Related papers: Computation of ruin probabilities for general disc…
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…
Many probabilistic inference problems such as stochastic filtering or the computation of rare event probabilities require model analysis under initial and terminal constraints. We propose a solution to this bridging problem for the widely…
A high order expansion of the renewal function is provided under the assumption that the inter-renewal time distribution is light tailed with finite moment generating function g on a neighborhood of 0. This expansion relies on complex…
In this paper we consider the problem of computing the stationary distribution of nearly completely decomposable Markov processes, a well-established area in the classical theory of Markov processes with broad applications in the design,…
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs…
We explore two aspects of geometric approximation via a coupling approach to Stein's method. Firstly, we refine precision and increase scope for applications by convoluting the approximating geometric distribution with a simple translation…
We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing…
In recent years probabilistic model checking has become an important area of research because of the diffusion of computational systems of stochastic nature. Despite its great success, standard probabilistic model checking suffers the…
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model…
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite…
Particle splitting methods are considered for the estimation of rare events. The probability of interest is that a Markov process first enters a set $B$ before another set $A$, and it is assumed that this probability satisfies a large…
We study the computational complexity of approximating general constrained Markov decision processes. Our primary contribution is the design of a polynomial time $(0,\epsilon)$-additive bicriteria approximation algorithm for finding optimal…
This paper deals with bounding the error on the estimation of quantities of interest obtained by finite element and domain decomposition methods. The proposed bounds are written in order to separate the two errors involved in the resolution…
Motivated by applications in telecommunications, computer scienceand physics, we consider a discrete-time Markov process withrestart. At each step the process eitherwith a positive probability restarts from a given distribution, orwith the…
Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1)$ and define the joint survival probability of both supremum functionals $\pi_\rho(c_1,c_2; u,…
There are no computationally feasible algorithms that provide solutions to the finite horizon Risk-sensitive Constrained Markov Decision Process (Risk-CMDP) problem, even for problems with moderate horizon. With an aim to design the same,…
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent L\'evy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the pro blem to long-term convergence of a…
We derive the Markov-modulated generalized Ornstein-Uhlenbeck process by embedding a Markov-modulated random recurrence equation in continuous time. The obtained process turns out to be the unique solution of a certain stochastic…
This paper presents some new results on Parisian ruin under Levy insurance risk process, where ruin occurs when the process has gone below a fixed level from the last record maximum, also known as the high-water mark or drawdown, for a…
In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian ruin time and derive an asymptotic relation between…