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Incorporating Climate Risk into Credit Risk Modeling: An Application in Housing Finance
FinTech, 2023 This paper examines the integration of climate risks into structural credit risk models. We focus on applications in housing finance and argue that mortgage defaults due to climate disasters have different statistical features than default due to ...
Alexandra Lefevre, Agnes Tourin
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Advances in Difference Equations, 2021 In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random observation times.
Wenguang Yu +5 more
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On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model
Mathematics, 2020 In this paper, we assume that the reserve level of an insurance company can only be observed at discrete time points, then a new risk model is proposed by introducing a periodic capital injection strategy and a barrier dividend strategy into the ...
Wenguang Yu +8 more
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Modelling dependence between risk profiles through the Farlie-Gumbel-Morgenstern family in the compound Poisson-Lindley risk model [PDF]
Insurance Markets and Companies, 2011 M. Martel +2 more
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Optimal dividend policies for piecewise-deterministic compound Poisson risk models [PDF]
Scandinavian Actuarial Journal, 2013 This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, which were only previously treated ...
Runhuan Feng +3 more
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On a Bivariate Poisson Negative Binomial Risk Process
Biomath, 2014 In this paper we define a bivariate counting process as a compound Poisson process with bivariate negative binomial compounding distribution. We investigate some of its basic properties, recursion formulas and probability mass function.
Krasimira Kostadinova, Leda Minkova
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On the Expected Discounted Penalty Function Using Physics-Informed Neural Network
Journal of Mathematics, 2023 We study the expected discounted penalty at ruin under a stochastic discount rate for the compound Poisson risk model with a threshold dividend strategy. The discount rate is modeled by a Poisson process and a standard Brownian motion.
Jiayu Wang, Houchun Wang
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A compound Poisson risk model with proportional investment
Journal of Computational and Applied Mathematics, 2013 This paper considers the compound Poisson risk model with a threshold dividend strategy and proportional investment. The goal here is to investigate the expected discounted dividend payments and the expected penalty-reward function. Integro-differential equations with certain boundary conditions are derived.
Chen, Xu, Ou, Hui
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A Stochastic String with a Compound Poisson Process
Abstract and Applied Analysis, 2013 We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process.
Sheng Fan
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Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model
Mathematics, 2019 In this paper, we consider the Wiener−Poisson risk model, which consists of a Wiener process and a compound Poisson process. Given the discrete record of observations, we use a threshold method and a regularized Laplace inversion technique to ...
Honglong You, Yuan Gao
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