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

We study a model in which shocks propagate along a path chosen by agents embedded in a network. When a shock hits an agent, the affected agent cancels one of her outgoing edges. This cancellation cascades sequentially along a chosen path…

Herein, design of false data injection attack on a distributed cyber-physical system is considered. A stochastic process with linear dynamics and Gaussian noise is measured by multiple agent nodes, each equipped with multiple sensors. The…

The classical Cramer-Lundberg model was the first attempt to describe the financial condition of the insurance company. The incomes were approximated by a steady stream of money, insurance payments were not limited and could take any value…

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…

Predicting the location where a lost person could be found is crucial for search and rescue operations with limited resources. To improve the precision and efficiency of these predictions, simulated agents can be created to emulate the…

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.

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…

This paper considers the ruin problem with random premiums, whose densities have rational Laplace transforms, and investments in a risky asset whose price follows a geometric Brownian motion. The asymptotic behavior of the ruin probability…

We present an algorithm for generating random networks with arbitrary degree distribution and Clustering (frequency of triadic closure). We use this algorithm to generate networks with exponential, power law, and poisson degree…

For two nonstandard renewal risk models, we investigate the precise large deviations of the finite-time ruin probability and a random sum of the net-loss process, and the asymptotics of the random-time ruin probability. Notably, in one of…

We study damage spreading among the opinions of a system of agents, subjected to the dynamics of the Krause-Hegselmann consensus model. The damage consists in a sharp change of the opinion of one or more agents in the initial random opinion…

Large language models (LLMs) are evolving into autonomous decision-makers, raising concerns about catastrophic risks in high-stakes scenarios, particularly in Chemical, Biological, Radiological and Nuclear (CBRN) domains. Based on the…

We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the…

Redistribution systems iteratively redistribute mass between groups under the control of rules. PRAM is a framework for building redistribution systems. We discuss the relationships between redistribution systems, agent-based systems,…

In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{e}vy insurance risk process. For this…

Large Language Model (LLM)-based Multi-Agent Systems (MASs) are increasingly deployed for agentic tasks, such as web automation, itinerary planning, and collaborative problem solving. Yet, their interactive nature introduces new security…

In this note we find a formula for the supremum distribution of spectrally positive or negative L\'evy processes with a broken linear drift. This gives formulas for ruin probabilities in the case when two insurance companies (or two…

We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We…

In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.

An agent acquires information dynamically until her belief about a binary state reaches an upper or lower threshold. She can choose any signal process subject to a constraint on the rate of entropy reduction. Strategies are ordered by "time…