Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Parisian fluctuation theory for Lévy processes

2015/19/D/ST1/01182

Keywords:

risk process Lévy process ruin probability ruin probability with Parisian delay

Descriptors:

  • ST1_13: Probability and statistics

Panel:

ST1 - Mathematics: all areas of mathematics, pure and applied, as well as mathematical foundations of computer science, physics and statistics

Host institution :

Uniwersytet Wrocławski, Wydział Matematyki i Informatyki

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Irmina Czarna 

Number of co-investigators in the project: 1

Call: SONATA 10 - announced on 2015-09-15

Amount awarded: 119 660 PLN

Project start date (Y-m-d): 2016-07-11

Project end date (Y-m-d): 2020-01-10

Project duration:: 42 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. zestaw komputerowy: komputer przenośny (laptop) oraz monitor (6 500 PLN)

Information in the final report

  • Publication in academic press/journals (7)
  1. Fluctuation identities for omega-killed Markov additive processes and dividend problem
    Authors:
    Irmina Czarna, Adam Kaszubowski, Shu Li, Zbigniew Palmowski
    Academic press:
    Advances in Applied Probability (rok: 2020, tom: 52(2), strony: 404-432), Wydawca: Applied Probability Trust
    Status:
    Published
    DOI:
    10.1017/apr.2020.2 - link to the publication
  2. Fluctuation theory for level-dependent Lévy risk processes
    Authors:
    Irmina Czarna, José-Luis Pérez, Tomasz Rolski, Kazutoshi Yamazaki
    Academic press:
    Stochastic Processes and their Applications (rok: 2019, tom: 129 (12), strony: 5406-5449), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2019.03.006 - link to the publication
  3. Optimality of multi-refraction control strategies in the dual model
    Authors:
    Irmina Czarna, José-Luis Pérez, Kazutoshi Yamazaki
    Academic press:
    Insurance: Mathematics and Economics (rok: 2018, tom: 83, strony: 148-160), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.insmatheco.2018.09.008 - link to the publication
  4. Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
    Authors:
    Irmina Czarna, Yanhong Li, Zbigniew Palmowski, Chunming Zhao
    Academic press:
    PROBABILITY AND MATHEMATICAL STATISTICS-POLAND (rok: 2020, tom: 40 (1), strony: 57-81), Wydawca: Polish Scientific Publishers PWN
    Status:
    Published
    DOI:
    10.37190/0208-4147.40.1.4 - link to the publication
  5. Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
    Authors:
    Irmina Czarna, Adam Kaszubowski
    Academic press:
    Journal of Optimization Theory and Applications (JOTA) (rok: 2020, tom: 185(3), strony: 982-1007), Wydawca: Springer Journals
    Status:
    Published
    DOI:
    10.1007/s10957-020-01682-1 - link to the publication
  6. Parisian ruin for a refracted Lévy process
    Authors:
    Mohamed Amine Lkabous, Irmina Czarna, Jean-François Renaud
    Academic press:
    Insurance: Mathematics and Economics (rok: 2017, tom: Volume 74, strony: 153-163), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.insmatheco.2017.03.005 - link to the publication
  7. The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
    Authors:
    Irmina Czarna, Yanhong Li, Zbigniew Palmowski, Chunming Zhao
    Academic press:
    Journal of Computational and Applied Mathematics (rok: 2017, tom: Volume 313, strony: 499-514), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.cam.2016.09.045 - link to the publication

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