Related papers: Omega risk model with tax
In this short paper, we consider a sliding punch problem under recently proposed model of wear which is based on the Riemann-Liouville fractional integral relation between pressure and worn volume, and incorporates another additional effect…
We study the Hubbard model with time-reversal invariant flux and spin-orbit coupling and position-dependent onsite energies on the kagome lattice, using numerical and analytical methods. In particular, we perform calculations using real…
We develop an Onsager-Machlup-type theory for nonequilibrium semi-Markov processes. Our main result is an exact large time asymptotics for the joint probability of the occupation times and the currents in the system, establishing some…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
We perform a detailed comparison between a Markov Switching Jump Diffusion Model and a Markov Switching {\alpha}-Stable Distribution Model with respect to the analysis of non-stationary data. We show that the jump diffusion model is…
This paper considers a Cram\'er-Lundberg risk setting, where the components of the underlying model change over time. These components could be thought of as the claim arrival rate, the claim-size distribution, and the premium rate, but we…
Lagrangian motions of fluid particles in a general velocity field oscillating in time are studied with the use of the two-timing method. Our aims are: (i) to calculate systematically the most general and practically usable asymptotic…
In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance…
We formulate a perturbative approach for studying a class of multi-level time-dependent quantum systems with constant off-diagonal couplings and diabatic energies being odd functions of time. Applying this approach to a general multistate…
We study two time-changed variants of the birth-death process with catastrophe where the time-changing components are the first hitting times of the stable subordinator and the tempered stable subordinator. For both the processes, we derive…
We study continuous-time (variable speed) random walks in random environments on $\mathbb{Z}^d$, $d\ge2$, where, at time $t$, the walk at $x$ jumps across edge $(x,y)$ at time-dependent rate $a_t(x,y)$. The rates, which we assume stationary…
This paper presents a new model for characterising temporal dependence in exceedances above a threshold. The model is based on the class of trawl processes, which are stationary, infinitely divisible stochastic processes. The model for…
Functions satisfying a defective renewal equation arise commonly in applied probability models. Usually these functions don't admit a explicit expression. In this work we consider to approximate them by means of a gamma-type operator given…
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…
This work studies the statistical limits of uniform convergence for offline policy evaluation (OPE) problems with model-based methods (for episodic MDP) and provides a unified framework towards optimal learning for several well-motivated…
The present paper is concerned with the integral of the absolute value of a Brownian motion with drift. By establishing an asymptotic expansion of the space Laplace transform, we obtain series representations for the probability density…
The statistical modeling of space-time extremes in environmental applications is key to understanding complex dependence structures in original event data and to generating realistic scenarios for impact models. In this context of…
A stochastic process $X$ becomes occupied when it is enlarged with its occupation flow $\mathcal{O}$ that tracks the time spent by the path at each level. When $X$ is Markov, the occupied process $(\mathcal{O},X)$ enjoys a Markov structure…
We consider the static and dynamic models of Cournot duopoly with tax evasion. In the dynamic model we introduce the time delay and we analyze the local stability of the stationary state. There is a critical value of the delay when the Hopf…
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is…