相关论文: Discrete time ruin probability with Parisian delay

This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…

This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…

Through a straightforward Bayesian approach we show that under some general conditions a maximum running time, namely the number of discrete steps performed by a computer program during its execution, can be defined such that the…

The effect of space inhomogeneities on a diffusing particle is studied in the framework of the 1D random walk. The typical time needed by a particle to cross a one--dimensional finite lane, the so--called residence time, is computed…

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 consider a particle moving in a one dimensional potential which has a symmetric deterministic part and a quenched random part. We study analytically the probability distributions of the local time (spent by the particle around its mean…

The authors propose a new variation of random walks called ladder chains $L(r,s,p)$. We extend concepts such as ruin probability, hitting time, transience and recurrence of random walks to ladder chain. Take $L(2,2,p)$ for instance, we find…

We study small random perturbations by additive white-noise of a spatial discretization of a reaction-diffusion equation with a stable equilibrium and solutions that blow up in finite time. We prove that the perturbed system blows up with…

We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…

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.

In this work we set up the distribution function of $\mathcal{M}:=\sup_{n\geqslant1}\sum_{i=1}^{n}{(Z_i-1)}$, where the random walk $\sum_{i=1}^{n}Z_i, n\in\mathbb{N},$ is generated by $N$ periodically occurring distributions and the…

We show a methodology for the computation of the probability of deadline miss for a periodic real-time task scheduled by a resource reservation algorithm. We propose a modelling technique for the system that reduces the computation of such…

In the infinite-horizon and discrete-time framework we establish maximum principles of Pontryagin under assumptions which weaker than these ones of existing results. We avoid several assumptions of continuity and of…

Given a hierarchical plan (or schedule) with uncertain task times, we propose a deterministic polynomial (time and memory) algorithm for estimating the probability that its meets a deadline, or, alternately, that its {\em makespan} is less…

In this work the ruin probability of the Lundberg risk process is used as a criterion for determining the optimal security loading of premia in the presence of price-sensitive demand for insurance. Both single and aggregated claim processes…

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…

In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance…

We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…

In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton…

In this paper we discuss the example of one rapidity gap process: the inclusive cross sections of the leading neutrons in deep inelastic scattering with protons (DIS). The equations for this process are proposed and solved, giving the…