Theory of Stochastic Processes, 2006 (Volume 12 (28))
http://dspace.nbuv.gov.ua:80/handle/123456789/3055
2026-04-05T16:20:23ZRuin probability for generalized φ-sub-Gaussian fractional Brownian motion
http://dspace.nbuv.gov.ua:80/handle/123456789/4470
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.
2006-01-01T00:00:00ZOn accuracy of simulation of gaussian stationary processes in L2([0, T])
http://dspace.nbuv.gov.ua:80/handle/123456789/4469
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.
2006-01-01T00:00:00ZSemi-Markov reward models for disability insurance
http://dspace.nbuv.gov.ua:80/handle/123456789/4468
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.
2006-01-01T00:00:00ZInnovation methods, algorithms, and software for analysis of reinsurance contracts
http://dspace.nbuv.gov.ua:80/handle/123456789/4467
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