相关论文: Ruin probabilities and decompositions for general …

Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…

We explore the concept of a consistent exchangeable survival process - a joint distribution of survival times in which the risk set evolves as a continuous-time Markov process with homogeneous transition rates. We show a correspondence with…

In this article we differentiate and characterize the standard two-process serial models and the standard two process parallel models by investigating the behavior of (conditional) distributions of the total completion times and survivals…

We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes…

In this note we consider the two-dimensional risk model introduced in Avram et al. \cite{APP08} with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite…

We present two iterative methods for computing the global and partial extinction probability vectors for Galton-Watson processes with countably infinitely many types. The probabilistic interpretation of these methods involves truncated…

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…

The classical Cramer-Lundberg model was the first attempt to describe the financial condition of the insurance company. The incomes were approximated by a steady stream of money, insurance payments were not limited and could take any value…

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…

This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…

We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…

We study the asymptotic behaviour of the survival probability of a multi-type branching processes in random environment. The class of processes we consider corresponds, in the one-dimensional situation, to the intermediately subcritical…

In this paper we provide an expansion formula for Hawkes processes which involves the addition of jumps at deterministic times to the Hawkes process in the spirit of the well-known integration by parts formula (or more precisely the Mecke…

In this paper we introduce a mixture cure model with a linear hazard rate regression model for the event times. Cure models are statistical models for event times that take into account that a fraction of the population might never…

We consider perturbations of positive recurrent Markov modulated fluid models. In addition to the infinitesimal generator of the phases, we also perturb the rate matrix, and analyze the effect of those perturbations on the matrix of first…

This paper concerns an insurance firm's surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an…

We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,\dots$) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model…

We provide a general constrained risk inequality that applies to arbitrary non-decreasing losses, extending a result of Brown and Low [Ann. Stat. 1996]. Given two distributions $P_0$ and $P_1$, we find a lower bound for the risk of…

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…

We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent L\'evy processes. Our main interest is the model describing the evolution of the capital reserve of an…