Related papers: A delayed dual risk model
Delayed processes are ubiquitous throughout biology. These delays may arise through maturation processes or as the result of complex multi-step networks, and mathematical models with distributed delays are increasingly used to capture the…
We investigate the effect of turning delays on the behaviour of groups of differential wheeled robots and show that the group-level behaviour can be described by a transport equation with a suitably incorporated delay. The results of our…
A one species time-delay reaction-diffusion system defined on a complex networks is studied. Travelling waves are predicted to occur as follows a symmetry breaking instability of an homogenous stationary stable solution, subject to an…
Previously we showed how delay communication between globally coupled self-propelled agents causes new spatio-temporal patterns to arise when the delay coupling is fixed among all agents \cite{Forgoston08}. In this paper, we show how…
This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\ldots\}$, at times…
Medical practice in the intensive care unit is based on the supposition that physiological systems such as the human glucose-insulin system are predictable. We demonstrate that delay within the glucose-insulin system can induce sustained…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
Two models of a queue are proposed: a human queue and two lines of vehicles before a narrowing. In both models, a queuer tries to evaluate his waiting time, taking into account the delay caused by intruders who jump to the queue front. As…
In this paper, a robust optimal reinsurance-investment problem with delay is studied under the $\alpha$-maxmin mean-variance criterion. The surplus process of an insurance company approximates Brownian motion with drift. The financial…
In ruin theory, the net profit condition intuitively means that the incurred random claims on average do not occur more often than premiums are gained. The breach of the net profit condition causes guaranteed ruin in few but simple cases…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
Stability analysis is performed for a linear differential equation with two delays. Geometric arguments show that when the two delays are rationally dependent, then the region of stability increases. When the ratio has the form 1/n, this…
A microscopic approach to macroeconomic features is intended. A model for macroeconomic behavior based on the Ausloos-Clippe-Pekalski model is built and investigated. The influence of a discrete time information transfer is investigated.…
Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging. To overcome this, an attractive way is to approximate the claim sizes…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
In this paper, the model predictive control is designed for an interval type-2 Takagi-Sugeno (T-S) system with unknown time-varying delay in state and input vectors. The time-varying delay is a weird phenomenon that is appeared in almost…
The problem of estimating the probability of a random process reaching a certain level is well known. In this article, two-sided estimates are established for the probability that a regenerative process reaches a high level. Two auxiliary…
This paper investigates the problem of combinatorial multiarmed bandits with stochastic submodular (in expectation) rewards and full-bandit delayed feedback, where the delayed feedback is assumed to be composite and anonymous. In other…
An important problem in project management is determining ways to distribute amongst activities the costs that are incurred when a project is delayed because some activities end later than expected. In this study, we address this problem in…
This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…