Related papers: Omega risk model with tax
In this paper we find the Laplace transforms of the weighted occupation times for a spectrally negative L\'evy surplus process to spend below its running maximum up to the first exit times. The results are expressed in terms of generalized…
We consider a wide class of increasing L\'evy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical degradation models considered in the literature. Classically failure time…
We analyze a simple asset transfer model in which the transfer amount is a fixed fraction $f$ of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, solving it analytically and numerically for…
In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign…
This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and joint characteristic functions. We provide an alternative…
In this work, we introduce a symmetry-based approach to study the scrambling and operator dynamics of Brownian SYK models at large finite $N$ and in the infinite $N$ limit. We compute the out-of-time-ordered correlator (OTOC) in the…
Recent interest in the old problem of the motion of a coin spinning on a tabletop has focused on mechanisms of dissipation of energy as the angle alpha of the coin to the table decreases, while the angular velocity Omega of the point of…
We consider time-dependence of dynamical transport, following a recent study of the stadium billiard in which classical transmission and reflection probabilities were shown to exhibit exponential or algebraic decay depending on the choice…
In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing economic environment. The surplus process is…
We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…
The calibration of a local volatility models to a given set of option prices is a classical problem of mathematical finance. It was considered in multiple papers where various solutions were proposed. In this paper an extension of the…
We study time reversal, last passage time, and $h$-transform of linear diffusions. For general diffusions with killing, we obtain the probability density of the last passage time to an arbitrary level and analyze the distribution of the…
Trapping refers to the event when a household falls into the area of poverty. Households that live or fall into the area of poverty are said to be in a poverty trap, where a poverty trap is a state of poverty from which it is difficult to…
We study a paradigmatic model of absorbing-phase transition - the Oslo model - on a one-dimensional ring of $L$ sites with a fixed global density $\bar{\rho}$; notably, microscopic dynamics conserve both mass and \textit{center of mass…
A workload model using the infinite source Poisson model for bursts is combined with the on--off model for within burst activity. Burst durations and on--off durations are assumed to have heavy-tailed distributions with infinite variance…
With respect to a class of long-range exclusion processes on $\mathbb{Z}^d$, with single particle transition rates of order $|\cdot|^{-(d+\alpha)}$, starting under Bernoulli invariant measure $\nu_\rho$ with density $\rho$, we consider the…
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…
Competing risks models for a repairable system subject to several failure modes are discussed. Under minimal repair, it is assumed that each failure mode has a power law intensity. An orthogonal reparametrization is used to obtain an…
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…
We study the excess risk evaluation of classical penalized empirical risk minimization (ERM) with Bregman losses. We show that by leveraging the idea of wild refitting, one can efficiently upper bound the excess risk through the so-called…