相关论文: Discrete time ruin probability with Parisian delay

We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly…

The asymptotic survival probability of a spherical target in the presence of a single subdiffusive trap or surrounded by a sea of subdiffusive traps in a continuous Euclidean medium is calculated. In one and two dimensions the survival…

In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…

Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into…

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 introduce the following discrete time model. Each natural number represents an ecological niche and is assigned a fitness in $(0,1)$. All the sites are updated simultaneously at every discrete time. At any given time the environment may…

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance…

We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections…

In this paper, a study of random times on filtered probability spaces is undertaken. The main message is that, as long as distributional properties of optional processes up to the random time are involved, there is no loss of generality in…

We consider random walks with finite second moment which drifts to $-\infty$ and have heavy tail. We focus on the events when the minimum and the final value of this walk belong to some compact set. We first specify the associated…

In this paper we give an explicit expression for the local time of the classical risk process and associate it with the density of an occupational measure. To do so, we approximate the local time by a suitable sequence of absolutely…

Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1)$ and define the joint survival probability of both supremum functionals $\pi_\rho(c_1,c_2; u,…

We consider random walks on $\Z^d$ among nearest-neighbor random conductances which are i.i.d., positive, bounded uniformly from above but whose support extends all the way to zero. Our focus is on the detailed properties of the paths of…

We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative L\'evy model with Parisian ruin as the termination time. The problem considered is essentially a generalization of both the…

We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of…

The (conditional or unconditional) distribution of the continuous scan statistic in a one-dimensional Poisson process may be approximated by that of a discrete analogue via time discretization (to be referred to as the discrete…

In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang(n) case for common distribution of the inter-arrival times, from there it…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is…

We introduce the concept of `discrete-time persistence', which deals with zero-crossings of a continuous stochastic process, X(T), measured at discrete times, T = n \Delta T. For a Gaussian Markov process with relaxation rate \mu, we show…