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pro vyhledávání: '"Papaioannou, Apostolos D."'
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 develop the Gerber-Shiu theory for the classic and dual discrete risk processes in a Markovian (regime switching) environment. In particular, by expressing the Gerber-Shiu function in terms of potential measures of an upward (downwar
Externí odkaz:
http://arxiv.org/abs/2207.05339
Publikováno v:
In Applied Mathematics and Computation 15 April 2024 467
In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin probability,
Externí odkaz:
http://arxiv.org/abs/1708.06785
Akademický článek
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Publikováno v:
Modern Stochastics: Theory & Applications; Aug2024, Vol. 11 Issue 4, p459-478, 20p
Publikováno v:
In Insurance Mathematics and Economics September 2019 88:273-282
Autor:
Papaioannou, Apostolos D.1 (AUTHOR), Ramsden, Lewis2 (AUTHOR) lewis.ramsden@york.ac.uk
Publikováno v:
Risks. Jan2023, Vol. 11 Issue 1, p1. 21p.
Publikováno v:
In Journal of Computational and Applied Mathematics 15 March 2017 313:38-53
Publikováno v:
In Journal of Computational and Applied Mathematics 1 December 2013 253:26-50