We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...

In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes. Applying the approximation theory of solutions of linear...

Broken-heart syndrome is the most common form of short-term dependence, inducing a temporary increase in an individual' force of mortality upon the occurrence of extreme events, such as the loss of a spouse. Socioeconomic influences on bereavement processes allow for suggestion of variability in...

The crisis caused by the outbreak of COVID-19 revealed the global unpreparedness for handling the impact of a pandemic. In this paper, we present a first quarter chronicle of COVID-19 in Hubei China, Italy and Spain, particularly focusing on infection speed, death and fatality rates. By...

In micro-lending markets, lack of recorded credit history is a significant impediment to assessing individual borrowers' creditworthiness and therefore deciding fair interest rates. This research compares various machine learning algorithms on real micro-lending data to test their efficacy at...

We study a portfolio selection problem in a continuous-time Itô-Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into account two sources of risk: the jump diffusion risk...

In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a Û-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result, this algorithm...