Search Results - subject:"Compound Poisson process"

A note on a modified Parisian ruin concept

Cheung, Eric C. K.; Wong, Jeff T. Y. - In: Risks : open access journal 11 (2023) 3, pp. 1-15

Traditionally, Parisian ruin is said to occur when the insurer's surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grace period has been granted when the surplus becomes...

Persistent link: https://www.econbiz.de/10014246393

Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches

Strietzel, Philipp Lukas; Heinrich, Henriette Elisabeth - In: Risks : open access journal 10 (2022) 6, pp. 1-23

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of...

Persistent link: https://www.econbiz.de/10013363123

A 2×2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$2~{\times }~2$$\end{document} random switching model and its dual risk model

Behme, Anita; Strietzel, Philipp Lukas - In: Queueing Systems 99 (2021) 1-2, pp. 27-64

In this article, a special case of two coupled M/G/1-queues is considered, where two servers are exposed to two types of jobs that are distributed among the servers via a random switch. In this model, the asymptotic behavior of the workload buffer exceedance probabilities for the two single...

Persistent link: https://www.econbiz.de/10014501852

Stochastic interest model driven by compound Poisson process and Brownian motion with applications in life contingencies

Li, Shilong; Zhao, Xia; Yin, Chuancun; Huang, Zhiyue - In: Quantitative finance and economics 2 (2018) 1, pp. 246-260

Persistent link: https://www.econbiz.de/10012137937

Stable weak approximation at work in index-linked catastrophe bond pricing

Burnecki, Krzysztof; Giuricich, Mario Nicoló - In: Risks 5 (2017) 4, pp. 1-19

We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using the weak convergence of compound renewal processes to a-stable...

Persistent link: https://www.econbiz.de/10011996558

Stable weak approximation at work in index-linked catastrophe bond pricing

Burnecki, Krzysztof; Giuricich, Mario Nicoló - In: Risks : open access journal 5 (2017) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011783782

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Standard empirical investigations of jump dynamics in returns and volatility are fairly complicated due to the presence of latent continuous-time factors. We present a new discrete-time framework that combines heteroskedastic processes with rich specifications of jumps in returns and volatility....

Persistent link: https://www.econbiz.de/10004976985

Recovery Process Model

Itoh, Yuki - Graduate School of Economics, Hitotsubashi University - 2008

process by a homogeneous compound Poisson process and extend our model to an inhomogeneous compound Poisson process. Interest … methods of calculating the transition density of an inhomogeneous compound Poisson process is necessary for calculating the … methods. Therefore we propose the new procedure for calculating it by a piecewise homogeneous compound Poisson process. …

Persistent link: https://www.econbiz.de/10004992570

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial … driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing … to the problems (2.4) and (5.1) in a jump-diffusion model driven by a Brownian motion and a compound Poisson process with …

Persistent link: https://www.econbiz.de/10005489963

Testing for unit roots in autoregressions with multiple level shifts

Cavaliere, Giuseppe; Georgiev, Iliyan - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2006

The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...

Persistent link: https://www.econbiz.de/10011228078