Related papers: Asymptotics for a nonstandard risk model with mult…
We consider the infinite-horizon, average-reward restless bandit problem in discrete time. We propose a new class of policies that are designed to drive a progressively larger subset of arms toward the optimal distribution. We show that our…
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently…
We obtain the exact asymptotic result for the disorder-averaged probability distribution function for a random walk in a biased Sinai model and show that it is characterized by a creeping behavior of the displacement moments with time,…
This paper studies large sample properties of a Bayesian approach to inference about slope parameters $\gamma$ in linear regression models with a structural break. In contrast to the conventional approach to inference about $\gamma$ that…
In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve…
Systemic risk is receiving increasing attention in the insurance industry. In this paper, we propose a multi-dimensional L\'{e}vy process-based renewal risk model with heterogeneous insurance claims, where every dimension indicates a…
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…
This paper considers a particular renewal-reward process with multivariate discounted rewards (inputs) where the arrival epochs are adjusted by adding some random delays. Then this accumulated reward can be regarded as multivariate…
When assessing risks on a finite-time horizon, the problem can often be reduced to the study of a random sequence $C(N)=(C_1,\ldots,C_N)$ of random length $N$, where $C(N)$ comes from the product of a matrix $A(N)$ of random size $N \times…
The semiparametric accelerated failure time model is not as widely used as the Cox relative risk model mainly due to computational difficulties. Recent developments in least squares estimation and induced smoothing estimating equations…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
Recent studies have demonstrated an interesting connection between the asymptotic behavior at ruin of a L\'evy insurance risk process under the Cram\'er-Lundberg and convolution equivalent conditions. For example, the limiting distributions…
This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…
New methods and theory have recently been developed to nonparametrically estimate cumulative incidence functions for competing risks survival data subject to current status censoring. In particular, the limiting distribution of the…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In…
In this paper, we show how to estimate the asymptotic (conditional) covariance matrix, which appears in central limit theorems in high-frequency estimation of asset return volatility. We provide a recipe for the estimation of this matrix by…
In this work we address the problem of detecting whether a sampled probability distribution of a random variable $V$ has infinite first moment. This issue is notably important when the sample results from complex numerical simulation…
The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global…
We consider a centered random walk with finite variance and investigate the asymptotic behaviour of the probability that the area under this walk remains positive up to a large time $n$. Assuming that the moment of order $2+\delta$ is…