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Ruin Problems for Risk Processes with Dependent Phase-Type Claims
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class...
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A Semi-Markov Model with Geometric Renewal Processes
We consider a repairable system modeled by a semi-Markov process (SMP), where we include a geometric renewal process for system degradation upon...
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Three Distributions in the Extended Occupancy Problem
The classical and extended occupancy distributions are useful for examining the number of occupied bins in problems involving random allocation of...
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Flexible Bayesian Inference for Diffusion Processes using Splines
We introduce a flexible method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We...
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Innovation for improving climate-related data—Lessons learned from setting up a data hub
In this article, we present a framework to assess the challenges in the climate-related data landscape. From our perspective, we describe challenges...
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Continuous-Time Stochastic Analysis of Rumor Spreading with Multiple Operations
In this paper, we analyze a new asynchronous rumor spreading protocol to deliver a rumor to all the nodes of a large-scale distributed network. This...
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Binomial Approximation to Locally Dependent Collateralized Debt Obligations
In this paper, we develop Stein’s method for binomial approximation using the stop-loss metric that allows one to obtain a bound on the error term...
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Simulation Analysis of a Base Station Using Finite Buffer M/G/1 Queueing System with Variant Sleeps
In communication networks, the signals from mobile phones are transmitted through Base Stations(BS). Nowadays the usage of mobile phones has...
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Strategic Behavior and Optimization of an M/M/1 Queue with N-Policy and Hysteretic Control
This work aims to study customer strategic behavior and operational optimization of an M/M/1 queue with N -policy and dynamic service-rate control in...
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A New Separation Index and Classification Techniques Based on Shannon Entropy
The purpose is to use Shannon entropy measures to develop classification techniques and an index which estimates the separation of the groups in a...
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Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity
In this paper, we consider the optimal investment-consumption and life insurance strategy for a wage earner who has uncertain labor income described...
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Asymptotics for a Bidimensional Renewal Risk Model with Subexponential Main Claims and Delayed Claims
This paper considers a bidimensional renewal risk model with main claims and delayed claims. Concretely, suppose that an insurance company...
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The Effect of Loss Preference on Queueing with Information Disclosure Policy
In this paper, we incorporate loss preference into an M/M/1 queueing with a threshold disclosure policy and analyze its impact on the customers’...
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Modeling and Control of Data Transmission
This paper concerns a class of stochastic recursive systems which we treat as stochastic decision models. Problems for optimal control are considered...
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A Non-equilibrium Geometric No-arbitrage Principle
The present paper gets a novel and intimate correspondence between martingale in finances and one-parameter transform group in mathematics. This...
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Construction of Jointly Distributed Random Samples Drawn from the Beta Two-Parameter Process
Several extensions of the familiar Dirichlet process have been widely investigated to nonparametric Bayesian model fittings parallel with appealing...
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A Versatile Stochastic Dissemination Model
This paper considers a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of...
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On Computing the Multivariate Poisson Probability Distribution
Within the theory of non-negative integer valued multivariate infinitely divisible distributions, the multivariate Poisson distribution plays a key...
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Analyzing the Profitability and Efficiency in European Non-Life Insurance Industry
This paper proposes a new three-step approach to build an Optimal Production Plan for insurance companies. Two techniques are used compared to the...
