Zobrazeno 1 - 10
of 112
pro vyhledávání: '"Zbigniew Palmowski"'
Publikováno v:
Risks, Vol 11, Iss 4, p 64 (2023)
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 Cramér risk process, with exponentially distributed claims, when the init
Externí odkaz:
https://doaj.org/article/1c4028e5d3d9421ebee9d252a6920635
Autor:
Costantino Di Bello, Aleksei V Chechkin, Alexander K Hartmann, Zbigniew Palmowski, Ralf Metzler
Publikováno v:
New Journal of Physics, Vol 25, Iss 8, p 082002 (2023)
Stochastic resetting is a rapidly developing topic in the field of stochastic processes and their applications. It denotes the occasional reset of a diffusing particle to its starting point and effects, inter alia, optimal first-passage times to a ta
Externí odkaz:
https://doaj.org/article/b8e8383fc9564c77aaafd70aff3f33c6
Publikováno v:
Risks, Vol 9, Iss 9, p 157 (2021)
In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes. Applying t
Externí odkaz:
https://doaj.org/article/55b66dbd3a3f4c428c0b8ac21d1c00e5
Autor:
Zbigniew Palmowski
Publikováno v:
Mathematics, Vol 8, Iss 11, p 1988 (2020)
In this paper, I analyze the distributional properties of the busy period in an on-off fluid queue and the first passage time in a fluid queue driven by a finite state Markov process. In particular, I show that the first passage time has a IFR distri
Externí odkaz:
https://doaj.org/article/e2a1f56830254bbf9bb9683095c96312
Autor:
Zbigniew Palmowski, Tomasz Serafin
Publikováno v:
Risks, Vol 8, Iss 3, p 90 (2020)
In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlyi
Externí odkaz:
https://doaj.org/article/d1f88282ccf04d11af306928f58262e2
Publikováno v:
Risks, Vol 7, Iss 1, p 34 (2019)
We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into acco
Externí odkaz:
https://doaj.org/article/8091f41a82df47a296dc5ee3af5b71e3
Publikováno v:
Risks, Vol 4, Iss 2, p 17 (2016)
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspi
Externí odkaz:
https://doaj.org/article/951e3afcdc7f43e1ba590e3d1ae0a067
Autor:
Zbigniew Palmowski
Publikováno v:
Scandinavian Actuarial Journal. 2022:565-590
In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider few versions of the ruin time.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b99977a282f249aa955fec9822d41c7e
https://doi.org/10.1080/03461238.2021.1998923
https://doi.org/10.1080/03461238.2021.1998923
Autor:
Zbigniew Palmowski
Publikováno v:
Queueing Systems. 100:329-331
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cc9209e18ea52e707afb76f9c81789c3
https://doi.org/10.1007/s11134-022-09744-z
https://doi.org/10.1007/s11134-022-09744-z
Publikováno v:
Queueing Systems, 98(3-4), 225-245. Springer Netherlands
Queueing Systems, 98(3-4), 225-245. Springer
Queueing Systems, 98(3-4), 225-245. Springer
This paper presents an analysis of the stochastic recursion $$W_{i+1} = [V_iW_i+Y_i]^+$$ W i + 1 = [ V i W i + Y i ] + that can be interpreted as an autoregressive process of order 1, reflected at 0. We start our exposition by a discussion of the mod
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9f3587f43cc12b8b0cbb3e08aaebad66
https://doi.org/10.1007/s11134-021-09698-8
https://doi.org/10.1007/s11134-021-09698-8