Related papers: A delayed dual risk model
The differential equations involving two discrete delays are helpful in modeling two different processes in one model. We provide the stability and bifurcation analysis in the fractional order delay differential equation $D^\alpha x(t)=a…
The primary goal of this research is to investigate the impact of delay on the dynamics of the Susceptible-Exposed-Infected-Recovered-Death and Susceptible (SEIRDS) model, to which we add a stochastic term to account for uncertainty in…
As a robot senses and selects actions, the world keeps changing. This inference delay creates a gap of tens to hundreds of milliseconds between the observed state and the state at execution. In this work, we take the natural generalization…
This paper proceeds an approximate calculation of ultimate time survival probability for bi-seasonal discrete time risk model when premium rate equals two. The same model with income rate equal to one was investigated in 2014 by Damarackas…
We consider a $d-$dimensional insurance network, with initial capital $a\in\R^d_+,$ operating under a risk diversifying treaty; this is described in terms of a regulated random walk $\{Z^{(a)}_n\}$ via Skorokhod problem in $\R^d_+$ with…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
In this paper, we study queueing systems with delayed information that use a generalization of the multinomial logit choice model as its arrival process. Previous literature assumes that the functional form of the multinomial logit model is…
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…
We propose here a delay differential equation that exhibits a new type of resonating oscillatory dynamics. The oscillatory transient dynamics appear and disappear as the delay is increased between zero to asymptotically large delay. The…
The dynamics of the delay logistic equation with complex parameters and arbitrary complex initial conditions is investigated. The analysis of the local stability of this difference equation has been carried out. We further exhibit several…
Time delays, modelling the process of intracellular gene expression, have been shown to have important impacts on the dynamics of pattern formation in reaction-diffusion systems. In particular, past work has shown that such time delays can…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
The paper analyzes the interactions among one public firm and $n$ private firms on the market, in the framework of a discrete-time Cournot game with time delay. The production of the public firm is influenced by previous output levels of…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
We develop a systemic risk framework to explore cascading systemic failures in networked control systems. A time-delayed version of the vehicle platooning problem is used as a benchmark to study the interplay among network connectivity,…
Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ Parisian ruin is defined as a classical ruin that happens over an extended period of time,…
Mathematical modeling based on time-delay differential equations is an important tool to study the role of delay in biological systems and to evaluate its impact on the asymptotic behavior of their dynamics. Delays are indeed found in many…
We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black--Scholes model with constant delay the super-replication price is prohibitively costly and leads to…
In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a…
In this work, we derive a complete characterization of all ruin-inducing probability measures that preserve the structure of a given compound renewal process in terms of suitable pairs of functions $(\gamma,\delta)$. This result allows us…