相关论文: Modified ruin probability for a Cram\'er-Lundberg …

We propose in this paper a random intercept Poisson model in which the random effect distribution is assumed to follow a generalized log-gamma (GLG) distribution. We derive the first two moments for the marginal distribution as well as the…

We study the discrete time risk process modelled by the skip-free random walk and we derive the results connected to the ruin probability, such as crossing the fixed level, for this kind of process. We use the method relying on the…

The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions.} Under the condition that the two Brownian motions $\{B_1(t), t\ge 0\}$ and…

Gini-type correlation coefficients have become increasingly important in a variety of research areas, including economics, insurance and finance, where modelling with heavy-tailed distributions is of pivotal importance. In such situations,…

In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…

In order to describe the dynamics of crowded ions (charged particles), we use an energetic variation approach to derive a modified Poisson-Nernst-Planck (PNP) system which includes an extra dissipation due to the effective velocity…

In this paper, we generalise the results presented in the literature for the ruin probability for the insurer--reinsurer model under a pro-rata reinsurance contract. We consider claim amounts that are described by a phase-type distribution…

We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times…

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…

In this work, we establish risk bounds for the Empirical Risk Minimization (ERM) with both dependent and heavy-tailed data-generating processes. We do so by extending the seminal works of Mendelson [Men15, Men18] on the analysis of ERM with…

We study the so-called pinning model, which describes the behavior of a Markov chain interacting with a distinguished state. The interaction depends on an external source of randomness, called disorder, which can attract or repel the Markov…

We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset. The price of the latter is assumed to…

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

We investigate the class of $\sigma$-stable Poisson-Kingman random probability measures (RPMs) in the context of Bayesian nonparametric mixture modeling. This is a large class of discrete RPMs which encompasses most of the the popular…

This paper presents a novel model for bivariate stochastic fluid processes that incorporate a ruin-dependent behavioral switch. Unlike typical models that assume a shared underlying process, our model allows each process to operate…

In this paper, the problem of distributed optimization is studied via a network of agents. Each agent only has access to a noisy gradient of its own objective function, and can communicate with its neighbors via a network. To handle this…

Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…

For both reactions we use an approach similar to that of compound-nucleus reaction theory. For neutron-induced fission, we describe the compound system generated by absorption of the neutron and the nuclear system near the scission point as…

We present a mixture Poisson model for claims counts in which the number of components in the mixture are estimated by reversible jump MCMC methods.

Let $\left\{\sum_{i=1}^n \lambda_i X_i(t), t\in [0,T]\right\}$ be an aggregate Gaussian risk process with $X_i, i\leq n$ independent Gaussian processes satisfying Piterbarg conditions and $\lambda_i$'s given positive weights. In this paper…