相关论文: Ruin probabilities for risk processes in a biparti…

The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the price dynamics given by a geometric Brownian motion. We…

Generalized linear models, such as logistic regression, are widely used to model the association between a treatment and a binary outcome as a function of baseline covariates. However, the coefficients of a logistic regression model…

We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes…

Let $\left\{\sum_{i=1}^n \lambda_i X_i(t), t\in [0,T]\right\}$ be an aggregate Gaussian risk process with $X_i, i\leq n$ independent Gaussian processes satisfying Piterbarg conditions and $\lambda_i$'s given positive weights. In this paper…

We investigate cascades in networks consisting of strategic agents with interdependent security. We assume that the strategic agents have choices between i) investing in protecting themselves, ii) purchasing insurance to transfer (some)…

Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…

This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and…

Mechanistic network models specify the mechanisms by which networks grow and change, allowing researchers to investigate complex systems using both simulation and analytical techniques. Unfortunately, it is difficult to write likelihoods…

In this paper, we first define the multivariate tempered space-fractional Poisson process (MTSFPP) by time-changing the multivariate Poisson process with an independent tempered {\alpha}-stable subordinator. Its distributional properties,…

Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ Parisian ruin is defined as a classical ruin that happens over an extended period of time,…

The Norros-Reittu model is a random graph with $n$ vertices and i.i.d. weights assigned to them. The number of edges between any two vertices follows an independent Poisson distribution whose parameter is increasing in the weights of the…

We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy process with zero expectation. We derive a Pollaczek-Hinchin type…

The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric L\'evy process. Considering the ruin probability as a of the capital reserve we obtain for…

The paper considers very general multivariate modifications of Cramer-Lundberg risk model. The claims can be of different types and can arrive in groups. The groups arrival processes within a type have constant intensities. The counting…

This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…

We study the diffusion of influence in random multiplex networks where links can be of $r$ different types, and for a given content (e.g., rumor, product, political view), each link type is associated with a content dependent parameter…

We study the risks of validator reuse across multiple services in a restaking protocol. We characterize the robust security of a restaking network as a function of the buffer between the costs and profits from attacks. For example, our…

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 consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative L\'evy process. The distinctive feature of this extension is that the…

Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…