Works matching AU Hashorva, Enkelejd

Results: 62

EXTREMES OF γ-REFLECTED GAUSSIAN PROCESSES WITH STATIONARY INCREMENTS.

Published in:

ESAIM: Probability & Statistics, 2017, v. 21, p. 1

By:

DŞBICKI, KRZYSZTOF;
HASHORVA, ENKELEJD;
PENG LIU

Publication type:

Article

EXTREMES AND LIMIT THEOREMS FOR DIFFERENCE OF CHI-TYPE PROCESSES.

Published in:

ESAIM: Probability & Statistics, 2016, v. 20, p. 349, doi. 10.1051/ps/2016018

By:

ALBIN, PATRIK;
HASHORVA, ENKELEJD;
LANPENG JI;
CHENGXIU LING

Publication type:

Article

Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks.

Published in:

Stochastic Models, 2015, v. 31, n. 1, p. 1, doi. 10.1080/15326349.2014.954133

By:

Hashorva, Enkelejd;
Li, Jinzhu

Publication type:

Article

Extremes and First Passage Times of Correlated Fractional Brownian Motions.

Published in:

Stochastic Models, 2014, v. 30, n. 3, p. 272, doi. 10.1080/15326349.2014.903159

By:

Hashorva, Enkelejd;
Ji, Lanpeng

Publication type:

Article

Gaussian Approximation of Conditional Elliptical Random Vectors.

Published in:

2006

By:

Hashorva, Enkelejd

Publication type:

Abstract

On asymptotics of multivariate integrals with applications to records.

Published in:

Stochastic Models, 2002, v. 18, n. 1, p. 41, doi. 10.1081/STM-120002774

By:

Hashorva, Enkelejd;
Hüsler, Jürg

Publication type:

Article

Finite-time ruin probability for correlated Brownian motions.

Published in:

Scandinavian Actuarial Journal, 2021, v. 2021, n. 10, p. 890, doi. 10.1080/03461238.2021.1902853

By:

Dȩbicki, Krzysztof;
Hashorva, Enkelejd;
Krystecki, Konrad

Publication type:

Article

The harmonic mean formula for random processes.

Published in:

Stochastic Analysis & Applications, 2023, v. 41, n. 3, p. 591, doi. 10.1080/07362994.2022.2055574

By:

Bisewski, Krzysztof;
Hashorva, Enkelejd;
Shevchenko, Georgiy

Publication type:

Article

Sojourn times of Gaussian and related random fields.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2023, v. 20, n. 1, p. 249, doi. 10.30757/ALEA.v20-10

By:

Dȩbicki, Krzysztof;
Hashorva, Enkelejd;
Peng Liu;
Michna, Zbigniew

Publication type:

Article

Maxima and minima of complete and incomplete stationary sequences.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2014, v. 86, n. 5, p. 707, doi. 10.1080/17442508.2013.876423

By:

Hashorva, Enkelejd;
Weng, Zhichao

Publication type:

Article

On Piterbarg Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes.

Published in:

Methodology & Computing in Applied Probability, 2014, v. 16, n. 1, p. 169, doi. 10.1007/s11009-012-9305-8

By:

Tan, Zhongquan;
Hashorva, Enkelejd

Publication type:

Article

Large Deviations for Proportions of Observations Which Fall in Random Sets Determined by Order Statistics.

Published in:

Methodology & Computing in Applied Probability, 2013, v. 15, n. 4, p. 875, doi. 10.1007/s11009-012-9290-y

By:

Hashorva, Enkelejd;
Macci, Claudio;
Pacchiarotti, Barbara

Publication type:

Article

Asymptotics of a Boundary Crossing Probability of a Brownian Bridge with General Trend.

Published in:

Methodology & Computing in Applied Probability, 2003, v. 5, n. 3, p. 271, doi. 10.1023/A:1026242019110

By:

Bischoff, Wolfgang;
Miller, Frank;
Hashorva, Enkelejd;
Hüsler, Jürg

Publication type:

Article

Extremes of Gaussian Processes with Maximal Variance near the Boundary Points.

Published in:

Methodology & Computing in Applied Probability, 2000, v. 2, n. 3, p. 255, doi. 10.1023/A:1010029228490

By:

Hashorva, Enkelejd;
Hüsler, Jürg

Publication type:

Article

Pandemic-type failures in multivariate Brownian risk models.

Published in:

Extremes, 2022, v. 25, n. 1, p. 1, doi. 10.1007/s10687-021-00424-4

By:

Dȩbicki, Krzysztof;
Hashorva, Enkelejd;
Kriukov, Nikolai

Publication type:

Article

Generalized Pickands constants and stationary max-stable processes.

Published in:

Extremes, 2017, v. 20, n. 3, p. 493, doi. 10.1007/s10687-017-0289-1

By:

Dȩbicki, Krzysztof;
Engelke, Sebastian;
Hashorva, Enkelejd

Publication type:

Article

Extremes of Gaussian random fields with regularly varying dependence structure.

