Results 11 to 20 of about 1,193 (22)

Risk Measures for Classical and Perturbed Risk Processes - a Survey [PDF]

, 2011
2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin ...
T. Kolkovska, Ekaterina
core  

A Simple Approach to Functional Inequalities for Non-local Dirichlet Forms

, 2013
With direct and simple proofs, we establish Poincar\'{e} type inequalities (including Poincar\'{e} inequalities, weak Poincar\'{e} inequalities and super Poincar\'{e} inequalities), entropy inequalities and Beckner-type inequalities for non-local ...
Wang, Jian
core   +1 more source

Copula Relations in Compound Poisson Processes [PDF]

, 2014
We investigate in multidimensional compound Poisson processes (CPP) the relation between the dependence structure of the jump distribution and the dependence structure of the respective components of the CPP itself.
Palmes, Christian
core  

A note on first passage probabilities of a L\'evy process reflected at a general barrier

, 2017
In this paper we analyze a L\'evy process reflected at a general (possibly random) barrier. For this process we prove Central Limit Theorem for the first passage time.
Palmowski, Zbigniew, Świątek, Przemysław   +1 more
core   +1 more source

Limiting behavior of the search cost distribution for the move-to-front rule in the stable case [PDF]

Move-to-front rule is a heuristic updating a list of n items according to requests. Items are required with unknown probabilities (or ppopularities). The induced Markov chain is known to be ergodic [4].
Antonio Lijoi, Christian Paroissin, Fabrizio Leisen   +2 more
core  

Bimonotone Brownian Motion

, 2017
We define bi-monotone independence, prove a bi-monotone central limit theorem and use it to study the distribution of bi-monotone Brownian motion, which is defined as the two-dimensional operator process with monotone and antimonotone Brownian motion as ...
Gerhold, Malte
core  

Spectral calibration of exponential Lévy Models [2] [PDF]

The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way.
Denis Belomestny, Markus Reiß
core  

Poisson-Pinsker factor and infinite measure preserving group actions

, 2009
We solve the question of the existence of a Poisson-Pinsker factor for conservative ergodic infinite measure preserving action of a countable amenable group by proving the following dichotomy: either it has totally positive Poisson entropy (and is of ...
Roy, Emmanuel
core   +1 more source

A stochastic analysis for a triple delayed SIQR epidemic model with vaccination and elimination strategies. [PDF]

J Appl Math Comput, 2020
El Fatini M, Pettersson R, Sekkak I, Taki R.   +3 more
europepmc   +1 more source

The mean field market model revisited. [PDF]

Eur Actuar J
Hasenbichler M, Müller W, Thonhauser S.
europepmc   +1 more source