相关论文: Discrete time risk models with m-dependent random …

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…

In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate process and firm value process. We assume that the default event…

We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…

In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the…

Motivated by a bidimensional discrete-time risk model in insurance, we study the second-order asymptotics for two kinds of tail probabilities of the stochastic discounted value of aggregate net losses including two business lines. These are…

This paper studies the problem of distributionally robust model predictive control (MPC) using total variation distance ambiguity sets. For a discrete-time linear system with additive disturbances, we provide a conditional value-at-risk…

A class of multivariate mixed survival models for continuous and discrete time with a complex covariance structure is introduced in a context of quantitative genetic applications. The methods introduced can be used in many applications in…

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…

Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and…

One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal…

In this paper, we build on the techniques developed in Albrecher et al. (2013), to generate initial-boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

In this paper we propose several variants to perform the independence test between two random elements based on recurrence rates. We will show how to calculate the test statistic in each one of these cases. From simulations we obtain that…

The problem of the estimation of relevance to a set of histograms generated by samples of a discrete time process is discussed on the base of the variational principles proposed in the previous paper [1]. Some conditions for dimension…

This article shows how to specify and construct a discrete, stochastic, continuous-time model specifically for ecological systems. The model is more broad than typical chemical kinetics models in two ways. First, using time-dependent hazard…

This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is…

In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance…

In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…

The ratio $P(S_n=x)/P(Z_n=x)$ is investigated for three cases: (a) when $S_n$ is a sum of 1-dependent non-negative integer-valued random variables (rvs), satisfying some moment conditions, and $Z_n$ is Poisson rv; (b) when $S_n$ is a…

In this paper, we give a Breiman's theorem for conditional dependent random vector, where one component has a regularly-varying-tailed distribution with the index $\alpha\ge0$ and its slowly varying function satisfies a relaxed condition,…