相关论文: Multivariate Subexponential Distributions and Thei…

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…

In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve…

We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability. In particular, we get an…

In this article, a generalized version of Negative binomial-beta exponential distribution with five parameters have been introduced. Some interesting submodels have been derived from it. A comprehensive mathematical treatment of proposed…

A new family of multivariate distributions, which shall be termed multivector variate distributions, based in the family of the multivariate contoured elliptically distribution is proposed. Several particular cases of multivector variate…

We consider a new approach in the definition of two-dimensional heavy-tailed distributions. Namely, we introduce the classes of two-dimensional long-tailed, of twodimensional dominatedly varying and of two-dimensional consistently varying…

The negative multinomial distribution is a multivariate generalization of the negative binomial distribution. In this paper, we consider the problem of estimating an unknown matrix of probabilities on the basis of observations of negative…

In distributionally robust optimization the probability distribution of the uncertain problem parameters is itself uncertain, and a fictitious adversary, e.g., nature, chooses the worst distribution from within a known ambiguity set. A…

The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…

In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…

Hidden regular variation is a sub-model of multivariate regular variation and facilitates accurate estimation of joint tail probabilities. We generalize the model of hidden regular variation to what we call hidden domain of attraction. We…

Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…

This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…

In this article, we define a matrix multinomial distribution. We prove some properties of the matrix multinomial distribution. We prove that the matrix Poisson distribution can be used as an approximation to the matrix multinomial…

We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRisk+ approach, and as such they formally describe default…

We apply the theory of linear recurrence sequences to find an expression for the ultimate ruin probability in a discrete-time risk process. We assume the claims follow an arbitrary distribution with support $\{0,1,\ldots,m\}$, for some…

The class of subweibull distributions has recently been shown to generalize the important properties of subexponential and subgaussian random variables. We describe alternative characterizations of subweibull distributions and detail the…

This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is…

We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents' and system's losses follow generalized exponential mixture…

We present an approach to the dynamic valuation of exposure risks in the multi-period setting, which incorporates a dynamic and multiple diversification of risks in Pareto optimal sense. This approach extends classical indifference premium…