Related papers: Error estimates for De Vylder type approximations …

We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…

Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into…

This paper investigates an insurance model with a finite number of major clients and a large number of small clients, where the dynamics of the latter group are modeled by a spectrally positive L\'evy process. We begin by analyzing this…

In this paper we establish the error rate of first order asymptotic approximation for the tail probability of sums of log-elliptical risks. Our approach is motivated by extreme value theory which allows us to impose only some weak…

In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…

Error estimates of finite element methods for reaction-diffusion problems are often realised in the related energy norm. In the singularly perturbed case, however, this norm is not adequate. A different scaling of the $H^m$ seminorm for…

Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model…

The article's aim is to provide a solution to the equity premium puzzle with a derived model. The derived model which depends on Consumption Capital Asset Pricing Model gives a solution to the puzzle with the values of coefficient of…

Traditionally, assessing the accuracy of inference based on regression quantiles has relied on the Bahadur representation. This provides an error of order $n^{-1/4}$ in normal approximations, and suggests that inference based on regression…

In clinical prediction modeling, model updating refers to the practice of modifying a prediction model before it is used in a new setting. In the context of logistic regression for a binary outcome, one of the simplest updating methods is a…

Three statistical studies, all published between 2004 and 2008 but without referring to one another, assert a useful equivalence involving the hazard ratio, a parameter estimated for time to event data by the frequently used proportional…

In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin…

In this work, we derive a complete characterization of all ruin-inducing probability measures that preserve the structure of a given compound renewal process in terms of suitable pairs of functions $(\gamma,\delta)$. This result allows us…

This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…

Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin problem for L\'evy risk processes in terms of integrals with respect to excursion measure for spectrally negative L\'evy…

In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…

Survival analysis is a statistical technique used to estimate the time until an event occurs. Although it is applied across a wide range of fields, adjusting for reporting delays under practical constraints remains a significant challenge…

In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…

We obtain rigorous a priori upper and lower bounds to the exact period of the celebrated Rayleigh stretched string differential equation. We use them to show that Rayleigh's approximative period overestimates the true period and that the…

We consider a general linear parabolic problem with extended time boundary conditions (including initial value problems and periodic ones), and approximate it by the implicit Euler scheme in time and the Gradient Discretisation method in…