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We study the rough asymptotic behaviour of a general economic risk model in a discrete setting. Both financial and insurance risks are taken into account. Loss during the first $n$ years is modelled as a random variable…

This paper presents a probabilistic model for reasoning about the state of a system as it changes over time, both due to exogenous and endogenous influences. Our target domain is a class of medical prediction problems that are neither so…

We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, {\gamma}-reflected, Parisian and cumulative Parisian) for the case that ruin can occur only on specific discrete grids. A practical…

In this paper, we investigate Parisian ruin for a L\'evy surplus process with an adaptive premium rate, namely a refracted L\'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also…

The Regression Discontinuity (RD) design is a widely used non-experimental method for causal inference and program evaluation. While its canonical formulation only requires a score and an outcome variable, it is common in empirical work to…

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 propose a framework for assessing the risk associated with deploying a machine learning model in a specified environment. For that we carry over the risk definition from decision theory to machine learning. We develop and…

This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

We investigate the Levy insurance risk model with tax under Cram\'er's condition. A direct analogue of Cram\'er's estimate for the probability of ruin in this model is obtained, together with the asymptotic distribution, conditional on ruin…

A high order expansion of the renewal function is provided under the assumption that the inter-renewal time distribution is light tailed with finite moment generating function g on a neighborhood of 0. This expansion relies on complex…

Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging. To overcome this, an attractive way is to approximate the claim sizes…

In many insurance contexts, dependence between risks of a portfolio may arise from their frequencies. We investigate a dependent risk model in which we assume the vector of count variables to be a tree-structured Markov random field with…

Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities are obtained for the general risk models under weak…

In this paper we review an approach to estimating the causal effect of a time-varying treatment on time to some event of interest. This approach is designed for the situation where the treatment may have been repeatedly adapted to patient…

In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis & Macheras [24], is applied to the ruin problem in order to compute the ruin probability and to find upper and lower bounds…

We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by…

Bandits with covariates, a.k.a. contextual bandits, address situations where optimal actions (or arms) at a given time $t$, depend on a context $x_t$, e.g., a new patient's medical history, a consumer's past purchases. While it is…

In this contribution we study asymptotics of the simultaneous Parisian ruin probability of a two-dimensional fractional Brownian motion risk process. This risk process models the surplus processes of an insurance and a reinsurance…

We analyze the probability of ruin for the {\it scaled} classical Cram\'er-Lundberg (CL) risk process and the corresponding diffusion approximation. The scaling, introduced by Iglehart \cite{I1969} to the actuarial literature, amounts to…