Related papers: Hybrid Risk Processes: A Versatile Framework for M…
Climate change is amplifying extreme precipitation events in many regions and imposes substantial challenges for the resilience of road drainage infrastructure. Conventional design storm methodologies, which rely on historical trends of…
Failure times of a machinery cannot always be assumed independent and identically distributed, e.g. if after reparations the machinery is not restored to a same-as-new condition. Framed within the renewal processes approach, a…
This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship between risk envelopes and regret envelopes is established by…
The classical Cram\'er-Lundberg risk process models the ruin probability of an insurance company experiencing an incoming cash flow - the premium income, and an outgoing cash flow - the claims. From a system's viewpoint, the web of…
In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and…
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…
We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes…
In this paper, we study a model of quantum Markov chains that is a quantum analogue of Markov chains and is obtained by replacing probabilities in transition matrices with quantum operations. We show that this model is very suited to…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
Accurate time series forecasting, predicting future values based on past data, is crucial for diverse industries. Many current time series methods decompose time series into multiple sub-series, applying different model architectures and…
The classical Cramer-Lundberg model was the first attempt to describe the financial condition of the insurance company. The incomes were approximated by a steady stream of money, insurance payments were not limited and could take any value…
For two nonstandard renewal risk models, we investigate the precise large deviations of the finite-time ruin probability and a random sum of the net-loss process, and the asymptotics of the random-time ruin probability. Notably, in one of…
The problem of controlling hybrid dynamical systems using model predictive control (MPC) is formulated and sufficient conditions for asymptotic stability of a set are provided. Hybrid dynamical systems are modeled in terms of hybrid…
Behind the concept of Industry 4.0, there are a number of principles and ideas; one of them is the integration of problems of different decision levels. In this work, we integrate maintenance with planning problems, aiming to take full…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
This paper considers the problem of real-time mode scheduling in linear time-varying switched systems subject to a quadratic cost functional. The execution time of hybrid control algorithms is often prohibitive for real-time applications…
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…
Mathematical models simulate various events under different conditions, enabling an early overview of the system to be implemented in practice, reducing the waste of resources and in less time. In project optimization, these models play a…
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of…
In this paper we consider the classical and Erlang(2) risk processes when the inter-claim times and claim amounts are dependent. We assume that the dependence structure is defined through a Farlie-Gumbel-Morgenstern (FGM) copula and show…