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A multi--state life insurance model is naturally described in terms of the intensity matrix of an underlying (time--inhomogeneous) Markov process which describes the dynamics for the states of an insured person. Between and at transitions, benefits a
Externí odkaz:
http://arxiv.org/abs/1905.04605
Autor:
Asmussen, Søren Westh1 (AUTHOR) s.asmussen@rn.dk, Holme, Jacob Metze2 (AUTHOR), Joensen, Kurt2 (AUTHOR), Ibsen, Stine3,4 (AUTHOR), Bøggild, Henrik5 (AUTHOR), Christensen, Erika Frischknecht6,7 (AUTHOR), Lindskou, Tim Alex3 (AUTHOR)
Publikováno v:
BMC Emergency Medicine. 2/15/2024, Vol. 24 Issue 1, p1-7. 7p.
Autor:
Asmussen, Søren, Ivanovs, Jevgenijs
This note provides a factorization of a L\'evy pocess over a phase-type horizon $\tau$ given the phase at the supremum, thereby extending the Wiener-Hopf factorization for $\tau$ exponential. One of the factors is defined using time reversal of the p
Externí odkaz:
http://arxiv.org/abs/1803.00273
We consider sums of $n$ i.i.d. random variables with tails close to $\exp\{-x^\beta\}$ for some $\beta>1$. Asymptotics developed by Rootz\'en (1987) and Balkema, Kl\"uppelberg & Resnick (1993) are discussed from the point of view of tails rather of d
Externí odkaz:
http://arxiv.org/abs/1712.04070
Autor:
Asmussen, Søren, Bladt, Mogens
Publikováno v:
In Stochastic Processes and their Applications August 2022 150:1165-1188
Regular Variation in a Fixed-Point Problem for Single- and Multiclass Branching Processes and Queues
Autor:
Asmussen, Søren, Foss, Sergey
Tail asymptotics of the solution $R$ to a fixpoint problem of type $R =_{st} Q + \sum_1^N R_m$ is derived under heavy-tailed conditions allowing both dependence between $Q$ and $N$ and the tails to be of the same order of magnitude. Similar results a
Externí odkaz:
http://arxiv.org/abs/1709.05140
Autor:
Asmussen, Søren, Ivanovs, Jevgenijs
An obvious way to simulate a L\'evy process $X$ is to sample its increments over time $1/n$, thus constructing an approximating random walk $X^{(n)}$. This paper considers the error of such approximation after the two-sided reflection map is applied,
Externí odkaz:
http://arxiv.org/abs/1708.03948
Let $L_t$ be the longest gap before time $t$ in an inhomogeneous Poisson process with rate function $\lambda_t$ proportional to $t^{\alpha-1}$ for some $\alpha\in(0,1)$. It is shown that $\lambda_tL_t-b_t$ has a limiting Gumbel distribution for suita
Externí odkaz:
http://arxiv.org/abs/1703.09424