Zobrazeno 1 - 10
of 157
pro vyhledávání: '"Enkelejd Hashorva"'
Autor:
Enkelejd Hashorva, Lanpeng Ji
Publikováno v:
Risks, Vol 2, Iss 3, Pp 277-288 (2014)
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting and rando
Externí odkaz:
https://doaj.org/article/eb5cc2a47bf74e7c9c7c5b619bf5a147
Publikováno v:
Revstat Statistical Journal, Vol 12, Iss 2 (2014)
We establish first an asymptotic expansion for the joint survival function of a bivariate Rayleigh distribution, one of the most popular probabilistic models in engineering. Furthermore, we show that the component-wise maxima of a Hüsler–Reiss tri
Externí odkaz:
https://doaj.org/article/1df7fd8f089b4e3c8a1ebaa38bc93a75
Publikováno v:
Stochastic Analysis and Applications, vol. 41, no. 3, pp. 591-603
Motivated by the harmonic mean formula in [1], we investigate the relation between the sojourn time and supremum of a random process $X(t),t\in \mathbb{R}^d$ and extend the harmonic mean formula for general stochastically continuous $X$. We discuss t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::63c409bdbdba8439a6cb28b01cd7be89
https://serval.unil.ch/resource/serval:BIB_16AC6DA37C39.P001/REF.pdf
https://serval.unil.ch/resource/serval:BIB_16AC6DA37C39.P001/REF.pdf
Publikováno v:
Stochastic Processes and their Applications, vol. 130, no. 9, pp. 5802-5837
The seminal papers of Pickands [1,2] paved the way for a systematic study of high exceedance probabilities of both stationary and non-stationary Gaussian processes. Yet, in the vector-valued setting, due to the lack of key tools including Slepian's L
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c3974b9b43de6d938f00bdae0dca20b1
https://doi.org/10.1016/j.spa.2020.04.008
https://doi.org/10.1016/j.spa.2020.04.008
Publikováno v:
Journal of Applied Probability. 57:597-612
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 simultaneous ruin probability in the two-dimensional Brownian risk model. Relying on asympt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4cc5bfcfd1364c8b97b7afa29534c8df
https://doi.org/10.1017/jpr.2020.14
https://doi.org/10.1017/jpr.2020.14
Autor:
Enkelejd Hashorva, Lanpeng Ji
Publikováno v:
Extremes
Extremes, vol. 18, no. 1, pp. 37-64
Extremes, vol. 18, no. 1, pp. 37-64
Let $\chi_n(t) = (\sum_{i=1}^n X_i^2(t))^{1/2},t\ge0$ be a chi-process with $n$ degrees of freedom where $X_i$'s are independent copies of some generic centered Gaussian process $X$. This paper derives the exact asymptotic behavior of P{\sup_{t\in[0,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0aea4cbb9a3093837e7dbaa7754d6a24
http://doc.rero.ch/record/331638/files/10687_2014_Article_201.pdf
http://doc.rero.ch/record/331638/files/10687_2014_Article_201.pdf
Autor:
Enkelejd Hashorva
Publikováno v:
Journal of Multivariate Analysis, vol. 169, pp. 330-340
Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various multivariate risk m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1562890e41b135515f93a2d984e69382
https://doi.org/10.1016/j.jmva.2018.10.006
https://doi.org/10.1016/j.jmva.2018.10.006
Autor:
Alfred Kume, Enkelejd Hashorva
Publikováno v:
Statistics & Probability Letters, vol. 173, pp. 109066
Multivariate max-stable processes are important for both theoretical investigations and various statistical applications motivated by the fact that these are limiting processes, for instance of stationary multivariate regularly varying time series, (
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ca77a9d923313657b2660302415a049d
http://arxiv.org/abs/2102.06736
http://arxiv.org/abs/2102.06736
For a non-negative separable random field $Z(t), t\in \mathbb{R}^d$ satisfying some mild assumptions we show that \begin{eqnarray*} H_Z^\delta = \lim_{T\to\infty} \frac{1}{T^d} E \{\sup_{ t\in [0,T]^d \cap \delta \mathbb{Z}^d } Z(t) \}
Comment:
Comment:
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bbf3ed83be82d1ac0d194664f2e472da
A general framework for the study of regular variation (RV) is that of Polish star-shaped metric spaces, while recent developments in [1] have discussed RV with respect to some properly localised boundedness $\mathcal{B}$ imposing weak assumptions on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::47fdc4f5c428eee3b947b04dbc84181d