相关论文: Ruin Probabilities for Risk Processes in Stochasti…

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…

We study the discrete time risk process modelled by the skip-free random walk and we derive the results connected to the ruin probability, such as crossing the fixed level, for this kind of process. We use the method relying on the…

We consider a $d-$dimensional insurance network, with initial capital $a\in\R^d_+,$ operating under a risk diversifying treaty; this is described in terms of a regulated random walk $\{Z^{(a)}_n\}$ via Skorokhod problem in $\R^d_+$ with…

In Probabilistic Risk Management, risk is characterized by two quantities: the magnitude (or severity) of the adverse consequences that can potentially result from the given activity or action, and by the likelihood of occurrence of the…

We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to…

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)…

A certain complexity threshold is proposed which defines the term `complex network' for RSN, e.g. Kauffman networks with s>=2 - more than two equally probable state variants. Such Kauffman networks are no longer Boolean networks. RSN are…

In this correspondence, a novel framework is proposed for analyzing data offloading in a multi-access edge computing system. Specifically, a two-phase algorithm, is proposed, including two key phases: 1) user association phase and 2) task…

Threshold rules of spreading in binary-state networks lead to cascades. We study persistent cascade-recovery dynamics on quasi-robust networks, i.e., networks which are robust against small trigger but may collapse for larger one. It is…

We consider propagation models that describe the spreading of an attribute, called "damage", through the nodes of a random network. In some systems, the average fraction of nodes that remain undamaged vanishes in the large system limit, a…

The study of the response of complex dynamical social, biological, or technological networks to external perturbations has numerous applications. Random Boolean Networks (RBNs) are commonly used a simple generic model for certain dynamics…

The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.

A high order expansion of the renewal function is provided under the assumption that the inter-renewal time distribution is light tailed with finite moment generating function g on a neighborhood of 0. This expansion relies on complex…

We study a network formation game where agents receive benefits by forming connections to other agents but also incur both direct and indirect costs from the formed connections. Specifically, once the agents have purchased their…

An important aspect in jointly analysing networked control systems and their communication is to model the networking in a sufficiently rich but at the same time mathematically tractable way. As such, this paper improves on a recently…

This paper considers the problem of detecting impaired and noisy nodes over network. In a distributed algorithm, lots of processing units are incorporating and communicating with each other to reach a global goal. Due to each one's state in…

This paper deals with the detection and prediction of losses due to cyber attacks waged on vital networks. The accumulation of losses to a network during a series of attacks is modeled by a 2-dimensional monotone random walk process as…

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance…

In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a…

We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly…