In this paper we examined whether the recorded precipitation changes cause erosion in Naxos Island, Greece using precipitation indices derived from daily precipitation totals, during the period 1955–2007, in order to develop an erosion risk model. Although the mean annual precipitation appear to be low (∼360.0 mm), the erosion processes of the area are very intense, because of the intensive cha...

For a general class of risk models, the dividends-penalty identity is derived by probabilistic reasoning. This identity is the key for understanding and determining the optimal dividend barrier, which maximizes the difference between the expected present value of all dividends until ruin and the expected discounted value of a penalty at ruin (which is typically a function of the deficit at ruin...

The study of precise large deviations for random sums is an important topic in insurance and finance. In this paper, we extend recent results of Tang (2006) and Liu (2009) to random sums in various situations. In particular, we establish a precise large deviation result for a nonstandard renewal risk model in which innovations, modelled as real-valued random variables, are negatively dependent ...

Complex biophysical, social, and human behavioral factors influence population vulnerability to vector-borne diseases. Spatially and temporally dynamic environmental and anthropogenic patterns require sophisticated mapping and modeling techniques. While many studies use environmental variables to predict risk, human population vulnerability has been a challenge to incorporate into spatial risk ...

In this paper we consider the following inverse problem for the first hitting time distribution: given a Wiener process with a random initial state, probability distribution, F (t), and a linear boundary, b(t) = μt, find a distribution of the initial state such that the distribution of the first hitting time is F (t). This problem has important applications in credit risk modeling where the pro...

This paper investigates the finite time ruin probability in the renewal risk model. Under some mild assumptions on the tail probabilities of the claim size and of the inter-occurrence time, a simple asymptotic relation is established as the initial surplus increases. In particular, this asymptotic relation is requested to hold uniformly for the horizon varying in a relevant infinite interval. T...

We derive an expression for the density of the time to ruin in the classical risk model by inverting its Laplace transform. We then apply the result when the individual claim amount distribution is a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.

This paper provides an alternative credit risk model based on information reduction where the market only observes the firm’s asset value when it crosses certain levels, interpreted as changes significant enough for the firm’s management to make a public announcement. For a class of diffusion processes we are able to provide explicit expressions for the firm’s default intensity process and its ...