Theory of Stochastic Processes, 2006 (Volume 12 (28))

Theory of Stochastic Processes, 2006 (Volume 12 (28)) http://dspace.nbuv.gov.ua:80/handle/123456789/3055 2026-04-05T16:17:26Z 2026-04-05T16:17:26Z Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion Yamnenko, R. http://dspace.nbuv.gov.ua:80/handle/123456789/4470 2009-11-24T16:33:31Z 2006-01-01T00:00:00Z

Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion Yamnenko, R. In this paper we investigate the ruin problem for the generalized φ-sub-Gaussian fractional Brownian motion (FBM). Such random process has the same covariation function as FBM but its trajectories belong to the space of φ-sub-Gaussian random variables (i.e. not necessarily Gaussian). For this risk process we obtain estimate of the ruin probability.

2006-01-01T00:00:00Z On accuracy of simulation of gaussian stationary processes in L2([0, T]) Turchyn, Y. http://dspace.nbuv.gov.ua:80/handle/123456789/4469 2009-11-12T10:00:37Z 2006-01-01T00:00:00Z

On accuracy of simulation of gaussian stationary processes in L2([0, T]) Turchyn, Y. A theorem about simulation of a Gaussian stochastic process with given accuracy and reliability in L2([0, T ]) using wavelets has been proved.

2006-01-01T00:00:00Z Semi-Markov reward models for disability insurance Stenberg, F. Manca, R. Silvestrov, D. http://dspace.nbuv.gov.ua:80/handle/123456789/4468 2009-11-12T10:00:37Z 2006-01-01T00:00:00Z

Semi-Markov reward models for disability insurance Stenberg, F.; Manca, R.; Silvestrov, D. A semi-Markov model for disability insurance is described. Statistical evidences of relevance semi-Markov setting are given. High order semi-Markov backward reward models are invented. Applications of these models to proﬁt-risk analysis of disability insurance contracts are considered.

2006-01-01T00:00:00Z Innovation methods, algorithms, and software for analysis of reinsurance contracts Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. http://dspace.nbuv.gov.ua:80/handle/123456789/4467 2009-11-12T10:00:28Z 2006-01-01T00:00:00Z

Innovation methods, algorithms, and software for analysis of reinsurance contracts Silvestrov, D.; Teugels, J.; Masol, V.; Malyarenko, A. A Monte Carlo based approach to evaluate and/or compare the riskiness of reinsurance treaties for both the ceding and the reinsurance companies is introduced. An experimental program system Reinsurance Analyser based on the indicated approach is presented. The program allows analyzing applications of a large set of reinsurance contracts under a variety of claim ﬂow models. The effect of applications is compared by risk measures, provided that the parameters of the contracts are balanced by an average reinsurer’s load quantity.

2006-01-01T00:00:00Z