Related papers: Minimizing ruin probability under dependencies for…
We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function $P(u)$ for the component-wise ruin (that is both…
Classical Bayesian mechanism design relies on the common prior assumption, but such prior is often not available in practice. We study the design of prior-independent mechanisms that relax this assumption: the seller is selling an…
The classical Cramer-Lundberg model was the first attempt to describe the financial condition of the insurance company. The incomes were approximated by a steady stream of money, insurance payments were not limited and could take any value…
In many real-life scenarios, system failure depends on dynamic stress-strength interference, where strength degrades and stress accumulates concurrently over time. In this paper, we consider the problem of finding an optimal replacement…
This paper studies the properties of the Multiply Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applications in ruin theory. Like standard Poisson processes, MIPPs…
Prediction sets can wrap around any ML model to cover unknown test outcomes with a guaranteed probability. Yet, it remains unclear how to use them optimally for downstream decision-making. Here, we propose a decision-theoretic framework…
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…
The resource-consuming mining of blocks on a blockchain equipped with a proof of work consensus protocol bears the risk of ruin, namely when the operational costs for the mining exceed the received rewards. In this paper we investigate to…
This paper investigates the benefits of incorporating diversification effects into the pricing process of insurance policies from two different business lines. The paper shows that, for the same risk reduction, insurers pricing policies…
We study the generalization of the G/G/1 queue obtained by relaxing the assumption of independence between inter-arrival times and service requirements. The analysis is carried out for the class of multivariate matrix exponential…
A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a…
We consider a network whose links have random capacities and in which a certain target amount of flow must be carried from some source nodes to some destination nodes. Each destination node has a fixed demand that must be satisfied and each…
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…
Mining blocks on a blockchain equipped with a proof of work consensus protocol is well-known to be resource-consuming. A miner bears the operational cost, mainly electricity consumption and IT gear, of mining, and is compensated by a…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
Securing an adequate supply of dispatchable resources is critical for keeping a power system reliable under high penetrations of variable generation. Traditional resource adequacy mechanisms are poorly suited to exploiting the growing…
The ability to adequately model risks is crucial for insurance companies. The method of "Copula-based hierarchical risk aggregation" by Arbenz et al. offers a flexible way in doing so and has attracted much attention recently. We briefly…
How to guarantee that firms perform due diligence before launching potentially dangerous products? We study the design of liability rules when (i) limited liability prevents firms from internalizing the full damage they may cause, (ii)…
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By assuming there is a cap on the claim sizes,…