相关论文: Gaussian risk models with financial constraints
We consider an insurance company in the case when the premium rate is a bounded non-negative random function $c_\zs{t}$ and the capital of the insurance company is invested in a risky asset whose price follows a geometric Brownian motion…
Following an article by Muller and Pflug, we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator of this coefficient, and perform some simulations.
Boundary constraints in physical, environmental and engineering models restrict smooth states such as temperature to follow known physical laws at the edges of their spatio-temporal domain. Examples include fixed-state or fixed-derivative…
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent L\'evy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the pro blem to long-term convergence of a…
We study cuscuton inflation for the models where the potential of the cuscuton takes quadratic and exponential forms. We find that for the quadratic potential, a scalar spectral index $n_s$ is not affected by cuscuton at the leading order…
We study the empirical measure associated to a sample of size $n$ and modified by $N$ iterations of the raking-ratio method. This empirical measure is adjusted to match the true probability of sets in a finite partition which changes each…
In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…
We study the inflation in a model with a Gauss-Bonnet term which is non-minimally coupled to a DBI field. We study the spectrum of the primordial perturbations in detail. The non-Gaussianity of this model is considered and the amplitude of…
In this contribution we are concerned with the asymptotic behaviour as $u\to \infty$ of $\mathbb{P}\{\sup_{t\in [0,T]} X_u(t)> u\}$, where $X_u(t),t\in [0,T],u>0$ is a family of centered Gaussian processes with continuous trajectories. A…
We consider the multivariate risk model with common renewal process among the lines of business, and Brownian perturbations. Assuming that the integrated tail distribution of claims is multivariate subexponential, we establish an asymptotic…
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…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…
Assessing the contribution of various risk factors to future inflation risks was crucial for guiding monetary policy during the recent high inflation period. However, existing methodologies often provide limited insights by focusing solely…
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper num\'eraire and classical valuation rules can be formulated. It is shown when…
We propose flexible Gaussian representations for conditional cumulative distribution functions and give a concave likelihood criterion for their estimation. Optimal representations satisfy the monotonicity property of conditional cumulative…
A class of finite GUTs in curved spacetime is considered in connection with the cosmological inflation scenario. It is confirmed that the use of the running scalar-gravitational coupling constant in these models helps realizing a successful…
We revisit the replica method for analyzing inference and learning in parametric models, considering situations where the data-generating distribution is unknown or analytically intractable. Instead of assuming idealized distributions to…
We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times…
Credit capital requirements in Internal Rating Based approaches require the calibration of two key parameters: the probability of default and the loss-given-default. This letter considers the uncertainty about these two parameters and…
In the study of investment problem, aside from the investment risk the background risk appears. Both the investment risk and the background risk are probabilistically described by random variables. This paper starts from the hypothesis that…