Related papers: Ruin probabilities for risk processes in a biparti…

In this manuscript we propose a method for pricing insurance products that cover not only traditional risks, but also unforeseen ones. By considering the Poisson process parameter to be a mixed random variable, we capture the heterogeneity…

This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the…

We use the methods of quantum chaos and Random Matrix Theory for analysis of statistical fluctuations of PageRank probabilities in directed networks. In this approach the effective energy levels are given by a logarithm of PageRank…

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…

The robust Poisson method is becoming increasingly popular when estimating the association of exposures with a binary outcome. Unlike the logistic regression model, the robust Poisson method yields results that can be interpreted as risk or…

This paper derives the asymptotic behavior of the following ruin probability $$P\{\exists t \in G(\delta):B_H(t)-c_1t>q_1u,B_H(t)-c_2t>q_2u\}, \ \ \ u \rightarrow \infty,$$ where $B_H$ is a standard fractional Brownian motion,…

The robustness of an ecological network quantifies the resilience of the ecosystem it represents to species loss. It corresponds to the proportion of species that are disconnected from the rest of the network when extinctions occur…

The rapid advancement of technology underscores the critical importance of robustness in complex network systems. This paper presents a framework for investigating the structural robustness of interconnected network models. This paper…

In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang(n) case for common distribution of the inter-arrival times, from there it…

This paper deals with the detection and prediction of losses due to cyber attacks waged on vital networks. The accumulation of losses to a network during a series of attacks is modeled by a 2-dimensional monotone random walk process as…

We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the…

In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin…

In this note, we study the ultimate ruin probabilities of a real-valued L{\'e}vy process X with light-tailed negative jumps. It is well-known that, for such L{\'e}vy processes, the probability of ruin decreases as an exponential function…

This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…

The aim of this article is to analyze data from multiple repairable systems under the presence of dependent competing risks. In order to model this dependence structure, we adopted the well-known shared frailty model. This model provides a…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times…

Robust risk minimisation has several advantages: it has been studied with regards to improving the generalisation properties of models and robustness to adversarial perturbation. We bound the distributionally robust risk for a model class…

We study the rough asymptotic behaviour of a general economic risk model in a discrete setting. Both financial and insurance risks are taken into account. Loss during the first $n$ years is modelled as a random variable…

Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging. To overcome this, an attractive way is to approximate the claim sizes…