1,721,116 research outputs found
Asymptotic results for perturbed risk processes with delayed claims
No full textThe object of this paper is the study of some asymptotic properties of the perturbed risk process with delayed claims, which is the sum of a Brownian motion with drift and a shot-noise whose underlying point process is a doubly stochastic Poisson process. More in particular, under suitable hypotheses, we show that it satisfies a large deviation principle, and we give
asymptotic estimates of the corresponding ruin probabilities. Moreover, we introduce two suitable processes which can be seen as simplified versions of the original process, and we show some inequalities between the rate function and the Lundberg
parameter concerning the original process, and the rate functions and the Lundberg parameters concerning the simplified versions, respectively
Lundberg parameters for non standard risk processes
No full textWe consider risk processes with delayed claims in a Markovian environment, and
we study the asymptotic behaviour of
finite and infinite horizon ruin probabilities under the small claim
assumption. We also consider multivariate risk processes of the same kind, and we
give upper and lower bounds for the
Lundberg parameters of the corresponding total reserve. Our results have strong
analogies with those one in the paper by Juri (Super modular order and Lundberg exponents, 2002)
Asymptotic analysis of Poisson shot noise processes, and applications
Full text linkPoisson shot noise processes are natural generalizations of compound Poisson processes that have been widely applied in insurance, neuroscience, seismology, computer science and epidemiology. In this paper we study sharp deviations, fluctuations and the stable probability approximation of Poisson shot noise processes. Our achievements extend, improve and complement existing results in the literature. We apply the theoretical results to Poisson cluster point processes, including generalized linear Hawkes processes, and risk processes with delayed claims. Many examples are discussed in detail
A time-modulated Hawkes process to model the spread of COVID-19 and the impact of countermeasures
Full text linkMotivated by the recent outbreak of coronavirus (COVID-19), we propose a stochastic model of epidemic temporal growth and mitigation based on a time-modulated Hawkes process. The model is sufficiently rich to incorporate specific characteristics of the novel coronavirus, to capture the impact of undetected, asymptomatic and super-diffusive individuals, and especially to take into account time-varying counter-measures and detection efforts. Yet, it is simple enough to allow scalable and efficient computation of the temporal evolution of the epidemic, and exploration of what–if scenarios. Compared to traditional compartmental models, our approach allows a more faithful description of virus specific features, such as distributions for the time spent in stages, which is crucial when the time-scale of control (e.g., mobility restrictions) is comparable to the lifetime of a single infection. We apply the model to the first and second wave of COVID-19 in Italy, shedding light onto several effects related to mobility restrictions introduced by the government, and to the effectiveness of contact tracing and mass testing performed by the national health service
Bionanocomposites based on a covalent network of chitosan and edge functionalized graphene layers
Full text linkIn this study, carbon papers and aerogels were prepared from chitosan and graphene layers with aldehydic edge functional groups (G-CHO) able to form chemical bonds with chitosan and thus to form a crosslinked network. A high surface area graphite was edge functionalized with hydroxyl groups (G-OH) through the reaction with KOH. G-CHO, with 4.5 mmol/g of functional group, was prepared from G-OH by means of the Reimer-Tieman reaction. Characterization of the graphitic materials was performed with elemental analysis, titration, X-ray analysis, Raman spectroscopy and by estimating their Hansen solubility parameters. CS and G-CHO were mixed with mortar and pestle and carbon papers and aerogels were obtained from a stable acidic water suspension through casting and liophilization, respectively. Free standing and foldable carbon papers and monolithic aerogels based on a continuous covalent network between G-CHO and CS were prepared. G-CHO, which had about 22 stacked layers, was extensively exfoliated in the carbon paper, as confirmed by the absence of the 002 reflection of the graphitic crystallites in the XRD pattern. Carbon paper was found to be resistant to solvents and to be stable for pH ⩾ 7. Composites revealed electrical conductivity. The covalent network between the graphene layers and CS, suggested by the IR findings, accounts for these results. This work demonstrates the effectiveness of a continuous covalent network between chitosan and graphene layers edge functionalized with tailor made functional groups for the preparation of carbon papers and aerogels and paves the way for the scale up of such a type of composites
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
On the large deviations of a class of modulated additive processes
Full text linkWe prove that the large deviation
principle holds for a class of
processes inspired by semi-Markov
additive processes. For the processes
we consider, the sojourn times in the
phase process need not be independent
and identically distributed. Moreover
the state selection process need not
be independent of the sojourn times.
We assume that the phase process takes values in a finite set and that the
order in which elements in the set,
called states, are visited is selected stochastically. The sojourn times
determine how long the phase process
spends in a state once it has been
selected. The main tool is a
representation formula for the sample
paths of the empirical laws of the
phase process.
Then, based on assumed joint large
deviation behavior of the state
selection and sojourn processes, we
prove that the empirical laws of the
phase process satisfy a sample path
large deviation principle. From this
large deviation principle, the large deviations behavior of a class of
modulated additive processes is deduced.
As an illustration of the utility of the general results, we provide an alternate proof of results for modulated L´evy processes. As a practical application of
the results, we calculate the large
deviation rate function for a processes
that arises as the International Telecommunications Union’s
standardized stochastic model of two-way conversational speech
Risk processes with shot noise Cox claim number process and reserve dependent premium rate
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