Published in:

Extremes, 2017, v. 20, n. 2, p. 333, doi. 10.1007/s10687-016-0276-y

By:

Dȩbicki, Krzysztof;
Hashorva, Enkelejd;
Liu, Peng

Publication type:

Article

Asymptotic expansion of Gaussian chaos via probabilistic approach.

Published in:

Extremes, 2015, v. 18, n. 3, p. 315, doi. 10.1007/s10687-015-0215-3

By:

Hashorva, Enkelejd;
Korshunov, Dmitry;
Piterbarg, Vladimir

Publication type:

Article

Piterbarg theorems for chi-processes with trend.

Published in:

Extremes, 2015, v. 18, n. 1, p. 37, doi. 10.1007/s10687-014-0201-1

By:

Hashorva, Enkelejd;
Ji, Lanpeng

Publication type:

Article

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

Published in:

Extremes, 2014, v. 17, n. 3, p. 411, doi. 10.1007/s10687-014-0186-9

By:

Dębicki, Krzysztof;
Hashorva, Enkelejd;
Ji, Lanpeng

Publication type:

Article

Limit theorems for extremes of strongly dependent cyclo-stationary χ-processes.

Published in:

Extremes, 2013, v. 16, n. 2, p. 241, doi. 10.1007/s10687-013-0170-9

By:

Tan, Zhongquan;
Hashorva, Enkelejd

Publication type:

Article

Exact tail asymptotics in bivariate scale mixture models.

Published in:

Extremes, 2012, v. 15, n. 1, p. 109, doi. 10.1007/s10687-011-0129-7

By:

Hashorva, Enkelejd

Publication type:

Article

Extremes of independent chi-square random vectors.

Published in:

Extremes, 2012, v. 15, n. 1, p. 35, doi. 10.1007/s10687-010-0125-3

By:

Hashorva, Enkelejd;
Kabluchko, Zakhar;
Wübker, Achim

Publication type:

Article

Conditional limit results for type I polar distributions.

Published in:

Extremes, 2009, v. 12, n. 3, p. 239, doi. 10.1007/s10687-008-0078-y

By:

Hashorva, Enkelejd

Publication type:

Article

Extremes of weighted Dirichlet arrays.

Published in:

Extremes, 2008, v. 11, n. 4, p. 393, doi. 10.1007/s10687-008-0064-4

By:

Hashorva, Enkelejd

Publication type:

Article

Asymptotic properties of type I elliptical random vectors.

Published in:

Extremes, 2007, v. 10, n. 4, p. 175, doi. 10.1007/s10687-007-0040-4

By:

Hashorva, Enkelejd

Publication type:

Article

ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK.

Published in:

Probability in the Engineering & Informational Sciences, 2014, v. 28, n. 4, p. 573, doi. 10.1017/S026996481400014X

By:

Hashorva, Enkelejd;
Li, Jinzhu

Publication type:

Article

Multivariate extremes over a random number of observations.

Published in:

Scandinavian Journal of Statistics, 2021, v. 48, n. 3, p. 845, doi. 10.1111/sjos.12463

By:

Hashorva, Enkelejd;
Padoan, Simone A.;
Rizzelli, Stefano

Publication type:

Article

Uniform tail approximation of homogenous functionals of Gaussian fields.

Published in:

Advances in Applied Probability, 2017, v. 49, n. 4, p. 1037, doi. 10.1017/apr.2017.33

By:

Dȩbicki, Krzysztof;
Hashorva, Enkelejd;
Liu, Peng

Publication type:

Article

Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids.

Published in:

Statistics, 2015, v. 49, n. 2, p. 338, doi. 10.1080/02331888.2014.982653

By:

Hashorva, Enkelejd;
Tan, Zhongquan

Publication type:

Article

Tail asymptotic of Weibull-type risks.

Published in:

Statistics, 2014, v. 48, n. 5, p. 1155, doi. 10.1080/02331888.2013.800520

By:

Hashorva, Enkelejd;
Weng, Zhichao

Publication type:

Article

On the strong Kotz approximation of Dirichlet random vectors.

Published in:

Statistics, 2009, v. 43, n. 4, p. 393, doi. 10.1080/02331880802395955

By:

Hashorva, Enkelejd;
Kotz, Samuel

Publication type:

Article

On the continuity of Pickands constants.

Published in:

Journal of Applied Probability, 2022, v. 59, n. 1, p. 187, doi. 10.1017/jpr.2021.42

By:

Dębicki, Krzysztof;
Hashorva, Enkelejd;
Michna, Zbigniew

Publication type:

Article

Simultaneous ruin probability for two-dimensional brownian risk model.

Published in:

Journal of Applied Probability, 2020, v. 57, n. 2, p. 597, doi. 10.1017/jpr.2020.14

By:

Dȩbicki, Krzysztof;
Hashorva, Enkelejd;
Michna, Zbigniew

Publication type:

Article

PARISIAN RUIN OF SELF-SIMILAR GAUSSIAN RISK PROCESSES.

