752980

Exact asymptotics for Boundary crossings of the brownian bridge with trend with application to the Kolmogorov test

Bischoff, Wolfgang; Hashorva, Enkelejd; Hüsler, Jürg; … - In: Annals of the Institute of Statistical Mathematics 55 (2003) 4, pp. 849-864

Persistent link: https://www.econbiz.de/10005616150