Related papers: Asymptotics for a nonstandard risk model with mult…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
The subject of robust estimation in time series is widely discussed in literature. One of the approaches is to use GM-estimation. This method incorporates a broad class of nonparametric estimators which under suitable conditions includes…
In a discrete-time setting, we consider an arrival process $\left\{\xi_n \, \middle| \, n = 1, 2, \ldots \right\}$, which models the occurrence of events, and a corresponding point process $\left\{H_n \, \middle| \, n = 1, 2, \ldots…
The aggregation of individual risks in large credit and insurance portfolios is guided by diversification and the law of large numbers, which formalizes the convergence of sample averages to their means. At the same time, regulatory capital…
Motivated by a bidimensional discrete-time risk model in insurance, we study the second-order asymptotics for two kinds of tail probabilities of the stochastic discounted value of aggregate net losses including two business lines. These are…
Two new test statistics are introduced to test the null hypotheses that the sampling distribution has an increasing hazard rate on a specified interval [0,a]. These statistics are empirical L_1-type distances between the isotonic estimates,…
The Fine-Gray model for the subdistribution hazard is commonly used for estimating associations between covariates and competing risks outcomes. When there are missing values in the covariates included in a given model, researchers may wish…
The asymptotic tail behaviour of sums of independent subexponential random variables is well understood, one of the main characteristics being the principle of the single big jump. We study the case of dependent subexponential random…
We characterize the small-time asymptotic behavior of the exit probability of a L\'evy process out of a two-sided interval and of the law of its overshoot, conditionally on the terminal value of the process. The asymptotic expansions are…
We study the asymptotic distribution of the total claim amount for marked Poisson cluster models. The marks determine the size and other characteristics of the individual claims and potentially influence arrival rate of the future claims.…
Causal inference with observational studies often relies on the assumptions of unconfoundedness and overlap of covariate distributions in different treatment groups. The overlap assumption is violated when some units have propensity scores…
Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive…
Preferential attachment is a widely adopted paradigm for understanding the dynamics of social networks. Formal statistical inference,for instance GLM techniques, and model verification methods will require knowing test statistics are…
In this paper, we study large losses arising from defaults of a credit portfolio. We assume that the portfolio dependence structure is modelled by the Archimedean copula family as opposed to the widely used Gaussian copula. The resulting…
We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stochastic economic environment and study the extremes for some related Markovian processes which arise in financial and insurance mathematics,…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
Empirical evidence shows that wealthy households have substantially higher saving rates and markedly lower marginal propensity to consume (MPC) than other groups. Existing theory cannot account for this pattern unless under restrictive…
Empirical evidence suggests that the rich have higher propensity to save than do the poor. While this observation may appear to contradict the homotheticity of preferences, we theoretically show that that is not the case. Specifically, we…
We consider minimizing the probability of falling below a target growth rate of the wealth process up to a time horizon $T$ in an incomplete market model, and then study the asymptotic behavior of minimizing probability as $T\to\infty$.…
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.