Related papers: Ruin probabilities as recurrence sequences in a di…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
We study a pure death process. At each discrete time every individual dies or not independently of each other with a constant probability. We give examples showing that in a certain limit extinction happens along a path where one and only…
In this paper we consider some generalizations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probabilities of interest. In addition, we obtain non-asymptotic…
We reconsider a classical, well-studied problem from applied probability. This is the max-sum equivalence of randomly weighted sums, and the originality is because we manage to include interdependence among the primary random variables, as…
We study the probability of ruin before time $t$ for the family of tempered stable L\'evy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution…
Define a $\gamma$-reflected process $W_\gamma(t)=Y_H(t)-\gamma\inf_{s\in[0,t]}Y_H(s)$, $t\ge0$ with input process $\{Y_H(t), t\ge 0\}$ which is a fractional Brownian motion with Hurst index $H\in (0,1)$ and a negative linear trend. In risk…
Let $(G_n(x))_{n=0}^\infty$ be a $d$-th order linear recurrence sequence having polynomial characteristic roots, one of which has degree strictly greater than the others. Moreover, let $m\geq 2$ be a given integer. We ask for…
The study of a machine learning problem is in many ways is difficult to separate from the study of the loss function being used. One avenue of inquiry has been to look at these loss functions in terms of their properties as scoring rules…
We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the…
We consider a surplus process of drifted fractional Brownian motion with the Hurst index $H>1/2$, which appears as a functional limit of drifted compound Poisson risk models with correlated claims, and this is a kind of representation of a…
In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian ruin time and derive an asymptotic relation between…
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…
Let $\{U(m)\}_{m\in \N}$ and $\{V(n)\}_{n\in \N}$ be linear recurrence sequences. It is a well-known Diophantine problem to determine the finiteness of the set of natural numbers $n$ such that the ratio $U(n)/V(n)$ is an integer. We study…
Projection theorems of divergences enable us to find reverse projection of a divergence on a specific statistical model as a forward projection of the divergence on a different but rather "simpler" statistical model, which, in turn, results…
This paper addresses the classical problem of determining the sets of possible states of a linear discrete-time system subject to bounded disturbances from measurements corrupted by bounded noise. These so-called uncertainty sets evolve…
We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative L\'evy process. The distinctive feature of this extension is that the…
Extinction times in resampling processes are fundamental yet often intractable, as previous formulas scale as $2^M$ with the number of states $M$ present in the initial probability distribution. We solve this by treating multinomial updates…
In this paper we study the draw-down related Parisian ruin problem for spectrally negative L\'{e}vy risk processes. We introduce the draw-down Parisian ruin time and solve the corresponding two-sided exit time via excursion theory. We also…
We study the asymptotics of the ruin probability in the Cram\'er-Lundberg model with a modified notion of ruin. The modification is as follows. If the portfolio becomes negative, the asset is not immediately declared ruined but may survive…
We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing…