Related papers: A Lundberg-type inequality for an inhomogeneous re…
Within the framework of maximum entropy principle we show that the finite-size long-range Ising model is the adequate model for the description of homogeneous credit portfolios and the computation of credit risk when default correlations…
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments…
We assume that the forecast error follows a probability distribution which is symmetric and monotonically non-increasing on non-negative real numbers, and if there is a mismatch between observed and predicted value, then we suffer a loss.…
We prove a weak iterated invariance principle for a large class of non-uniformly expanding random dynamical systems. In addition, we give a quenched homogenization result for fast-slow systems in the case when the fast component corresponds…
Considering some parameters and by means of an inequality of Hadamard, we derive general half-discrete Hilbert-type inequalities. Then we highlight some special cases.
We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly…
We consider a time-homogeneous Markov chain $X_n$, $n\ge0$, valued in ${\bf R}$. Suppose that this chain is transient, that is, $X_n$ generates a $\sigma$-finite renewal measure. We prove the key renewal theorem under condition that this…
This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are provided when the time-varying autoregressive parameters belong…
We prove weak laws of large numbers and central limit theorems of Lindeberg type for empirical centres of mass (empirical Fr\'echet means) of independent non-identically distributed random variables taking values in Riemannian manifolds. In…
We show that moment inequalities in a wide variety of economic applications have a particular linear conditional structure. We use this structure to construct uniformly valid confidence sets that remain computationally tractable even in…
We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate…
We develop and analyze a random field model for the reconstruction of turbulent velocity fluctuations from inhomogeneous characteristic flow quantities provided by RANS simulations that is accessible to both a rigorous analytical validation…
In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneous phase-type distribution with random scaling factor, and…
In this note, we present a version of Hoeffding's inequality in a continuous-time setting, where the data stream comes from a uniformly ergodic diffusion process. Similar to the well-studied case of Hoeffding's inequality for discrete-time…
Continuous-time random walks are generalisations of random walks frequently used to account for the consistent observations that many molecules in living cells undergo anomalous diffusion, i.e. subdiffusion. Here, we describe the…
This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability…
We prove a central limit theorem for a sequence of random variables whose means are ambiguous and vary in an unstructured way. Their joint distribution is described by a set of measures. The limit is (not the normal distribution and is)…
We derive formulas for the moments of the ruin time in a L\'evy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity. In the special case of the perturbed…
Systemic risk is receiving increasing attention in the insurance industry. In this paper, we propose a multi-dimensional L\'{e}vy process-based renewal risk model with heterogeneous insurance claims, where every dimension indicates a…
We introduce a generic class of dynamic nonlinear heterogeneous parameter models that incorporate individual and time fixed effects in both the intercept and slope. These models are subject to the incidental parameter problem, in that the…