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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…
Finite detector resolution and limited acceptance require to apply unfolding methods in high energy physics experiments. Information on the detector resolution is usually given by a set of Monte Carlo events. Based on the experience with a…
We study risk processes with level dependent premium rate. Assuming that the premium rate converges, as the risk reserve increases, to the critical value in the net-profit condition, we obtain upper and lower bounds for the ruin…
Understanding grain-surface processes is crucial to interpreting the chemistry of the ISM. However, accurate surface chemistry models are computationally expensive and are difficult to integrate with gas-phase simulations. A new…
We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process.…
This paper describes an approximate method for global optimization of polynomial programming problems with bounded variables. The method uses a reformulation and linearization technique to transform the original polynomial optimization…
In this paper, we study Runge--Kutta methods for the computation of ruin probabilities in the classical risk model through the associated Volterra integro-differential equation. The proposed framework combines fourth-order one-step and…
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 paper, we develop efficient randomized algorithms for estimating probabilistic robustness margin and constructing robustness degradation curve for uncertain dynamic systems. One remarkable feature of these algorithms is their…
The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite-time horizon. This is not the case for the simultaneous ruin probability in two-dimensional Brownian risk model. Resorting…
We propose a new modification of the coupling method for renewal process in continuous time. We call this modification "the stationary coupling method", and construct it primarily to obtain the bounds for convergence rate of the…
Sample reuse techniques have significantly reduced the numerical complexity of probabilistic robustness analysis. Existing results show that for a nested collection of hyper-spheres the complexity of the problem of performing $N$ equivalent…
Change in the coefficients or in the mean of the innovation distribution of an INAR(p) process is a sign of disturbance that is important to detect. The methods of this paper can test for change in any one of these quantities separately, or…
We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to…
Machine-learning methods are nowadays of common use in the field of material science. For example, they can aid in optimizing the physicochemical properties of new materials, or help in the characterization of highly complex chemical…
We discretize the Lagrange multiplier formulation of the obstacle problem by mixed and stabilized finite element methods. A priori and a posteriori error estimates are derived and numerically verified.
We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We…
In a recent paper, Melbourne and Terhesiu [Operator renewal theory and mixing rates for dynamical systems with infinite measure, Invent. Math. 189 (2012), 61-110] obtained results on mixing and mixing rates for a large class of…
The paper investigates a discrete time Binomial risk model with different types of polices and shock events may influence some of the claim sizes. It is shown that this model can be considered as a particular case of the classical compound…
Dynamic state and parameter estimation methods for dynamic security assessment in power systems are becoming increasingly important for system operators. Usually, the data used for this type of applications stems from phasor measurement…