Zobrazeno 1 - 10
of 443
pro vyhledávání: '"Palmowski, Zbigniew"'
In this paper we consider a multidimensional random walk killed on leaving a right circular cone with a distribution of increments belonging to the normal domain of attraction of an $\alpha$-stable and rotationally-invariant law with $\alpha \in (0,2
Externí odkaz:
http://arxiv.org/abs/2409.18200
We study a branching random walk with independent and identically distributed, heavy tailed displacements. The offspring law is supercritical and satisfies the Kesten-Stigum condition. We treat the case when the law of the displacements does not lie
Externí odkaz:
http://arxiv.org/abs/2404.17953
In this paper, we solve exit problems for a level-dependent L\'evy processes which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolvents. All identities are g
Externí odkaz:
http://arxiv.org/abs/2307.16721
In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed and heavy-tailed case of the claim sizes. Main technique is based on
Externí odkaz:
http://arxiv.org/abs/2304.03075
We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L\'evy process, both with negative drift, over random time horizon $\tau$ that does not depend on the future in
Externí odkaz:
http://arxiv.org/abs/2303.17315
We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cram\'er risk process, with exponentially distributed claims, when the ini
Externí odkaz:
http://arxiv.org/abs/2303.11827
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 that inclu
Externí odkaz:
http://arxiv.org/abs/2303.07705
Publikováno v:
Bernoulli, 2024, 30(4), 2547-2571
In this work, we consider moments of exponential functionals of L\'{e}vy processes on a deterministic horizon. We derive two convolutional identities regarding these moments. The first one relates the complex moments of the exponential functional of
Externí odkaz:
http://arxiv.org/abs/2303.02977
We perform the sensitivity analysis of a level-dependent QBD with a particular focus on applications in modelling healthcare systems.
Externí odkaz:
http://arxiv.org/abs/2302.02227
We consider a neighbourhood random walk on a quadrant, $\{(X_1(t),X_2(t),\varphi(t)):t\geq 0\}$, with state space \begin{eqnarray*} \mathcal{S}&=&\{(n,m,i):n,m=0,1,2,\ldots;i=1,2,\ldots,k(n,m)\}. \end{eqnarray*} Assuming start in state $(n,m,i)$, the
Externí odkaz:
http://arxiv.org/abs/2302.02225