Related papers: Phase-type Approximation of the Gerber-Shiu Functi…

This paper contributes to answering a question that is of crucial importance in risk management and extreme value theory: How to select the threshold above which one assumes that the tail of a distribution follows a generalized Pareto…

We present an analitical study of the dynamical process of the approach to steady state for a driven diffusive system represented by the microemulsion phase of a ternary mixture. The external applied field is given by a plane Couette shear…

In this paper, we provide strong $L_2$-rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its…

In this paper, we study the quantitative behavior of a spatial risk measure corresponding to a damage function and a region, taking into account the spatial dependence of the underlying process. This kind of risk measure has already been…

This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is…

Given a Gaussian risk process $R(t)=u+c(t)-X(t),t\ge 0$, the cumulative Parisian ruin probability on a finite time interval $[0,T]$ with respect to $L \geq 0$ is defined as the probability that the sojourn time that the risk process $R$…

Expectations of marginals conditional on the total risk of a portfolio are crucial in risk-sharing and allocation. However, computing these conditional expectations may be challenging, especially in critical cases where the marginal risks…

We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are…

The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…

This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…

Loosely speaking, the Shannon entropy rate is used to gauge a stochastic process' intrinsic randomness; the statistical complexity gives the cost of predicting the process. We calculate, for the first time, the entropy rate and statistical…

This paper generalizes the abstract method of proving an observability estimate by combining an uncertainty principle and a dissipation estimate. In these estimates we allow for a large class of growth/decay rates satisfying an…

In this paper we study the draw-down related Parisian ruin problem for spectrally negative L\'{e}vy risk processes. We introduce the draw-down Parisian ruin time and solve the corresponding two-sided exit time via excursion theory. We also…

In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain…

This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…

It is shown that using Carter leak-off is an oversimplification that leads to significant errors in the interpretation of DFIT data. Most importantly, this article reveals that previous methods of estimating minimum in-situ stress often…

Technology trends as digitalization and Industry 4.0 initiate a growing demand for new business models. Most of this models requires a fundamental shift of operational and financial risks between seller and buyer. A key question is…

We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…

We obtain a new fluctuation identity for a general L\'{e}vy process giving a quintuple law describing the time of first passage, the time of the last maximum before first passage, the overshoot, the undershoot and the undershoot of the last…

Let $\left\{\sum_{i=1}^n \lambda_i X_i(t), t\in [0,T]\right\}$ be an aggregate Gaussian risk process with $X_i, i\leq n$ independent Gaussian processes satisfying Piterbarg conditions and $\lambda_i$'s given positive weights. In this paper…