相关论文: Probabilistic approach to risk processes with leve…

We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a…

This paper studies optimal insurance design under asymmetric information in a Stackelberg framework, where a monopolistic insurer faces uncertainty about both the insured's risk attitude, captured by a risk-aversion parameter, and the…

Important models in insurance, for example the Carm{\'e}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arrival times of insurance claims. This paper extends the…

We construct a non-decreasing pure jump Markov process, whose jump measure heavily depends on the values taken by the process. We determine the singularity spectrum of this process, which turns out to be random and to depend locally on the…

We consider a surplus process of drifted fractional Brownian motion with the Hurst index $H>1/2$, which appears as a functional limit of drifted compound Poisson risk models with correlated claims, and this is a kind of representation of a…

We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…

This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded.…

In this paper, we introduce a time-continuous production model that enables random machine failures, where the failure probability depends historically on the production itself. This bidirectional relationship between historical failure…

This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-variance premium principle. To eliminate potential moral…

We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show…

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…

The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber--Shiu…

Controlled discrete time Markov processes are studied first with long run general discounting functional. It is shown that optimal strategies for average reward per unit time problem are also optimal for average generally discounting…

We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization…

We consider the multivariate risk model with common renewal process among the lines of business, and Brownian perturbations. Assuming that the integrated tail distribution of claims is multivariate subexponential, we establish an asymptotic…

We analyze the probability of ruin for the {\it scaled} classical Cram\'er-Lundberg (CL) risk process and the corresponding diffusion approximation. The scaling, introduced by Iglehart \cite{I1969} to the actuarial literature, amounts to…

This paper investigates the Parisian ruin probability for processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptotics as the ruin boundary tends to infinity and extend the previous…

We focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration…

We provide a necessary and sufficient condition for the metastability of a Markov chain, expressed in terms of a property of the solutions of the resolvent equation. As an application of this result, we prove the metastability of…

In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…