Ruin Probability in a Correlated Aggregate Claims Model with Common Poisson Shocks: Application to Reinsurance

This paper considers a correlated aggregate claims model with common Poisson shocks, which allows for dependence in n (n ≥ 2) classes of business across m (m ≥ 1) different types of stochastic events. The dependence structure between different claim numbers is connected with the thinning procedure. Under combination of quota-share and excess of loss reinsurance arrangements, we examine the properties of the proposed risk model. An upper bound for the ruin probability determined by the adjustment coefficient is established through martingale approach. We reduce the problem of optimal reinsurance strategy for maximizing the insurer’s adjustment coefficient and illustrate the results by numerical examples.     

Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays

In this paper, joint limit distributions of maxima and minima on independent and non-identically distributed bivariate Gaussian triangular arrays is derived as the correlation coefficient of ith vector of given nth row is the function of i/n. Furthermore, second-order expansions of joint distributions of maxima and minima are established if the correlation function satisfies some regular conditions.     

Batch queues,reversibility and first-passage percolation

We consider a model of queues in discrete time, with batch services and arrivals. The case where arrival and service batches both have Bernoulli distributions corresponds to a discrete-time M/M/1 queue, and the case where both have geometric distributions has also been previously studied. We describe a common extension to a more general class where the batches are the product of a Bernoulli and a geometric, and use reversibility arguments to prove versions of Burke’s theorem for these models. Extensions to models with continuous time or continuous workload are also described. As an application, we show how these results can be combined with methods of Seppäläinen and O’Connell to provide exact solutions for a new class of first-passage percolation problems.     

Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks<Superscript>*</Superscript>

We consider a discrete-time risk model with insurance and financial risks. Within period i ≥ 1, the real-valued net insurance loss caused by claims is the insurance risk, denoted by X _i , and the positive stochastic discount factor over the same time period is the financial risk, denoted by Y _i . Assume that {(X, Y), (X _i , Y _i ), i ≥ 1} form a sequence of independent identically distributed random vectors. In this paper, we investigate a discrete-time risk model allowing a dependence structure between the two risks. When (X, Y ) follows a bivariate Sarmanov distribution and the distribution of the insurance risk belongs to the class ?(γ) for some γ > 0, we derive the asymptotics for the finite-time ruin probability of this discrete-time risk model.     

A New Method for Bounding the Distance Between Sums of Independent Integer-Valued Random Variables

Let X ₁, X ₂,..., X _n and Y ₁, Y ₂,..., Y _n be two sequences of independent random variables which take values in ? and have finite second moments. Using a new probabilistic method, upper bounds for the Kolmogorov and total variation distances between the distributions of the sums \(\sum_{i=1}^{n}X_{i}\) and \(\sum_{i=1}^{n}Y_{i}\) are proposed. These bounds adopt a simple closed form when the distributions of the coordinates are compared with respect to the convex order. Moreover, they include a factor which depends on the smoothness of the distribution of the sum of the X _i ’s or Y _i ’s, in that way leading to sharp approximation error estimates, under appropriate conditions for the distribution parameters. Finally, specific examples, concerning approximation bounds for various discrete distributions, are presented for illustration.     

A discrete version of the Mishou theorem. II

In 2007, H. Mishou obtained a joint universality theorem for the Riemann zetafunction ζ(s) and the Hurwitz zeta-function ζ(s, α) with transcendental parameter α. The theorem states that a pair of analytic functions can be simultaneously approximated by the shifts ζ(s + iτ ) and ζ(s + iτ, α), τ ∈ R. In 2015, E. Buivydas and the author established a version of this theorem in which the approximation is performed by the discrete shifts ζ(s + ikh) and ζ(s + ikh, α), h > 0, k = 0, 1, 2.... In the present study, we prove joint universality for the functions ζ(s) and ζ(s, α) in the sense of approximation of a pair of analytic functions by the shifts ζ(s + ik ^β h) and ζ(s + ik ^β h, α) with fixed 0 < β < 1.     

Approximations for Time-Dependent Distributions in Markovian Fluid Models

In this paper we analyse Markov-modulated fluid processes over finite time intervals. We study the joint distribution of the level at time \(\theta < \infty \) and of the maximum level over [0, θ], as well as the joint distribution of the level at time θ and the minimum level over [0, θ]. We approximate θ by a random variable T with Erlang distribution and so use an approach different from the usual Laplace transform to compute the distributions. We present probabilistic interpretation of the equations and provide a numerical illustration.     

Almost Sure Approximation of the Superposition of the Random Processes

This article presents sufficient conditions, which provide almost sure (a.s.) approximation of the superposition of the random processes S(N(t)), when càd-làg random processes S(t) and N(t) themselves admit a.s. approximation by a Wiener or stable Lévy processes. Such results serve as a source of numerous strong limit theorems for the random sums under various assumptions on counting process N(t) and summands. As a consequence we obtain a number of results concerning the a.s. approximation of the Kesten–Spitzer random walk, accumulated workload input into queuing system, risk processes in the classical and renewal risk models with small and large claims and use such results for investigation the growth rate and fluctuations of the mentioned processes.     

