Related papers: Finite-Time Ruin for the Compound Markov Binomial …
This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest force. Concretely, two types of continuous-time renewal risk…
Discrete time random dynamical systems with countably many maps which admit countable Markov partitions on complete metric spaces such that the resulting Markov systems are uniform continuous and contractive are considered. A notion of a…
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…
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a…
Gambler's ruin estimates can be viewed as harmonic measure estimates for finite Markov chains which are absorbed (or killed) at boundary points. We relate such estimates to properties of the underlying chain and its Doob transform.…
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
The gambler's ruin problem for correlated random walks (CRW), both with and without delays, is addressed using the Optional Stopping Theorem for martingales. We derive closed-form expressions for the ruin probabilities and the expected game…
In this work, we propose a simplification of the Pollaczek-Khinchine formula for the ultimate time survival (or ruin) probability calculation in exchange for a few assumptions on the random variables which generate the renewal risk model.…
Although the notion of diagnostic problem has been extensively investigated in the context of static systems, in most practical applications the behavior of the modeled system is significantly variable during time. The goal of the paper is…
We consider a linear stochastic fluid network under Markov modulation, with a focus on the probability that the joint storage level attains a value in a rare set at a given point in time. The main objective is to develop efficient…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal…
We consider the filtering of continuous-time finite-state hidden Markov models, where the rate and observation matrices depend on unknown time-dependent parameters, for which no prior or stochastic model is available. We quantify and…
We present a new algorithm for the statistical model checking of Markov chains with respect to unbounded temporal properties, such as reachability and full linear temporal logic. The main idea is that we monitor each simulation run on the…
We show a methodology for the computation of the probability of deadline miss for a periodic real-time task scheduled by a resource reservation algorithm. We propose a modelling technique for the system that reduces the computation of such…
Consider the continuous-time Markov Branching Process. In critical case we consider a situation when the generating function of intensity of transformation of particles has the infinite second moment, but its tail regularly varies in sense…
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov…
Consider $N$ balls initially placed in $L$ bins. At each time step take a ball from each non-empty bin and \emph{randomly} reassign the balls into the bins.We call this finite Markov chain \emph{General Repeated Balls into Bins} process. It…
Discrete time linear dynamical systems, including Markov chains, have found many applications including in security settings such as in cybersecurity operations center (CSOC) management and in managing health risks. However, in these two…