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math.PR2020
Ruin problems for risk processes with dependent phase-type claims
Oscar Peralta, Matthieu Simon
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is…
math.PR2020
An explicit solution to the Skorokhod embedding problem for double exponential increments
Giang T. Nguyen, Oscar Peralta
Strong approximations of uniform transport processes to the standard Brownian motion rely on the Skorokhod embedding of random walk with centered double exponential increments. In…