相关论文: Bankruptcy probabilities under non-Poisson inspect…

We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this…

Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…

If individuals at the highest mortality risk are also least likely to lapse a life insurance policy, then lapse-supported premiums magnify adverse selection costs. As an example, we model 'Term to 100' contracts, and risk as revealed by…

A fundamental concept in two-arm non-parametric survival analysis is the comparison of observed versus expected numbers of events on one of the treatment arms (the choice of which arm is arbitrary), where the expectation is taken assuming…

Structural reliability methods aim at computing the probability of failure of systems with respect to some prescribed performance functions. In modern engineering such functions usually resort to running an expensive-to-evaluate…

Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…

In many stochastic problems, the output of interest depends on an input random vector mainly through a single random variable (or index) via an appropriate univariate transformation of the input. We exploit this feature by proposing an…

Doubly intractable models are encountered in a number of fields, e.g. social networks, ecology and epidemiology. Inference for such models requires the evaluation of a likelihood function, whose normalising factor depends on the model…

For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in…

This paper investigates asymptotic estimates for the entrance probability of the discounted aggregate claim vector from a multivariate renewal risk model into some rare set. We provide asymptotic results for the entrance probability on both…

Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…

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…

For complex latent variable models, the likelihood function is not available in closed form. In this context, a popular method to perform parameter estimation is Importance Weighted Variational Inference. It essentially maximizes the…

In ruin theory, the net profit condition intuitively means that the incurred random claims on average do not occur more often than premiums are gained. The breach of the net profit condition causes guaranteed ruin in few but simple cases…

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…

Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…

If a given aggregate process $S$ is a compound mixed renewal process under a probability measure $P$, we provide a characterization of all probability measures $Q$ on the domain of $P$ such that $Q$ and $P$ are progressively equivalent and…

Recent studies have demonstrated an interesting connection between the asymptotic behavior at ruin of a L\'evy insurance risk process under the Cram\'er-Lundberg and convolution equivalent conditions. For example, the limiting distributions…

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…

The bounded mean betting procedure serves as a crucial interface between the domains of (1) sequential, anytime-valid statistical inference, and (2) online learning and portfolio selection algorithms. While recent work in both domains has…