相关论文: Finite-Time Ruin for the Compound Markov Binomial …
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 studied metastability and extinction time of a finite system with a large number of interacting components in discrete time by means of analytical and numerical investigation. The system is markovian with respect to the potential profile…
This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is…
This paper studies proportional risk sharing at claim occurrence time in community-based insurance. Each participant is modeled by an individual Cram\'er-Lundberg surplus process, and, whenever a claim is reported within the pool, its cost…
We study the problem of characterizing the expected hitting times for a robust generalization of continuous-time Markov chains. This generalization is based on the theory of imprecise probabilities, and the models with which we work…
The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with…
Contemporary insurance theory is concentrated on models with different types of polices and shock events may influence the payments on some of them. Jordanova (2018) considered a model where a shock event contributes to the total claim…
Probabilistic model checking for systems with large or unbounded state space is a challenging computational problem in formal modelling and its applications. Numerical algorithms require an explicit representation of the state space, while…
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and…
We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the…
We consider discrete-space continuous-time Markov models of reaction networks and provide sufficient conditions for the following stability condition to hold: each state in a closed, irreducible component of the state space is positive…
Consider a finite number of balls initially placed in $L$ bins. At each time step a ball is taken from each non-empty bin. Then all the balls are uniformly reassigned into bins. This finite Markov chain is called Repeated Balls-into-Bins…
Let $B(t), t\in \mathbb{R}$ be a standard Brownian motion. In this paper, we derive the exact asymptotics of the probability of Parisian ruin on infinite time horizon for the following risk process \begin{align}\label{Rudef}…
We introduce a class of continuous-time bivariate phase-type distributions for modeling dependencies from common shocks. The construction uses continuous-time Markov processes that evolve identically until an internal common-shock event,…
In this paper, the recurrent events that can occur more than one over the follow-up time have been modeled by phase-type distributions. We use the finite-state continuous-time Markov process with multi states for patients with recurrent…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
It is known that state-dependent, multi-step Lyapunov bounds lead to greatly simplified verification theorems for stability for large classes of Markov chain models. This is one component of the "fluid model" approach to stability of…
In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{\'e}vy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin…