Related papers: A delayed dual risk model

We propose a model to study the effects of delayed information on option pricing. We first talk about the absence of arbitrage in our model, and then discuss super replication with delayed information in a binomial model, notably, we…

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…

This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the…

The objective is to develop a general stochastic approach to delays on financial markets. We suggest such a concept in the context of large platonic markets, which allow infinitely many assets and incorporate a restricted information…

In this paper, we study the dynamics and stability of a fundamental power system model when a time delay is imposed on the excitation of the generator. It is observed that sustained oscillations can arise in an otherwise stable power system…

This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and…

We derive formulas for the moments of the ruin time in a L\'evy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity. In the special case of the perturbed…

We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion.…

A discrete delay is included to model the time between the capture of the prey and its conversion to viable biomass in the simplest classical Gause type predator-prey model that has equilibrium dynamics without delay. As the delay increases…

We propose a new best-of-both-worlds algorithm for bandits with variably delayed feedback. In contrast to prior work, which required prior knowledge of the maximal delay $d_{\mathrm{max}}$ and had a linear dependence of the regret on it,…

Delays are ubiquitous in applied problems, but often do not arise as the simple constant discrete delays that analysts and numerical analysts like to treat. In this chapter we show how state-dependent delays arise naturally when modeling…

We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power…

By developing new efficient techniques and using an appropriate fixed point theorem, we derive several new sufficient conditions for the pseudo almost periodic solutions with double measure for some system of differential equations with…

This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…

We derive an alternative expression for a delayed logistic equation in which the rate of change in the population involves a growth rate that depends on the population density during an earlier time period. In our formulation, the delay in…

In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In…

In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin…

The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…

Driven by the explosion of data and the impact of real-world networks, a wide array of mathematical models have been proposed to understand the structure and evolution of such systems, especially in the temporal context. Recent advances in…