Related papers: Asymptotics for a nonstandard risk model with mult…
In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed and heavy-tailed case of the claim sizes. Main technique is…
Impropriety testing for complex-valued vector has been considered lately due to potential applications ranging from digital communications to complex media imaging. This paper provides new results for such tests in the asymptotic regime,…
This paper considers a Cram\'er-Lundberg risk setting, where the components of the underlying model change over time. These components could be thought of as the claim arrival rate, the claim-size distribution, and the premium rate, but we…
We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous and endogenous. In the process, we show that…
We revisit Schnieper's model, which decomposes incurred but not reported (IBNR) reserves into two components: reserves for newly reported claims (true IBNR) and reserves for changes over time in the estimated cost of already reported claims…
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator,…
This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite time horizon. The used methodology is the one of…
We evaluate priors by the second order asymptotic behavior of the corresponding estimators.Under certain regularity conditions, the risk differences between efficient estimators of parameters taking values in a domain D, an open connected…
Identification-robust hypothesis tests are commonly based on the continuous updating GMM objective function. When the number of moment conditions grows proportionally with the sample size, the large-dimensional weighting matrix prohibits…
We propose improved standard errors and an asymptotic distribution theory for two-way clustered panels. Our proposed estimator and theory allow for arbitrary serial dependence in the common time effects, which is excluded by existing…
We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural…
M-estimation, aka empirical risk minimization, is at the heart of statistics and machine learning: Classification, regression, location estimation, etc. Asymptotic theory is well understood when the loss satisfies some smoothness…
Extreme value theory offers a statistical framework for quantifying the risk of rare events, with the generalized Pareto (GP) distribution providing the canonical limit model for univariate threshold exceedances. In many applications,…
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…
Branching processes in a random environment are natural generalisations of Galton-Watson processes. In this paper we analyse the asymptotic decay of the survival probability for a sequence of slightly supercritical branching processes in an…
We consider a general $k$ dimensional discounted infinite server queues process (alternatively, an Incurred But Not Reported (IBNR) claim process) where the multivariate inputs (claims) are given by a $k$ dimensional finite state Markov…
Claim frequency data in insurance records the number of claims on insurance policies during a finite period of time. Given that insurance companies operate with multiple lines of insurance business where the claim frequencies on different…