Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon

2017 ◽  
Vol 2018 (6) ◽  
pp. 514-528 ◽  
Author(s):  
Long Bai
Keyword(s):  
Brownian Motion ◽  
Time Horizon ◽  
Risk Model ◽  
Infinite Time ◽  
Infinite Time Horizon ◽  
Parisian Ruin

Simultaneous ruin probability for two-dimensional brownian risk model

2020 ◽  
Vol 57 (2) ◽  
pp. 597-612 ◽  
Author(s):  
Krzysztof Dȩbicki ◽  
Enkelejd Hashorva ◽  
Zbigniew Michna
Keyword(s):  
Ruin Probability ◽  
Time Horizon ◽  
Asymptotic Theory ◽  
Risk Model ◽  
Two Dimensional ◽  
Infinite Time ◽  
Ruin Time ◽  
Initial Capital ◽  
Infinite Time Horizon

AbstractThe ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite time horizon. This is not the case for the simultaneous ruin probability in the two-dimensional Brownian risk model. Relying on asymptotic theory, we derive in this contribution approximations for both simultaneous ruin probability and simultaneous ruin time for the two-dimensional Brownian risk model when the initial capital increases to infinity.

scholarly journals Pandemic-type failures in multivariate Brownian risk models

Extremes ◽  
2021 ◽  
Author(s):  
Krzysztof Dȩbicki ◽  
Enkelejd Hashorva ◽  
Nikolai Kriukov
Keyword(s):  
Time Horizon ◽  
Risk Model ◽  
Point Of View ◽  
Asymptotic Approximations ◽  
Applied Probability ◽  
Infinite Time ◽  
Risk Models ◽  
Practical Point ◽  
Multiple Failures ◽  
Infinite Time Horizon

AbstractModelling of multiple simultaneous failures in insurance, finance and other areas of applied probability is important especially from the point of view of pandemic-type events. A benchmark limiting model for the analysis of multiple failures is the classical d-dimensional Brownian risk model (Brm), see Delsing et al. (Methodol. Comput. Appl. Probab. 22(3), 927–948 2020). From both theoretical and practical point of view, of interest is the calculation of the probability of multiple simultaneous failures in a given time horizon. The main findings of this contribution concern the approximation of the probability that at least k out of d components of Brm fail simultaneously. We derive both sharp bounds and asymptotic approximations of the probability of interest for the finite and the infinite time horizon. Our results extend previous findings of Dȩbicki et al. (J. Appl. Probab. 57(2), 597–612 2020) and Dȩbicki et al. (Stoch. Proc. Appl. 128(12), 4171–4206 2018).

H/sub ∞/ Gaussian filter on infinite time horizon

2002 ◽  
Vol 49 (5) ◽  
pp. 674-679 ◽  
Author(s):  
Xiang Chen ◽  
Kemin Zhou
Keyword(s):  
Time Horizon ◽  
Gaussian Filter ◽  
Infinite Time ◽  
Infinite Time Horizon

Unique Open Loop Nash Equilibria on the Infinite Time Horizon

2001 ◽  
Vol 34 (20) ◽  
pp. 29-34
Author(s):  
Gerhard Jank ◽  
Dirk Kremer ◽  
Gábor Kun
Keyword(s):  
Time Horizon ◽  
Nash Equilibria ◽  
Open Loop ◽  
Infinite Time ◽  
Infinite Time Horizon

scholarly journals An inventory model for deteriorating items under time varying demand condition

2013 ◽  
Vol 8 (1) ◽  
pp. 1273-1278
Author(s):  
Srichandan Mishra ◽  
S.P. Mishra ◽  
N. Mishra ◽  
J. Panda
Keyword(s):  
Time Horizon ◽  
Cost Minimization ◽  
Inventory Model ◽  
Deteriorating Items ◽  
Time Varying ◽  
Infinite Time ◽  
Infinite Time Horizon ◽  
Demand Rate ◽  
Demand Condition ◽  
Varying Demand

In this paper we discuss the development of an inventory model for deteriorating items which investigates an instantaneous replenishment model for the items under cost minimization. A time varying type of demand rate with infinite time horizon, exponential deterioration and with shortage in considered. The result is illustrated with numerical example.

Singular Perturbation Based Solution to Optimal Microalgal Growth Problem and Its Infinite Time Horizon Analysis

2010 ◽  
Vol 55 (3) ◽  
pp. 767-772 ◽  
Author(s):  
Sergej Celikovsky ◽  
Stepan Papacek ◽  
Alejandro Cervantes-Herrera ◽  
Javier Ruiz-Leon
Keyword(s):  
Singular Perturbation ◽  
Time Horizon ◽  
Infinite Time ◽  
Infinite Time Horizon ◽  
Growth Problem
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