Related papers: A delayed dual risk model
Real-world processes often exhibit temporal separation between actions and reactions - a characteristic frequently ignored in many modelling frameworks. Adding temporal aspects, like time delays, introduces a higher complexity of problems…
A recent work by Schlisselberg et al. (2024) studies a delay-as-payoff model for stochastic multi-armed bandits, where the payoff (either loss or reward) is delayed for a period that is proportional to the payoff itself. While this captures…
Parisian ruin probability in the classical Brownian risk model, unlike the standard ruin probability can not be explicitly calculated even in one-dimensional setup. Resorting on asymptotic theory, we derive in this contribution an…
We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insurance risk and investment return. We first introduce the model…
The stochastic generalised linear bandit is a well-understood model for sequential decision-making problems, with many algorithms achieving near-optimal regret guarantees under immediate feedback. However, the stringent requirement for…
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de…
Hybrid numerical-experimental testing is a standard approach for complex dynamical structures that are, on the one hand, not easy to model due to complexity and parameter uncertainty and, on the other hand, too expensive for full-scale…
Non-ideal deterministic system "tank with liquid-electric motor" is studied. Two delay-approximation models are considered. Impact of the delay on the emergence, evolution and disappearance of regular and chaotic limit sets (attractors) of…
We focus on a particular connection between queueing and risk models in a multi-dimensional setting. We first consider the joint workload process in a queueing model with parallel queues and simultaneous arrivals at the queues. For the case…
Delays in biological systems may be used to model events for which the underlying dynamics cannot be precisely observed. Mathematical modeling of biological systems with delays is usually based on Delay Differential Equations (DDEs), a kind…
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…
We study delay-induced transitions in consensus dynamics on signed networks with a ring topology. The proposed model is formulated as a system of delay differential equations incorporating both cooperative and antagonistic interactions, as…
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model…
In this paper we investigate the impact of delayed tax revenues on the fiscal policy out-comes. Choosing the delay as a bifurcation parameter we study the direction and the stability of the bifurcating periodic solutions. With respect to…
In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk…
The spontaneous emergence of ordered structures, known as Turing patterns, in complex networks is a phenomenon that holds potential applications across diverse scientific fields, including biology, chemistry, and physics. Here, we present a…
Modern agile software projects are subject to constant change, making it essential to re-asses overall delay risk throughout the project life cycle. Existing effort estimation models are static and not able to incorporate changes occurring…
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…
Delayed rewards problem in contextual bandits has been of interest in various practical settings. We study randomized allocation strategies and provide an understanding on how the exploration-exploitation tradeoff is affected by delays in…
Real-world dynamical systems with retardation effects are described in general not by a single, precisely defined time delay, but by a range of delay times. An exact mapping onto a set of $N+1$ ordinary differential equations exists when…