Browsing Department of Mathematics by Author "Korzeniowski, Andrzej"
Now showing items 1-9 of 9
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Discrete Time Risk Models With Random Premiums
Smith, Llewellyn Hillyer; 0000-0003-1845-1144 (2018-04-27)Over the past century insurance companies relied to a large extent on the continuous time Mathematical Risk Model proposed by Lundberg, known for its ability to estimate the probability of ruin(capital reserve falling below ... -
Large Deviation Principle For Functional Limit Theorems
Oprisan, Adina (Mathematics, 2009-09-16)We study a family of stochastic additive functionals of Markov processes with locally independent increments switched by jump Markov processes in an asymptotic split phase space. Based on an averaging limit theorem, we ... -
Modeling an M/M/1 Queue with unreliable service and a working vacation
Patterson, Joshua Kent; 0000-0002-7087-1018 (2019-05-08)We define the new term ’unreliable service’ where the service itself is unreliable (i.e. may fail). We discuss how this differs from the current literature, and give examples showing just how common this phenomena is in ... -
On Solving Finitely Reflected Backward Stochastic Differential Equations
Ventura, Wilber AlexanderClassical theory gives a closed form representation of the density p(t,x), a solution to a linear parabolic PDE, via the Feynman-Kac Formula of the underlying diffusion process. In the non-linear PDE case there is no closed ... -
Optimal Stopping For Markov Modulated Ito-diffusion With Applications To Finance
Seaquist, Thomas William (Mathematics, 2013-07-22)Despite the outstanding success of the Black-Scholes model, it relies on the assumption that drift and volatility of the underlying equity remain constant throughout time. This inaccuracy has motivated a number of interesting ... -
OPTION PRICING WITH INVESTMENT STRATEGY UNDER STOCHASTIC INTEREST RATES
Ghorbani, Niloofar; 0000-0001-5832-6714 (2021-05-06)Equity options are the most common types of financial derivatives that give an investor the right but not the obligation to buy or sell shares of stock at a given price in the future for a premium (option price) paid at ... -
POSTERIOR NORMAL APPROXIMATION OF REAL-TIME DEGRADATION MODELING USING LAPLACE APPROXIMATION
Jawad, Mahmoud Ali (2018-09-05)Preventing failure that can cause delays or catastrophe, has been the focus and motivation for engineers, and other establishments that deals with heavy and light machinery, equipment, and devices. One of the biggest ... -
Stochastic Reliability Models for a General Server and Related Networks
Traylor, Rachel; 0000-0002-0997-5766 (2016-04-22)There are many types of systems which can be dubbed servers, i.e. a retail checkout counter, a shipping company, a web server, or a customer service hotline. All of these systems have common general behavior: requests or ... -
STOCHASTIC RISK MEASURES FOR THE LUNDBERG MODEL WITH REINSURANCE AND INVESTMENT
N'Gozan, Benie Justine; 0000-0002-6455-0920 (2020-11-24)Risk measures emerge in fields such as economics, insurance, finance and are concerned with a stochastic representation of uncertainties stemming from the unpredictability of the real world events. In essence, risk analysis ...