相关论文: Gaussian risk models with financial constraints

In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk model. Examples are provided when the generic claim size is…

In the extended gambler's ruin problem we can move one step forward or backward (classical gambler's ruin problem), we can stay where we are for a time unit (delayed action) or there can be absorption in the current state (game is…

Phenomenologically interesting scalar potentials are highly atypical in generic random landscapes. We develop the mathematical techniques to generate constrained random potentials, i.e. Slepian models, which can globally represent…

Theoretical results for importance sampling rely on the existence of certain moments of the importance weights, which are the ratios between the proposal and target densities. In particular, a finite variance ensures square root convergence…

This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the…

In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a…

Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…

Standard Gaussian graphical models (GGMs) implicitly assume that the conditional independence among variables is common to all observations in the sample. However, in practice, observations are usually collected form heterogeneous…

We test a model of inflation with a fast-rolling kinetic-dominated initial condition against data from Planck using Markov chain Monte Carlo parameter estimation. We test both an $m^2 \phi^2$ potential and the $R+R^2$ gravity model and…

Despite major methodological developments, Bayesian inference for Gaussian graphical models remains challenging in high dimension due to the tremendous size of the model space. This article proposes a method to infer the marginal and…

In linear regression modelling the distortion of effects after marginalizing over variables of the conditioning set has been widely studied in several contexts. For Gaussian variables, the relationship between marginal and partial…

We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…

This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…

In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…

We use data from the WMAP temperature maps to constrain a scale-dependent generalization of the popular 'local' model for primordial non-Gaussianity. In the model where the parameter fNL is allowed to run with scale k, fNL(k) = fNL*…

We study an inflationary scenario with a vector impurity. We show that the universe undergoes anisotropic inflationary expansion due to a preferred direction determined by the vector. Using the slow-roll approximation, we find a formula to…

We present here a new extended model of the gambler's ruin problem by incorporating delays in receiving of rewards and paying of penalties. When there is a difference between two delays, an exact analysis of the ruin probability is…

Inflationary models with a scalar field nonminimally coupled both with the Ricci scalar and with the Gauss-Bonnet term are studied. We propose the way of generalization of inflationary scenarios with the Gauss-Bonnet term and a scalar field…

We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…

An intermediate inflationary universe model within the context of non-minimally coupled to the scalar curvature is analyzed. We will conduct our analysis under the slow roll approximation of the inflationary dynamics and the cosmological…