3<Emphasis Type="Italic">nj</Emphasis>-symbols and identities for <Emphasis Type="Italic">q</Emphasis>-Bessel functions

The 6j-symbols for representations of the q-deformed algebra of polynomials on \(\mathrm {SU}(2)\) are given by Jackson’s third q-Bessel functions. This interpretation leads to several summation identities for the q-Bessel functions. Multivariate q-Bessel functions are defined, which are shown to be limit cases of multivariate Askey–Wilson polynomials. The multivariate q-Bessel functions occur as 3nj-symbols.     

Nonidentifiability of the Two-State <Emphasis Type="Italic">BMAP</Emphasis>

The capability of modeling non-exponentially distributed and dependent inter-arrival times as well as correlated batches makes the Batch Markovian Arrival Processes (BMAP) suitable in different real-life settings as teletraffic, queueing theory or actuarial contexts. An issue to be taken into account for estimation purposes is the identifiability of the process. This paper explores the identifiability of the stationary two-state BMAP noted as BMAP ₂ (k), where k is the maximum batch arrival size, under the assumptions that both the interarrival times and batches sizes are observed. It is proven that for k ≥ 2 the process cannot be identified. The proof is based on the construction of an equivalent BMAP ₂(k) to a given one, and on the decomposition of a BMAP ₂ (k) into k BMAP ₂ (2)s.     

On Excess-time Correlated Cumulative Processes

In this paper a class of correlated cumulative processes, B _s (t) = ∑^N(t)_i=1 H _s (X _i )X _i , is studied with excess level increments X _i ?s, where {N(t), t ?0} is the counting process generated by the renewal sequence T _n , T _n and X _n are correlated for given n, H _s (t) is the Heaviside function and s?0 is a given constant. Several useful results, for the distributions of B _s (t), and that of the number of excess (non-excess) increments on (0, t) and the corresponding means, are derived. First passage time problems are also discussed and various asymptotic properties of the processes are obtained. Transform results, by applying a flexible form for the joint distribution of correlated pairs (T _n , X _n ) are derived and inverted. The case of non-excess level increments, X _i < s, is also considered. Finally, applications to known stochastic shock and pro-rata warranty models are given.     

Mass distributions of two-dimensional extreme-value copulas and related results

Working with Markov kernels (conditional distributions) and right-hand derivatives D ⁺ A of Pickands dependence functions A we study the way two-dimensional extreme-value copulas (EVCs) C _A distribute mass. Underlining the usefulness of working directly with D ⁺ A, we give first an alternative simple proof of the fact that EVCs with piecewise linear A can be expressed as weighted geometric mean of some EVCs whose dependence functions A have at most two edges and present a generalization of this result. After showing that the discrete component of the Markov kernel of C _A concentrates its mass on the graphs of some increasing homeomorphisms f _t , we determine which EVC assigns maximum mass to the union of the graphs of \(f_{t_{1}},\ldots ,f_{t_{N}}\), derive the absolutely continuous component of an arbitrary EVC C _A and deduce that the minimum copula M is the only (purely) singular EVC. Additionally, we prove the existence of EVCs C _A which, despite their simple analytic form, exhibit the following surprisingly singular behavior: the discrete, the absolutely continuous and the singular component of the Lebesgue decomposition of the Markov kernel \(K_{C_{A}}(x,\cdot )\) of C _A have full support [0,1] for every x∈[0,1].     

Stability and convergence of a fully discrete local discontinuous Galerkin method for multi-term time fractional diffusion equations

In this paper, a fully discrete local discontinuous Galerkin method for a class of multi-term time fractional diffusion equations is proposed and analyzed. Using local discontinuous Galerkin method in spatial direction and classical L1 approximation in temporal direction, a fully discrete scheme is established. By choosing the numerical flux carefully, we prove that the method is unconditionally stable and convergent with order O(h ^k+1 + (Δt)^2?α ), where k, h, and Δt are the degree of piecewise polynomial, the space, and time step sizes, respectively. Numerical examples are carried out to illustrate the effectiveness of the numerical scheme.     

Multivariate discriminant and iterated resultant

In this paper,we study the relationship between iterated resultant and multivariate discriminant.We show that,for generic form f(x_n) with even degree d,if the polynomial is squarefreed after each iteration,the multivariate discriminant △(f) is a factor of the squarefreed iterated resultant.In fact,we find a factor Hp(f,[x_1,...,x_n]) of the squarefreed iterated resultant,and prove that the multivariate discriminant △(f) is a factor of Hp(f,[x_1,...,x_n]).Moreover,we conjecture that Hp(f,[x_1,...,x_n]) = △(f) holds for generic form/,and show that it is true for generic trivariate form f(x,y,z).     

