3 citations · 3 across the 5 of their papers we have counts for
5 papers · 1 filter
How much we gain by surplus-dependent premiums -- asymptotic analysis of ruin probability
Corina Constantinescu, Zbigniew Palmowski, Jing Wang
In this paper, we build on the techniques developed in Albrecher et al. (2013), to generate initial-boundary value problems for ruin probabilities of surplus-dependent premium risk…
On distributional and asymptotic results for exponential functional of renewal -- reward processes describing risk models
J. Akahori, C. Constantinescu, Y. Imamura +1
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash…
An Application of Fractional Differential Equations to Risk Theory
Corina D. Constantinescu, Jorge M. Ramirez, Wei R. Zhu
This paper defines a new class of fractional differential operators alongside a family of random variables whose density functions solve fractional differential equations equipped…
Dynamics of drainage under stochastic rainfall in river networks
Jorge M Ramirez, Corina Constantinescu
We consider a linearized dynamical system modelling the flow rate of water along the rivers and hillslopes of an arbitrary watershed. The system is perturbed by a random rainfall i…
Ruin probabilities with dependence on the number of claims within a fixed time window
Corina Constantinescu, Suhang Dai, Weihong Ni +1
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window.…