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A large deviations approach to limit theory for heavy-tailed time series [PDF]
, 2015 In this paper we propagate a large deviations approach for proving limit theory for (generally) multivariate time series with heavy tails. We make this notion precise by introducing regularly varying time series.
Mikosch, T., Wintenberger, O.
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An excursion theoretic approach to Parisian ruin problem [PDF]
arXiv, 2023 Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin problem for L\'evy risk processes in terms of integrals with respect to excursion measure for spectrally negative L\'evy process. We show that these new expressions reconcile with the previous results on Parisian ruin problem.
arxiv
Optimal Premium as a Function of the Deductible: Customer Analysis and Portfolio Characteristics
Risks, 2016 An insurance company offers an insurance contract ( p , K ) , consisting of a premium p and a deductible K. In this paper, we consider the problem of choosing the premium optimally as a function of the deductible. The insurance company is facing a
Julie Thøgersen
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Desert and ruins — landscapes of anger and traces of unbelief (landscape and Scripture)
Российский журнал истории Церкви, 2020 The article treats of the experience of using two fundamental motives in architectural semantics — “desert” and “ruin” in order to resolve the hermeneutic paradox, which is peculiar to sacred architecture, considered in the context of Abrahamic tradition:
S. S. Vaneyan
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Extinction in a branching process: Why some of the fittest strategies cannot guarantee survival [PDF]
, 2013 The fitness of a biological strategy is typically measured by its expected reproductive rate, the first moment of its offspring distribution. However, strategies with high expected rates can also have high probabilities of extinction. A similar situation
Klaere, Steffen, Sawaya, Sterling
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Estimating the finite-time ruin probability of a surplus with a long memory via Malliavin calculus [PDF]
arXiv, 2022 We consider a surplus process of drifted fractional Brownian motion with the Hurst index $H>1/2$, which appears as a functional limit of drifted compound Poisson risk models with correlated claims, and this is a kind of representation of a surplus with a long memory.
arxiv
A note on positive supermartingales in ruin theory [PDF]
Blätter der DGVFM, 1989 In this note, we present an elementary proof of Kolmogorov’s inequality for positive supermartingales and an application of this inequality to the ruin problem for a class of surplus processes for which an adjustment coefficient need to exist.
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Revista Alicantina de Estudios Ingleses, 2018 Physical forms of ruin and psychological forms of ruination is an area within spatial theory that will enhance literary studies, especially literature of the First World War.
Patterson, Jonathan
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Austrian Journal of Statistics, 2023 The paper studies distribution of sum of random processes from Orlicz spaces of exponential type weighted by continuous functions, in particular, processes from spaces Subϕ (Ω), SSubϕ (Ω) and class V (ϕ, ψ) are considered.
Dmytro Tykhonenko, Rostyslav Yamnenko
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Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events
Risks, 2023 This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of
Elroi Hadad, Tomer Shushi, Rami Yosef
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