Published in:

Journal of Applied Probability, 2015, v. 52, n. 3, p. 688

By:

DĘBICKI, KRZYSZTOF;
HASHORVA, ENKELEJD;
LANPENG JI

Publication type:

Article

EXTREMES OF HOMOGENEOUS GAUSSIAN RANDOM FIELDS.

Published in:

Journal of Applied Probability, 2015, v. 52, n. 1, p. 55

By:

DĘBICKI, KRZYSZTOF;
HASHORVA, ENKELEJD;
SOJA-KUKIEłA, NATALIA

Publication type:

Article

AGGREGATION OF LOG-LINEAR RISKS.

Published in:

Journal of Applied Probability, 2014, v. 51A, p. 203, doi. 10.1017/S0021900200021288

By:

EMBRECHTS, PAUL;
HASHORVA, ENKELEJD;
MIKOSCH, THOMAS

Publication type:

Article

APPROXIMATION OF PASSAGE TIMES OF γ -REFLECTED PROCESSES WITH FBM INPUT.

Published in:

Journal of Applied Probability, 2014, v. 51, n. 3, p. 713, doi. 10.1239/jap/1409932669

By:

ENKELEJD HASHORVA;
LANPENG JI

Publication type:

Article

ASYMPTOTICS OF MAXIMA OF STRONGLY DEPENDENT GAUSSIAN PROCESSES.

Published in:

Journal of Applied Probability, 2012, v. 49, n. 4, p. 1106, doi. 10.1239/jap/1354716660

By:

ZHONGQUAN TAN;
HASHORVA, ENKELEJD;
ZUOXIANG PENG

Publication type:

Article

Boundary non-crossing probabilities for fractional Brownian motion with trend.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2015, v. 87, n. 6, p. 946, doi. 10.1080/17442508.2015.1019882

By:

Hashorva, Enkelejd;
Mishura, Yuliya;
Seleznjev, Oleg

Publication type:

Article

Some mathematical aspects of price optimisation.

Published in:

Scandinavian Actuarial Journal, 2018, v. 2018, n. 5, p. 379, doi. 10.1080/03461238.2017.1357654

By:

Hashorva, Enkelejd;
Ratovomirija, Gildas;
Tamraz, Maissa;
Bai, Yizhou

Publication type:

Article

On some new dependence models derived from multivariate collective models in insurance applications.

Published in:

Scandinavian Actuarial Journal, 2017, v. 2017, n. 8, p. 730, doi. 10.1080/03461238.2016.1243574

By:

Hashorva, Enkelejd;
Ratovomirija, Gildas;
Tamraz, Maissa

Publication type:

Article

Gaussian risk models with financial constraints.

Published in:

Scandinavian Actuarial Journal, 2015, v. 2015, n. 6, p. 469, doi. 10.1080/03461238.2013.850442

By:

Dȩbicki, Krzysztof;
Hashorva, Enkelejd;
Ji, Lanpeng

Publication type:

Article

Tail approximation for reinsurance portfolios of Gaussian-like risks.

Published in:

Scandinavian Actuarial Journal, 2015, v. 2015, n. 4, p. 319, doi. 10.1080/03461238.2013.825639

By:

Farkas, Julia;
Hashorva, Enkelejd

Publication type:

Article

On beta-product convolutions.

Published in:

Scandinavian Actuarial Journal, 2013, v. 2013, n. 1, p. 69, doi. 10.1080/03461238.2011.555939

By:

Hashorva, Enkelejd

Publication type:

Article

Foreword by the Guest Editors of the RARE special issue.

Published in:

2018

By:

Corina, Constantinescu;
Enkelejd, Hashorva;
Marie, Kratz

Publication type:

Editorial

On age difference in joint lifetime modelling with life insurance annuity applications.

Published in:

Annals of Actuarial Science, 2018, v. 12, n. 2, p. 350, doi. 10.1017/S1748499518000076

By:

Dufresne, François;
Hashorva, Enkelejd;
Ratovomirija, Gildas;
Toukourou, Youssouf

Publication type:

Article

Aggregation of randomly weighted large risks.

Published in:

IMA Journal of Management Mathematics, 2017, v. 28, n. 3, p. 403, doi. 10.1093/imaman/dpv020

By:

ASIMIT, ALEXANDRU V.;
HASHORVA, ENKELEJD;
KORTSCHAK, DOMINIK

Publication type:

Article

Maxima of skew elliptical triangular arrays.

Published in:

Communications in Statistics: Theory & Methods, 2016, v. 45, n. 12, p. 3692, doi. 10.1080/03610926.2014.906613

By:

Hashorva, Enkelejd;
Ling, Chengxiu

Publication type:

Article

Limit Laws for Maxima of Contracted Stationary Gaussian Sequences.

Published in:

Communications in Statistics: Theory & Methods, 2015, v. 44, n. 21, p. 4641, doi. 10.1080/03610926.2013.784994

By:

Hashorva, Enkelejd;
Weng, Zhichao

Publication type:

Article