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math.PR2023
Approximations of semi-Markov processes and insurance policy valuation
Martin Bladt, Andreea Minca, Oscar Peralta
Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximat…
math.PR2023
Ruin-dependent bivariate stochastic fluid processes
Hamed Amini, Andreea Minca, Oscar Peralta
This paper presents a novel model for bivariate stochastic fluid processes that incorporate a ruin-dependent behavioral switch. Unlike typical models that assume a shared underlyin…
math.PR2023
Duration-dependent stochastic fluid processes and solar energy revenue modeling
Hamed Amini, Andreea Minca, Oscar Peralta
We endow the classical stochastic fluid process with a duration-dependent Markovian arrival process (DMArP). We show that this provides a flexible model for the revenue of a solar…