Related papers: Discrete time risk models with m-dependent random …
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…
In the Staged Progression (SP) epidemic models, infected individuals are classified into a suitable number of states. The goal of these models is to describe as closely as possible the effect of differences in infectiousness exhibited by…
Distorted distributions were introduced in the context of actuarial science for several variety of insurance problems. In this paper we consider the quantile-based probabilistic mean value theorem given in Di Crescenzo et al. [4] and…
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…
We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We…
The goal of an experiment is to evaluate the profit, loss, or the amount of a physical entity over a period. The measurements $X_t$ can be influenced by the values measured in the past; hence we describe the situation with an autoregression…
In discrete-time dynamics, it is frequently assumed that the transition probabilities (e.g., the recovery probability) are independent of the network structure. However, there is a lack of empirical evidence to support this claim in large…
Lehmann's ideas on concepts of dependence have had a profound effect on mathematical theory of reliability. The aim of this paper is two-fold. The first is to show how the notion of a ``hazard potential'' can provide an explanation for the…
Time-to-event models are a popular tool to analyse data where the outcome variable is the time to the occurrence of a specific event of interest. Here we focus on the analysis of time-to-event outcomes that are either intrisically discrete…
In this paper, explicit error bounds are derived in the approximation of rank $k$ projections of certain $n$-dimensional random vectors by standard $k$-dimensional Gaussian random vectors. The bounds are given in terms of $k$, $n$, and a…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a…
We consider a discrete-time dividend payout problem with risk sensitive shareholders. It is assumed that they are equipped with a risk aversion coefficient and construct their discounted payoff with the help of the exponential premium…
Many studies employ the analysis of time-to-event data that incorporates competing risks and right censoring. Most methods and software packages are geared towards analyzing data that comes from a continuous failure time distribution.…
In this paper, we investigate the ruin probabilities of non-homogeneous risk models. By employing martingale method, the Lundberg-type inequalities of ruin probabilities of non-homogeneous renewal risk models are obtained under weak…
In this paper we construct the new coefficient which allows to measure quantitatively the independence of the two discrete random variables. The new inequalities for the matrices with non-negative elements are found
In this paper we propose a new method of estimation for discrete choice demand models when individual level data are available. The method employs a two-step procedure. Step 1 predicts the choice probabilities as functions of the observed…
We prove large and moderate deviation principles for the distribution of an empirical mean conditioned by the value of the sum of discrete i.i.d. random variables. Some applications for combinatoric problems are discussed.
The time value of money is a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of set-valued risk statistics by introducing the time value of money. In…
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…
A common problem in formulating models for the relative risk and risk difference is the variation dependence between these parameters and the baseline risk, which is a nuisance model. We address this problem by proposing the conditional log…