Harmonic analysis associated with a discrete Laplacian

It is well known that the fundamental solution of

$${u_t}\left( {n,t} \right) = u\left( {n + 1,t} \right) - 2u\left( {n,t} \right) + u\left( {n - 1,t} \right),n \in \mathbb{Z},$$

with u(n, 0) = δ _nm for every fixed m ∈ Z is given by u(n, t) = e ^?2t I _n?m (2t), where I _k (t) is the Bessel function of imaginary argument. In other words, the heat semigroup of the discrete Laplacian is described by the formal series W _t f(n) = Σ _m∈Z e ^?2t I _n?m (2t)f(m). This formula allows us to analyze some operators associated with the discrete Laplacian using semigroup theory. In particular, we obtain the maximum principle for the discrete fractional Laplacian, weighted ? ^p (Z)-boundedness of conjugate harmonic functions, Riesz transforms and square functions of Littlewood-Paley. We also show that the Riesz transforms essentially coincide with the so-called discrete Hilbert transform defined by D. Hilbert at the beginning of the twentieth century. We also see that these Riesz transforms are limits of the conjugate harmonic functions. The results rely on a careful use of several properties of Bessel functions.

     

Parisian ruin over a finite-time horizon

For a risk process R_u(t) = u + ct- X(t), t≥0, where u≥0 is the initial capital, c 0 is the premium rate and X(t), t≥0 is an aggregate claim process, we investigate the probability of the Parisian ruin P_S(u, T_u) = P{inf (t∈[0,S]_(s∈[t,t+T_u])) sup R_u(s) 0}, S, T_u 0.For X being a general Gaussian process we derive approximations of P_S(u, T_u) as u →∞. As a by-product, we obtain the tail asymptotic behaviour of the infimum of a standard Brownian motion with drift over a finite-time interval.     

Strong factorization property of Macdonald polynomials and higher-order Macdonald’s positivity conjecture

We prove a strong factorization property of interpolation Macdonald polynomials when q tends to 1. As a consequence, we show that Macdonald polynomials have a strong factorization property when q tends to 1, which was posed as an open question in our previous paper with Féray. Furthermore, we introduce multivariate q, t-Kostka numbers and we show that they are polynomials in q, t with integer coefficients by using the strong factorization property of Macdonald polynomials. We conjecture that multivariate q, t-Kostka numbers are in fact polynomials in q, t with nonnegative integer coefficients, which generalizes the celebrated Macdonald’s positivity conjecture.     

Adjoining batch Markov arrival processes of a Markov chain

A batch Markov arrival process (BMAP) X* = (N, J) is a 2-dimensional Markov process with two components, one is the counting process N and the other one is the phase process J. It is proved that the phase process is a time-homogeneous Markov chain with a finite state-space, or for short, Markov chain. In this paper, a new and inverse problem is proposed firstly: given a Markov chain J, can we deploy a process N such that the 2-dimensional process X* = (N, J) is a BMAP? The process X* = (N, J) is said to be an adjoining BMAP for the Markov chain J. For a given Markov chain the adjoining processes exist and they are not unique. Two kinds of adjoining BMAPs have been constructed. One is the BMAPs with fixed constant batches, the other one is the BMAPs with independent and identically distributed (i.i.d) random batches. The method we used in this paper is not the usual matrix-analytic method of studying BMAP, it is a path-analytic method. We constructed directly sample paths of adjoining BMAPs. The expressions of characteristic (D _k , k = 0, 1, 2 · · ·) and transition probabilities of the adjoining BMAP are obtained by the density matrix Q of the given Markov chain J. Moreover, we obtained two frontal Theorems. We present these expressions in the first time.     

On Heyde’s Theorem for Probability Distributions on a Discrete Abelian Group

Let X be a countable discrete Abelian group containing no elements of order 2. Let α be an automorphism of X. Let ξ₁ and ξ₂ be independent random variables with values in the group X and distributions μ₁ and μ₂. The main result of the article is the following statement. The symmetry of the conditional distribution of the linear form L₂ = ξ₁ + αξ₂ given L₁ = ξ₁ + ξ₂ implies that μ _j are shifts of the Haar distribution of a finite subgroup of X if and only if α satisfies the condition Ker(I + α)= {0}. Some generalisations of this theorem are also proved.     

On extensions of some block designs

There are some results concerning t-designs in which the number of points in the intersection of two blocks takes less than t values. For example, if t = 2, then the design is symmetric (in such a design, v = b or, equivalently, k = r). In 1974, B. Gross described t-(v, k, l) designs that, for some integer s, 0 < s < t, do not contain two blocks intersecting at exactly s points. Below, it is proved that potentially infinite series of designs from the claim of Gross’ theorem are finite. Gross’ theorem is substantially sharpened.