相关论文: Duality for multidimensional ruin problem
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price…
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…
Let $B(t), t\in \mathbb{R}$ be a standard Brownian motion. In this paper, we derive the exact asymptotics of the probability of Parisian ruin on infinite time horizon for the following risk process \begin{align}\label{Rudef}…
Distribution network reconfiguration (DNR) is a tool used by operators to balance line load flows and mitigate losses. As distributed generation and flexible load adoption increases, the impact of DNR on the security, efficiency, and…
The aim of this paper is to construct the confidence interval of the ultimate ruin probability under the insurance surplus driven by a L\'evy process. Assuming a parametric family for the L\'evy measures, we estimate the parameter from the…
Physical risks, such as droughts, floods, rising temperatures, earthquakes, infrastructure failures, and geopolitical conflicts, can ripple through global supply chains, raising costs, and constraining production across industries.…
We study the cyclic inventory routing problem that involves joint decisions on vehicle routing and inventory replenishment on an infinite, cyclic horizon. It considers a single warehouse and a set of geographically dispersed retailers. We…
To study a chaotic itinerant motion among varieties of ordered states, we propose a stochastic model based on the mechanism of chaotic itinerancy. The model consists of a random walk on a half-line, and a Markov chain with a transition…
We analyze a self-consistent theory of crack growth controlled by a cumulative damage variable d(t) dependent on stress history. As a function of the damage exponent $m$, which controls the rate of damage dd/dt \propto sigma^m as a function…
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 introduce a dynamical model of node repair in distributed storage systems wherein the storage nodes are subjected to failures according to independent Poisson processes. The main parameter that we study is the time-average capacity of…
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…
In economic settings such as learning, social behavior, and financial contagion, agents interact through interdependent networks. This paper examines how a decision maker (DM) can design an optimal intervention strategy under network…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov…
In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk…
A main puzzle of deep neural networks (DNNs) revolves around the apparent absence of "overfitting", defined in this paper as follows: the expected error does not get worse when increasing the number of neurons or of iterations of gradient…
This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…
The k Nearest Neighbor (kNN) query over moving objects on road networks is essential for location-based services. Recently, this problem has been studied under road networks with distance as the metric, overlooking fluctuating travel costs.…
In this article, we introduce a new definition of bankruptcy for a spectrally negative L\'evy insurance risk process. More precisely, we study the Gerber-Shiu distribution for a ruin model where at each time the surplus goes negative, an…