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math.PR2025
Finite-Time Ruin for the Compound Markov Binomial Risk Model
Zbigniew Palmowski, Lewis Ramsden, Apostolos D. Papaioannou
In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic…
math.PR2025
Lévy processes under level-dependent Poissonian switching
Noah Beelders, Lewis Ramsden, Apostolos D. Papaioannou
In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two Lévy processes if it is above (or below)…