Related papers: Simultaneous ruin probability for two-dimensional …
In this paper, we consider the problem of estimating the drift parameter of solution to the stochastic differential equation driven by a fractional Brownian motion with Hurst parameter less than $1/2$ under complete observation. We derive a…
This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the increments are closely connected to multivariate…
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…
In this paper, we are concerned with the numerical solution of one type integro-differential equation by a probability method based on the fundamental martingale of mixed Gaussian processes. As an application, we will try to simulate the…
In this work, we consider extensions of the dual risk model with proportional gains by introducing a dependence structure between gain sizes and gain interrarrival times. Among others, we further consider the case where the proportional…
Let $\{X(t),t\ge0\}$ be a centered Gaussian process and let $\gamma$ be a non-negative constant. In this paper we study the asymptotics of $P\{\underset{t\in [0,\mathcal{T}/u^\gamma]}\sup X(t)>u\}$ as $u\to\infty$, with $\mathcal{T}$ an…
We derive the asymptotic behavior of hitting probability at small target of size $O(\epsilon)$ for reflected Brownian motion in domains with suitable smooth boundary conditions, where the boundary of domain contains both reflecting part,…
In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{\'e}vy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin…
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.…
Let $\{B_\beta (x), x \in \mathbb{S}^N\}$ be a fractional Brownian motion on the $N$-dimensional unit sphere $\mathbb{S}^N$ with Hurst index $\beta$. We study the excursion probability $\mathbb{P}\{\sup_{x\in T} B_\beta(x) > u \}$ and…
In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a…
In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider few versions of the ruin…
We study the two-dimensional fractional Brownian motion with Hurst parameter $H>{1/2}$. In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some…
We examine hitting probability problems for Ornstein-Uhlenbeck (OU) processes and Geometric Brownian motions (GBM) with respect to exponential boundaries related to problems arising in risk theory and asset and liability models in pension…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
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…
Let $B_{H}(t), t\geq [0,T], T\in(0,\infty)$ be the standard Multifractional Brownian Motion(mBm), in this contribution we are concerned with the exact asymptotics of \begin{eqnarray*} \mathbb{P}\left\{\sup_{t\in[0,T]}B_{H}(t)>u\right\}…
We study asymptotic expansion of the likelihood of a certain class of Gaussian processes characterized by their spectral density $f_\theta$. We consider the case where $f_\theta\PAR{x} \sim_{x\to 0} \ABS{x}^{-\al(\theta)}L_\theta(x)$ with…
We study the persistence probability for some two-sided discrete-time Gaussian sequences that are discrete-time analogs of fractional Brownian motion and integrated fractional Brownian motion, respectively. Our results extend the…
This paper considers the ruin problem with random premiums, whose densities have rational Laplace transforms, and investments in a risky asset whose price follows a geometric Brownian motion. The asymptotic behavior of the ruin probability…