相关论文: Uniform bounds for ruin probability in Multidimens…

We derive the steady state properties of a general directed ``sandpile'' model in one dimension. Using a central limit theorem for dependent random variables we find the precise conditions for the model to belong to the universality class…

In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk model. Examples are provided when the generic claim size is…

We revisit classical asymptotics when testing for a structural break in linear regression models by obtaining the limit theory of residual-based and Wald-type processes. First, we establish the Brownian bridge limiting distribution of these…

The classical Cram\'er-Lundberg risk process models the ruin probability of an insurance company experiencing an incoming cash flow - the premium income, and an outgoing cash flow - the claims. From a system's viewpoint, the web of…

We provide a general constrained risk inequality that applies to arbitrary non-decreasing losses, extending a result of Brown and Low [Ann. Stat. 1996]. Given two distributions $P_0$ and $P_1$, we find a lower bound for the risk of…

We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stochastic economic environment and study the extremes for some related Markovian processes which arise in financial and insurance mathematics,…

In this paper, we consider the problem of binary classification with a class of general deep convolutional neural networks, which includes fully-connected neural networks and fully convolutional neural networks as special cases. We…

We study a one-dimensional diffusion process in a drifted Brownian potential. We characterize the upper functions of its hitting times in the sense of Paul L\'evy, and determine the lower limits in terms of an iterated logarithm law.

We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small…

This paper develops a framework for creating damage accumulation models for engineered wood products by invoking the classical theory of non--dimensionalization. The result is a general class of such models. Both the US and Canadian damage…

We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural…

Following an article by Muller and Pflug, we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator of this coefficient, and perform some simulations.

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…

In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time $d>0$. We identify expressions for the ruin probabilities within…

We consider parameterized exponential integrals coming from the time evolution of the probability distribution of Brownian motion on globally subanalytic sets. We establish definability results and asymptotic expansions.

The paper investigates a discrete time Binomial risk model with different types of polices and shock events may influence some of the claim sizes. It is shown that this model can be considered as a particular case of the classical compound…

In this paper, we develop a general machinery for finding explicit uniform probability and moment bounds on sub-additive positive functionals of random processes. Using the developed general technique, we derive uniform bounds on the…

Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1)$ and define the joint survival probability of both supremum functionals $\pi_\rho(c_1,c_2; u,…

This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the…

This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual…