Related papers: Omega risk model with tax
In this paper, we study the extinction time of logistic branching processes which are perturbed by an independent random environment driven by a Brownian motion. Our arguments use a Lamperti-type representation which is interesting on its…
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…
A microscopic approach to macroeconomic features is intended. A model for macroeconomic behavior under heterogeneous spatial economic conditions is reviewed. A birth-death lattice gas model taking into account the influence of an economic…
The z-transform technique is used to investigate the model for distribution of high-tax payers, which is proposed by two of the authors (K. Y and S. M) and others. Our analysis shows an asymptotic power-law of this model with the exponent…
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…
We address the issue of the dynamics of wealth accumulation and economic crisis triggered by extreme inequality, attempting to stick to most possibly intrinsic assumptions. Our general framework is that of pure or modified multiplicative…
We study networks obeying \emph{time-dependent} min-cost path metrics, and present novel oracles for them which \emph{provably} achieve two unique features: % (i) \emph{subquadratic} preprocessing time and space, \emph{independent} of the…
We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are…
Extended cure survival models enable to separate covariates that affect the probability of an event (or `long-term' survival) from those only affecting the event timing (or `short-term' survival). We propose to generalize the bounded…
We present a finite element method along with its analysis for the optimal control of a model free boundary problem with surface tension effects, formulated and studied in \cite{HAntil_RHNochetto_PSodre_2014a}. The state system couples the…
In the standard SIR model, infected vertices infect their neighbors at rate $\lambda$ independently across each edge. They also recover at rate $\gamma$. In this work we consider the SIR-$\omega$ model where the graph structure itself…
In this paper we employ methods from Statistical Mechanics to model temporal correlations in time series. We put forward a methodology based on the Maximum Entropy principle to generate ensembles of time series constrained to preserve part…
In this paper we investigate the solution of generalized distributed order diffusion equations with composite time fractional derivative by using the Fourier-Laplace transform method. We represent solutions in terms of infinite series in…
Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time,…
It is common for long financial time series to exhibit gradual change in the unconditional volatility. We propose a new model that captures this type of nonstationarity in a parsimonious way. The model augments the volatility equation of a…
Current developments in autonomous off-road driving are steadily increasing performance through higher speeds and more challenging, unstructured environments. However, this operating regime subjects the vehicle to larger inertial effects,…
This research shows that under certain mathematical conditions, a threshold autoregressive model (TAR) can represent the leverage effect based on its conditional variance function. Furthermore, the analytical expressions for the third and…
We provide a probabilistic analysis of the banker algorithm when transition probabilities may depend on time and space. The transition probabilities evolve, as time goes by, along the trajectory of an ergodic Markovian environment, whereas…
We develop a model of tax evasion based on the Ising model. We augment the model using an appropriate enforcement mechanism that may allow policy makers to curb tax evasion. With a certain probability tax evaders are subject to an audit. If…
We study a toy model for the evolution of the oxygen concentration in an oxide layer. It consists in a transient convection diffusion equation in a one-dimensional domain of variable width. The motions of the boundaries are governed by the…