9 citations · 31 across the 9 of their papers we have counts for
6 papers · 1 filter
Exact asymptotics of ruin probabilities with linear Hawkes arrivals
Zbigniew Palmowski, Simon Pojer, Stefan Thonhauser
In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed…
Ruin Probabilities in a Markovian Shot-Noise Environment
Simon Pojer, Stefan Thonhauser
We consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cramér-Lundberg model, namely the con…
A mean-field extension of the LIBOR market model
Sascha Desmettre, Simon Hochgerner, Sanela Omerovic +1
We introduce a mean-field extension of the LIBOR market model (LMM) which preserves the basic features of the original model. Among others, these features are the martingale proper…
Approximation methods for piecewise deterministic Markov processes and their costs
Peter Kritzer, Gunther Leobacher, Michaela Szölgyenyi +1
In this paper, we analyse piecewise deterministic Markov processes, as introduced in Davis (1984). Many models in insurance mathematics can be formulated in terms of the general co…
Integral equations, quasi-Monte Carlo methods and risk modelling
Michael Preischl, Stefan Thonhauser, Robert F. Tichy
We survey a QMC approach to integral equations and develop some new applications to risk modeling. In particular, a rigorous error bound derived from Koksma-Hlawka type inequalitie…
On the Existence of Solutions of a Class of SDEs with Discontinuous Drift and Singular Diffusion
Gunther Leobacher, Michaela Szölgyenyi, Stefan Thonhauser
The classical result by Itô on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift…