Related papers: Approximations to ultimate ruin probabilities with…

In this paper, a modification of the conventional approximations to the quasi-maximum likelihood method is introduced for the parameter estimation of diffusion processes from discrete observations. This is based on a convergent…

In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a…

Rare event simulation and rare event probability estimation are important tasks within the analysis of systems subject to uncertainty and randomness. Simultaneously, accurately estimating rare event probabilities is an inherently difficult…

We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…

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.…

The main purpose of the paper is to study ruin probabilities in two discrete time risk models under rates of interest, where the premiums and claims are two independent sequences of m-dependent random variables, and the rate of interest is…

In this paper, we introduce a method for approximating the solution to inference and optimization tasks in uncertain and deterministic reasoning. Such tasks are in general intractable for exact algorithms because of the large number of…

We apply the Stein-Chen method to problems from extreme value theory. On the one hand, the Stein-Chen method for Poisson approximation allows us to obtain bounds on the Kolmogorov distance between the law of the maximum of i.i.d. random…

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…

In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor.…

In this paper, we obtain error bound for binomial and negative binomial approximations to weighted sums of locally dependent random variables, using Stein's method. We also discuss approximation results for weighted sums of independent…

We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by…

In this article, we consider Poisson and Poisson convoluted geometric approximation to the sums of $n$ independent random variables under moment conditions. We use Stein's method to derive the approximation results in total variation…

We consider a type of nonnormal approximation of infinitely divisible distributions that incorporates compound Poisson, Gamma, and normal distributions. The approximation relies on achieving higher orders of cumulant matching, to obtain…

In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed and heavy-tailed case of the claim sizes. Main technique is…

A probabilistic method for solving time-dependent load-transfer models of fracture is developed. It is applicable to any rule of load redistribution, i.e, local, hierarchical, etc. In the new method, the fluctuations are generated during…

Here we present an application of two maxentropic procedures to determine the probability density distribution of compound sums of random variables, using only a finite number of empirically determined fractional moments. The two methods…

This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…

This paper investigates an insurance model with a finite number of major clients and a large number of small clients, where the dynamics of the latter group are modeled by a spectrally positive L\'evy process. We begin by analyzing this…

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…