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pro vyhledávání: '"Ramsden, Lewis"'
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 (upward skip-free) discrete-time and discrete-space Markov additive chains (MACs) and develop the theory for the so-called $\tilde{W}$ and $\tilde{Z}$ scale matrices. which are shown to play a vital role in the determination
Externí odkaz:
http://arxiv.org/abs/2008.06697
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
Publikováno v:
Modern Stochastics: Theory & Applications; Aug2024, Vol. 11 Issue 4, p459-478, 20p
Akademický článek
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Publikováno v:
In Insurance Mathematics and Economics September 2019 88:273-282
Publikováno v:
In Applied Mathematics and Computation 1 July 2019 352:119-135
Autor:
Papaioannou, Apostolos D.1 (AUTHOR), Ramsden, Lewis2 (AUTHOR) lewis.ramsden@york.ac.uk
Publikováno v:
Risks. Jan2023, Vol. 11 Issue 1, p1. 21p.
In this paper we propose a generalisation to the Markov Arrival Process (MAP) risk model, by allowing for a delayed receipt of required capital injections whenever the surplus of an insurance firm is negative. Delayed capital injections often appear
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::76e8859dad0d45bdca394456cf7ea104
https://eprints.whiterose.ac.uk/161196/8/Dibu2020_Article_DelayedCapitalInjectionsForARi.pdf
https://eprints.whiterose.ac.uk/161196/8/Dibu2020_Article_DelayedCapitalInjectionsForARi.pdf