相关论文: Two parallel insurance lines with simultaneous arr…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
In this paper, we analyze the problem of how to adapt the concept of priority to situations where several perfectly divisible resources have to be allocated among certain set of agents that have exactly one claim which is used for all…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…
In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where the dividend threshold $d=0$ and $d>0$…
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute the distribution of $(X_t,\inf_{0\leq…
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 the problem of scheduling in multi-class, parallel-server queuing systems with uncertain rewards from job-server assignments. In this scenario, jobs incur holding costs while awaiting completion, and job-server assignments yield…
We consider a one-dimensional Swift-Hohenberg equation coupled to a conservation law, where both equations contain additional dispersive terms breaking the reflection symmetry $x \mapsto -x$. This system exhibits a Turing instability and we…
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing…
Two independent Poisson streams of jobs flow into a single-server service system having a limited common buffer that can hold at most one job. If a type-i job (i=1,2) finds the server busy, it is blocked and routed to a separate type-i…
We approximate the distribution of total expenditure of a retail company over warranty claims incurred in a fixed period [0, T], say the following quarter. We consider two kinds of warranty policies, namely, the non-renewing free…
Survival analysis is a statistical technique used to estimate the time until an event occurs. Although it is applied across a wide range of fields, adjusting for reporting delays under practical constraints remains a significant challenge…
Renewal process is a point process where an inter-event time between successive renewals is an independent and identically distributed random variable. Alternating renewal process is a dichotomous process and a slight generalization of the…
Currently, legal requirements demand that insurance companies increase their emphasis on monitoring the risks linked to the underwriting and asset management activities. Regarding underwriting risks, the main uncertainties that insurers…
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…
We consider the one-dimensional Swift-Hohenberg equation coupled to a conservation law. As a parameter increases the system undergoes a Turing bifurcation. We study the dynamics near this bifurcation. First, we show that stationary,…
We derive a Sturm-Liouville system of equations for the exact calculation of the survival probability in first-passage time problems. This system is the one associated with the Wiener-Hopf integral equation obtained from the theory of…
We study distributionally robust Expected Shortfall when the distribution of the underlying is perturbed by a size quantified with optimal transport distance based on the quadratic cost function. In the dual version of the robust…
Daily, are reported systems in nature that present anomalous diffusion phenomena due to irregularities of medium, traps or reactions process. In this scenario, the diffusion with traps or localised--reactions emerge through various…