Related papers: Gaussian risk models with financial constraints
This talk briefly explains how the breaking of a Lorentz-invariant description of nature at tiny space-time intervals might affect the non-Gaussian character of the primordial fluctuations left by inflation. For example, a model that…
We study the probability of ruin before time $t$ for the family of tempered stable L\'evy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution…
We analyze the distance $\mathcal{R}_T(u)$ between the first and the last passage time of $\{X(t)-ct:t\in [0,T]\}$ at level $u$ in time horizon $T\in(0,\infty]$, where $X$ is a centered Gaussian process with stationary increments and…
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…
This paper defines a new class of fractional differential operators alongside a family of random variables whose density functions solve fractional differential equations equipped with these operators. These equations can be further used to…
We develop flexible methods of deriving variational inference for models with complex latent variable structure. By splitting the variables in these models into "global" parameters and "local" latent variables, we define a class of…
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit…
If a coupling between the inflaton and the Gauss-Bonnet term is introduced, many models of inflation that were ruled out by the most recent Planck data can be made viable again. The predictions for the scalar spectral index and…
The accurate prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the variances. Moreover, function…
We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the…
In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time. The proof is based on solving…
This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\ldots\}$, at times…
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…
In this paper we show that the conditional distribution of perturbed chi-quare risks can be approximated by certain distributions including the Gaussian ones. Our results are of interest for conditional extreme value models and multivariate…
In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk…
Let $X(t)=(X_1(t), \dots, X_n(t)), t\in \mathcal{T}\subset \mathbb{R} $ be a centered vector-valued Gaussian process with independent components and continuous trajectories, and $h(t)=(h_1(t),\dots, h_n(t)), t\in \mathcal{T} $ be a…
In this paper, we adapt the classic Cram\'er-Lundberg collective risk theory model to a perturbed model by adding a Wiener process to the compound Poisson process, which can be used to incorporate premium income uncertainty, interest rate…
We present a computational method for measuring financial risk by estimating the Value at Risk and Expected Shortfall from financial series. We have made two assumptions: First, that the predictive distributions of the values of an asset…
In this article we study an intermediate inflationary universe models using the Gauss-Bonnet brane. General conditions required for these models to be realizable are derived and discussed. We use recent astronomical observations to…
In the paper there is studied an optimal saving model in which the interest-rate risk for saving is a fuzzy number. The total utility of consumption is defined by using a concept of possibilistic expected utility. A notion of possibilistic…