Sensitivity analysis investigates how the change in the output of a computational model can
be attributed to changes of its input parameters. Identifying the input parameters that …

This paper considers a variant of the classical Cramér–Lundberg model that is particularly
appropriate in the credit context, with the distinguishing feature that it corresponds to a finite …

This paper considers the Cramér-Lundberg model, with the additional feature that the
number of clients can fluctuate over time. Clients arrive according to a Poisson process …

This paper concerns an insurance firm's surplus process observed at renewal inspection
times, with a focus on assessing the probability of the surplus level dropping below zero. For …

The Cambridge dictionary describes risk as “the possibility of something bad happening". An
event that leads to a financial loss can thus be referred to as a risk. In this thesis we discuss …

This paper addresses the analysis of the queue-length process of single-server queues
under overdispersion, ie, queues fed by an arrival process for which the variance of the …

This chapter focuses on the evaluation of the transform of the ruin probability in a regime-
switching (or Markov modulated) version of the standard Cramér-Lundberg model. In the …

This paper studies the joint tail asymptotics of extrema of the multi-dimensional Gaussian
process over random intervals defined as,, where,,, are independent centered Gaussian …

Service systems play a prominent role in nearly any organization, from contact centers to
hospital emergency departments. Competition on the one hand and scarcity of resources on …

This paper addresses the analysis of the queue-length process of single-server queues
under overdispersion, ie, having arrival and/or service rates that are not constant but instead …