相关论文: A ruin model with a resampled environment
We introduce the hybrid risk process, constructed via a time-change transformation applied to the solution of a hybrid stochastic differential equation. The framework covers several modern ruin settings, incorporating features like…
This paper investigates a dividend optimization problem with a positive creeping-associated terminal value at ruin for spectrally negative Levy processes. We consider an insurance company whose surplus process evolves according to a…
In this work, we consider extensions of the dual risk model with proportional gains by introducing a dependence structure between gain sizes and gain interrarrival times. Among others, we further consider the case where the proportional…
In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in…
We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process.…
This paper aims at semi-parametrically estimating the input process to a L\'evy-driven queue by sampling the workload process at Poisson times. We construct a method-of-moments based estimator for the L\'evy process' characteristic…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
We determine forest lease value and optimal harvesting strategies under model parameter uncertainty within stochastic bio-economic models that account for catastrophe risk. Catastrophic events are modeled as a Poisson point process, with a…
Accurate prediction of remaining useful life under creep conditions is essential for the structural reliability of high-temperature components in critical engineering systems. Traditional approaches based on deterministic parametric models…
We review basic modeling approaches for failure and maintenance data from repairable systems. In particular we consider imperfect repair models, defined in terms of virtual age processes, and the trend-renewal process which extends the…
In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result,…
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de…
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…
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 a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic than most of the existing alternatives, but triggers…
During a random search, resetting the searcher's position from time to time to the starting point often reduces the mean completion time of the process. Although many different resetting models have been studied over the past ten years,…
Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for one time period, representing real-world…
We consider a L\'evy process $Y(t)$ that is not permanently observed, but rather inspected at Poisson($\omega$) moments only, over an exponentially distributed time $T_\beta$ with parameter $\beta$. The focus lies on the analysis of the…
This paper analyses a system subject to multiple dependent degradation processes. Degradation processes start at random times following a non homogeneous Poisson process and next dependently propagate. The growth of these degradation…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…