Related papers: Absolute ruin in the Ornstein-Uhlenbeck type risk …
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the…
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de…
In this contribution we study asymptotics of the simultaneous Parisian ruin probability of a two-dimensional fractional Brownian motion risk process. This risk process models the surplus processes of an insurance and a reinsurance…
We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to…
This paper examines the empirical failure of uncovered interest parity (UIP) and proposes a structural explanation based on a mean-reverting risk premium. We define a realized premium as the deviation between observed exchange rate returns…
Let $X$ be a real valued random variable with an unbounded distribution $F$ and let $Y$ be a nonnegative valued random variable with a unbounded distribution $G$, which satisfy that \begin{eqnarray*} P(X>x|Y=y)\sim h(y)P(X>x)…
The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Therefore, it only answers the general question of the optimal…
This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a risky asset whose price follows a geometric L\'evy process.…
In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk model. Examples are provided when the generic claim size is…
We study modified ruin probabilities in a Cram\'er-Lundberg model driven by a compound mixed Poisson process. In the heavy-tailed regime, if the integrated claim-size distribution is subexponential and the upper endpoint of the mixing…
We consider the classical optimal dividends problem under the Cram\'er-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual problem and show that the complementary slackness…
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…
The reliability of processes with moving elastic and isotropic material containing initial cracks is considered in terms of fracture. The material is modelled as a moving plate which is simply supported from two of its sides and subjected…
In this paper we consider some generalizations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probabilities of interest. In addition, we obtain non-asymptotic…
Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ Parisian ruin is defined as a classical ruin that happens over an extended period of time,…
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric…
This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is…
We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that the capital transfers between the companies are…
In this paper we develop a framework for estimating Probability of Default (PD) based on stochastic models governing an appropriate asset value processes. In particular, we build upon a L\'evy-driven Ornstein-Uhlenbeck process and consider…
The aim of this paper is to construct the confidence interval of the ultimate ruin probability under the insurance surplus driven by a L\'evy process. Assuming a parametric family for the L\'evy measures, we estimate the parameter from the…