Related papers: On the Compound Beta-Binomial Risk Model with Dela…
We discuss a general method to construct correlated binomial distributions by imposing several consistent relations on the joint probability function. We obtain self-consistency relations for the conditional correlations and conditional…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
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 studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…
A class of discrete probability distributions contains distributions with limited support. A typical example is some variant of a Likert scale, with response mapped to either the $\{1, 2, \ldots, 5\}$ or $\{-3, -2, \ldots, 2, 3\}$ set. An…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies.…
A population-averaged additive subdistribution hazards model is proposed to assess the marginal effects of covariates on the cumulative incidence function and to analyze correlated failure time data subject to competing risks. This approach…
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…
Rates of binomial processes are modeled using beta-binomial distributions (for example, from Beta Regression). We treat the offline optimization scenario and then the online one, where we optimize the exploration-exploitation problem. The…
In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk model. Examples are provided when the generic claim size is…
In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in…
This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common…
In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate process and firm value process. We assume that the default event…
We study the discrete time risk process modelled by the skip-free random walk and we derive the results connected to the ruin probability, such as crossing the fixed level, for this kind of process. We use the method relying on the…
We introduce a novel class of bivariate common-shock discrete phase-type (CDPH) distributions to describe dependencies in loss modeling, with an emphasis on those induced by common shocks. By constructing two jointly evolving terminating…
A new class of nonparametric prior distributions, termed Beta-Binomial stick-breaking process, is proposed. By allowing the underlying length random variables to be dependent through a Beta marginals Markov chain, an appealing discrete…
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
We study distributed differentiation, where agents in a networked system estimate the average of local time-varying signals and their derivatives under mild assumptions on the agents' signals and their first and second derivatives. Existing…