Related papers: Gaussian risk models with financial constraints
Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for…
This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common…
We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing for example in a multivariate analysis of financial time series, and displaying both inter-asset cross-covariances and…
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…
Let $\{B(t), t\ge 0\}$ be a Brownian motion. Consider the Brownian motion risk model with interest rate collection and tax payment defined by \begin{align}\label{Rudef}…
We derive exact tail asymptotics of the Parisian ruin probability for Gaussian risk models driven by locally self-similar Gaussian processes with a power-type deterministic trend. The considered setting includes non-stationary Gaussian…
The intermediate, logamediate and exponential inflationary models in the context of Galileon inflation or G-inflation are studied. By assuming a coupling of the form $G(\phi,X)\propto\phi^{\nu}\,X^{n}$ in the action, we obtain different…
We present a class of models in which the primordial metric fluctuations do not necessarily obey Gaussian statistics. These models are realizations of mechanisms in which non-Gaussianity is first generated by a light scalar field and then…
The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions.} Under the condition that the two Brownian motions $\{B_1(t), t\ge 0\}$ and…
The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.
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…
In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the asymptotic behavior of exit probabilities, call pricing functions, and the…
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.
There are various metrics for financial risk, such as value at risk (VaR), expected shortfall, expected/unexpected loss, etc. When estimating these metrics, it was very common to assume Gaussian distribution for the asset returns, which may…
Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornstein-Uhlenbeck type process, say X. Our…
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 study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
This is a pedagogical review on primordial non-Gaussianities from inflation models. We introduce formalisms and techniques that are used to compute such quantities. We review different mechanisms which can generate observable large…