Related papers: Two parallel insurance lines with simultaneous arr…
This work is entirely devoted to compare the largest claims from two heterogeneous portfolios. It is assumed that the claim amounts in an insurance portfolio are nonnegative absolutely continuous random variables and belong to a general…
Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive…
We consider a queueing system composed of a dispatcher that routes deterministically jobs to a set of non-observable queues working in parallel. In this setting, the fundamental problem is which policy should the dispatcher implement to…
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…
Pilgrim's monopoly is a probabilistic process giving rise to a non-negative sequence $T_1, T_2,\ldots$ that is infinitely exchangeable, a natural model for time-to-event data. The one-dimensional marginal distributions are exponential. The…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model,…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
Survival time is the primary endpoint of many randomized controlled trials, and a treatment effect is typically quantified by the hazard ratio under the assumption of proportional hazards. Awareness is increasing that in many settings this…
We study $n$ parallel queues in an extreme heavy-traffic regime: each server works at rate $n$, while jobs arrive to a dispatcher at rate $n^2-(a-b)\sqrt{n}$, with fixed $a>b>0$. Arrivals are routed by a marginal join-the-shortest-queue…
In the proof of the invariance principle for locally perturbed periodic Lorentz process with finite horizon, a lot of delicate results were needed concerning the recurrence properties of its unperturbed version. These were analogous to the…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…
We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insurance risk and investment return. We first introduce the model…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
We investigate the survival probability of a particle diffusing between two parallel reflecting planes toward a periodic array of absorbing pillars. We approximate the periodic cell of this system by a cylindrical tube containing a single…
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The…
We analyze in this paper a system composed of two data centers with limited capacity in terms of servers. When one request for a single server is blocked at the first data center, this request is forwarded to the second one. To protect the…
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…