Related papers: On multivariate modifications of Cramer Lundberg r…
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…
In a multitype branching process, it is assumed that immigrants arrive according to a nonhomogeneous Poisson or a generalized Polya process (both processes are formulated as a nonhomogeneous birth process with an appropriate choice of…
Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In this paper we consider two such likelihood ratios. The first one is an…
A method is developed to estimate the parameters of a Levy copula of a discretely observed bivariate compound Poisson process without knowledge of common shocks. The method is tested in a small sample simulation study. Also, the method is…
We consider a competing risks model, in which system failures are due to one out of two mutually exclusive causes, formulated within the framework of shock models driven by bivariate Poisson process. We obtain the failure densities and the…
In this paper the class of mixed renewal processes (MRPs for short) with mixing parameter a random vector from \cite{lm6z3} (enlarging Huang's \cite{hu} original class) is replaced by the strictly more comprising class of all extended MRPs…
A general random effects model is proposed that allows for continuous as well as discrete distributions of the responses. Responses can be unrestricted continuous, bounded continuous, binary, ordered categorical or given in the form of…
There are numerous applications which involve modeling multi-dimensional count data, notably in actuarial science and risk management. When such data exhibit an excess of zeros, common count models are no longer suitable. With multivariate…
The classical Cram\'er-Lundberg risk process models the ruin probability of an insurance company experiencing an incoming cash flow - the premium income, and an outgoing cash flow - the claims. From a system's viewpoint, the web of…
Statistical agencies and other institutions collect data under the promise to protect the confidentiality of respondents. When releasing microdata samples, the risk that records can be identified must be assessed. To this aim, a widely…
The analysis of the linearization effect in multifractal analysis, and hence of the estimation of moments for multifractal processes, is revisited borrowing concepts from the statistical physics of disordered systems, notably from the…
In this paper, we introduce a risk process, namely, the mixed fractional risk process (MFRP) in which the number of claims in the associated claim process are modelled using the mixed fractional Poisson process (MFPP). The covariance…
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…
This paper considers the Cram\'er-Lundberg model, with the additional feature that the number of clients can fluctuate over time. Clients arrive according to a Poisson process, where the times they spend in the system form a sequence of…
The classical Cramer-Lundberg model was the first attempt to describe the financial condition of the insurance company. The incomes were approximated by a steady stream of money, insurance payments were not limited and could take any value…
In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…
This paper discusses and analyzes a class of likelihood models which are based on two distributional innovations in financial models for stock returns. That is, the notion that the marginal distribution of aggregate returns of log-stock…
Modelling the first-order intensity function is one of the main aims in point process theory, and it has been approached so far from different perspectives. One appealing model describes the intensity as a function of a spatial covariate.…
Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…
Recent models of the insurance risk process use a L\'evy process to generalise the traditional Cram\'er-Lundberg compound Poisson model. This paper is concerned with the behaviour of the distributions of the overshoot and undershoots of a…