Related papers: Ruin probabilities and decompositions for general …
This article studies in detail the solution of an integral equation due to Rongming et al. [13]. The methods involve complex analysis. As an application, we find the ruin probability of a given Bonus-Malus system in a steady state. We…
Fragmentation processes are part of a broad class of models describing the evolution of a system of particles which split apart at random. These models are widely used in biology, materials science and nuclear physics, and their asymptotic…
The aim of this paper is to construct the confidence interval of the ultimate ruin probability under the insurance surplus driven by a L\'evy process. Assuming a parametric family for the L\'evy measures, we estimate the parameter from the…
The classical Cram\'er-Lundberg risk process models the ruin probability of an insurance company experiencing an incoming cash flow - the premium income, and an outgoing cash flow - the claims. From a system's viewpoint, the web of…
We study the occurrence of number rigidity and deletion singularity in a class of point processes that we call {\it projected perturbed lattices}. These are generalizations of processes of the form…
We consider two-dimensional L\'evy processes reflected to stay in the positive quadrant. Our focus is on the non-standard regime when the mean of the free process is negative but the reflection vectors point away from the origin, so that…
We study the obtainment of closed-form formulas for the distribution of the jumps of a doubly-stochastic Poisson process. The problem is approached in two ways. On the one hand, we translate the problem to the computation of multiple…
Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for one time period, representing real-world…
We consider two approaches to study non-reversible Markov processes, namely the Hypocoercivity Theory (HT) and GENERIC (General Equations for Non-Equilibrium Reversible-Irreversible Coupling); the basic idea behind both of them is to split…
We propose a general approach for supervised learning with structured output spaces, such as combinatorial and polyhedral sets, that is based on minimizing estimated conditional risk functions. Given a loss function defined over pairs of…
We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this…
In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time. The proof is based on solving…
We study perturbations around the generalized Kazakov multicritical one-matrix model. The multicritical matrix model has a potential where the coefficients of $z^n$ only fall off as a power $1/n^{s+1}$. This implies that the potential and…
In the setting of a L\'evy insurance risk process, we present some results regarding the Parisian ruin problem which concerns the occurrence of an excursion below zero of duration bigger than a given threshold $r$. First, we give the joint…
We consider a surplus process of drifted fractional Brownian motion with the Hurst index $H>1/2$, which appears as a functional limit of drifted compound Poisson risk models with correlated claims, and this is a kind of representation of a…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the surplus prior to ruin. Its computation…
The safety and resilience of civil infrastructure systems are increasingly threatened by compounded risks from various hazard events and structural deterioration due to environmental stressors. This study presents a comprehensive…
This paper presents some new results on Parisian ruin under Levy insurance risk process, where ruin occurs when the process has gone below a fixed level from the last record maximum, also known as the high-water mark or drawdown, for a…
We consider in this paper a risk reserve process where the claims and gains arrive according to two independent Poisson processes. While the gain sizes are phase-type distributed, we assume instead that the claim sizes are phase-type…