Results 21 to 30 of about 594 (68)

A Lundberg-type inequality for an inhomogeneous renewal risk model

, 2015
We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times.
Andrulytė, Ieva Marija, Bernackaitė, Emilija, Kievinaitė, Dominyka, Šiaulys, Jonas   +3 more
core   +1 more source

Generalized Hoeffding-Fréchet functionals and mass transportation

Dependence Modeling
This note is concerned with some historical remarks on and a partial review of two interesting mathematical subjects, the generalized Hoeffding-Fréchet functionals and the Monge-Kantorovich mass transportation problem.
Rüschendorf Ludger
doaj   +1 more source

Convergence of Estimated Option Price in a Regime switching Market

, 2016
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition rate, to meet the
Goswami, Anindya, Nandan, Sanket
core   +1 more source

On the Lebesgue Property of Monotone Convex Functions

, 2013
The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space, (2) the ...
Owari, Keita
core   +1 more source

Large deviations for a damped telegraph process

, 2013
In this paper we consider a slight generalization of the damped telegraph process in Di Crescenzo and Martinucci (2010). We prove a large deviation principle for this process and an asymptotic result for its level crossing probabilities (as the level ...
A Crescenzo Di, A Dembo, A Gregorio De, A Martin-Löf, B Djehiche, C Macci, C Mazza, E Orsingher, J Janssen, J Janssen, K Duffy, K Duffy, L Beghin, P Embrechts, P Ney, P Ney, P Ney, S Asmussen, T Lehtonen, T Lehtonen, T Rolski   +20 more
core   +1 more source

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk

, 2018
Let $\{\xi_1,\xi_2,\ldots\}$ be a sequence of independent but not necessarily identically distributed random variables. In this paper, the sufficient conditions are found under which the tail probability $\mathbb{P}(\sup_{n\geqslant0}\sum_{i=1}^n\xi_i>x)$
Kievinaitė, Dominyka, Šiaulys, Jonas
core   +1 more source

The var at risk [PDF]

I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.value-at ...
Alfred Galichon
core   +3 more sources

Tail Behaviour of Weighted Sums of Order Statistics of Dependent Risks [PDF]

, 2014
Let $X_{1},\ldots ,X_{n}$ be $n$ real-valued dependent random variables. With motivation from Mitra and Resnick (2009), we derive the tail asymptotic expansion for the weighted sum of order statistics $X_{1:n}\leq \cdots \leq X_{n:n}$ of $X_{1},\ldots ...
Hashorva, Enkelejd, Li, Jinzhi
core   +3 more sources

Exact joint laws associated with spectrally negative Levy processes and applications to insurance risk theory [PDF]

, 2013
We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and the duration of ...
Yin, Chuancun, Yuen, Kam Chuen
core   +2 more sources

Convexity, translation invariance and subadditivity for $g$-expectations and related risk measures

, 2008
Under the continuous assumption on the generator $g$, Briand et al. [Electron. Comm. Probab. 5 (2000) 101--117] showed some connections between $g$ and the conditional $g$-expectation $({\mathcal{E}}_g[\cdot|{\mathcal{F}}_t])_{t\in[0,T]}$ and Rosazza ...
Jiang, Long
core   +1 more source