Related papers: Notes on risk theory
A key issue in the handling of temporal data is the treatment of persistence; in most approaches it consists in inferring defeasible confusions by extrapolating from the actual knowledge of the history of the world; we propose here a…
This is the logical foundation for for Relativity Theory, Probability Theory, and for Quantum Theory. Contents is the following: 1 Introduction. 2 Classical logic. 3 Time and space. 3.1 Recorders. 3.2 Time. 3.3 Space. 3.4 Relativity. 4.…
Causal theory is now widely developed with many applications to medicine and public health. However within the discipline of reliability, although causation is a key concept in this field, there has been much less theoretical attention. In…
This paper deals with sequences of random variables belonging to a fixed chaos of order $q$ generated by a Poisson random measure on a Polish space. The problem is investigated whether convergence of the third and fourth moment of such a…
The perturbation theory based on typicality introduced in Ref. [1] and further refined in Refs. [2, 3] provides a powerful tool since it is intended to be applicable to a wide range of scenarios while relying only on a few parameters. Even…
After experimenting with a number of non-probabilistic methods for dealing with uncertainty many researchers reaffirm a preference for probability methods [1] [2], although this remains controversial. The importance of being able to form…
A popular scientific contribution should not contradict any established facts and ought to be understandable. I complied with both these requirements and am offering a sufficiently full introduction to probability theory. Furthermore, I…
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…
We describe a statistical hypothesis test for the presence of a signal based on the likelihood ratio statistic. We derive the test for a special case of interest. We study extensions of the test to cases where there are multiple channels…
In this paper we propagate a large deviations approach for proving limit theory for (generally) multivariate time series with heavy tails. We make this notion precise by introducing regularly varying time series. We provide general large…
In a previous work, two of the authors proposed a new proof of a well known convergence result for the scaled elementary connected vacant component in the high intensity Boolean model towards the Crofton cell of the Poisson hyperplane…
A birth-death process is a continuous-time Markov chain that counts the number of particles in a system over time. In the general process with $n$ current particles, a new particle is born with instantaneous rate $\lambda_n$ and a particle…
The paper studies a probabilistic notion of causes in Markov chains that relies on the counterfactuality principle and the probability-raising property. This notion is motivated by the use of causes for monitoring purposes where the aim is…
We establish a link between the phenomenon of Taylor dispersion and the theory of empirical distributions. Using this connection, we derive, upon applying the theory of large deviations, an alternative and much more precise description of…
We establish a large deviation principle for the trajectories of Wiener processes subject to random resets to the origin occurring according to a Poisson process. In addition to the pathwise large deviation principle, we identify the rate…
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.
We establish stability criterion for a two-class retrial system with Poisson inputs, general class-dependent service times and class-dependent constant retrial rates. We also characterise an interesting phenomenon of partial stability when…
In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider few versions of the ruin…
The probability axioms by R. T. Cox can be regarded as the modern foundations of Bayesian inference, the idea of assigning degrees of belief to logical propositions in a manner consistent with Boolean logic. In this work it is shown that…
A new variant of Newton's method for empirical risk minimization is studied, where at each iteration of the optimization algorithm, the gradient and Hessian of the objective function are replaced by robust estimators taken from existing…