Related papers: A delayed dual risk model
In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…
In this paper, we unify two popular approaches for the definition of actuarial ruin with implementation delays, also known as Parisian ruin. Our new definition of ruin includes both deterministic delays and exponentially distributed delays:…
In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time $d>0$. We identify expressions for the ruin probabilities within…
When the agent's observations or interactions are delayed, classic reinforcement learning tools usually fail. In this paper, we propose a simple yet new and efficient solution to this problem. We assume that, in the undelayed environment,…
Keen's model describes the dynamics between wage share, employment rate and debt ratio. In literature, the model was extended to represent the effects of inflation and also the speculative money flow. Based on the inflationary model, we…
A proper discretization of the logistic differential equation, which is preserving these two distinct equilibrium solutions and their unstability and stability, suggest that we need to examine the time delay of the logistic map. According…
We develop an approximate theoretical method to study discrete stochastic birth and death models that include a delay time. We analyze the effect of the delay in the fluctuations of the system and obtain that it can qualitatively alter…
Attitudes toward risk underlie virtually every important economic decision an individual makes. In this experimental study, I examine how introducing a time delay into the execution of an investment plan influences individuals' risk…
Let $\{B(t), t\ge 0\}$ be a Brownian motion. Consider the Brownian motion risk model with interest rate collection and tax payment defined by \begin{align}\label{Rudef}…
The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber--Shiu…
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…
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…
In this paper, we investigate a variant of the classical stochastic Multi-armed Bandit (MAB) problem, where the payoff received by an agent (either cost or reward) is both delayed, and directly corresponds to the magnitude of the delay.…
Delay differential equations are of great importance in science, engineering, medicine and biological models. These type of models include time delay phenomena which is helpful for characterising the real-world applications in machine…
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…
Distributed delay equations have been used to model situations in which there is some sort of delay whose duration is uncertain. However, the interpretation of a distributed delay equation is actually very different from that of a delay…
The time needed to exchange information in the physical world induces a delay term when the respective system is modeled by differential equations. Time delays are hence ubiquitous, being furthermore likely to induce instabilities and with…
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing…
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.
We examine the impact of time delay on two coupled massive oscillators within the second-order Kuramoto model, which is relevant to the operations of real-world networks that rely on signal transmission speed constraints. Our analytical and…