arXiv subjects

Lewis Ramsden

Publications and source records attributed to Lewis Ramsden.

7 recordsLinked to original sources

arXiv2026

Poissonian potential measures for refracted-reflected L\'evy processes

In this paper we study the potential measures and the Laplace transforms of the occupation times of a refracted-reflected spectrally negative L\'evy process when the process is observed at the arrival epochs of two independent Poisson processes. In this case, the rates of observing the underlying process differ in time which deviates from the classical theory of Poissonian observations. Explicit expressions for the so-called Poissonian potential measures and the Poissonian occupation times are derived in terms of (known) scale functions. Other fluctuation identities are also derived.

math.PR↗

arXiv2026

L\'evy processes with partially stochastic resetting

In this paper, we solve exit problems for a L\'evy process that resets proportionally to its current position at independent Poisson epochs times. This resetting causes an additional (proportional to its current level) downward (upward) jump when the current position of the process is on the positive (negative) domain. Such a process can be expressed as an SDE, whose existence and uniqueness it discussed. All identities are given in terms of new family of scale functions. To obtain the new family of scale functions, we reduce the problem of the LT of the exit times into integral equations that are solve in terms of resolvent series.

math.PR↗

arXiv2025

Finite-Time Ruin for the Compound Markov Binomial Risk Model

In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk process has interchangeable increments and consequently, its finite-time ruin probability can be obtained in terms of Tak\'acs' famous Ballot Theorem results. Unfortunately, due to the dependency of our process on the state(s) of the modulating chain these do not necessarily extend to the modulated setting. We show that a general form of the Ballot Theorem remains valid under the stationary distribution of the modulating chain, yielding a Tak\'acs-type expression for the finite-time ruin probability which holds only when the initial surplus is equal to zero. For the case of arbitrary initial surplus, we develop an approach based on multivariate Lagrangian inversion, from which we derive distributional results for various hitting times of the risk process, including a Seal-type formula for the finite-time ruin probability.

math.PR↗

arXiv2025

L\'evy processes under level-dependent Poissonian switching

In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two L\'evy processes if it is above (or below) a barrier $b$ and coincides with a Poissonian arrival time. This can be expressed in the form of a (hybrid) stochastic differential equation, for which the existence of its solution is also discussed. All identities are given in terms of new generalisations of scale functions (counterparts of the scale functions from the theory of L\'evy processes). To illustrate the applicability of our results, the probability of ruin is obtained for a risk process with delays in the dividend payments.

math.PR↗

arXiv2022

Gerber-Shiu Theory for Discrete Risk Processes in a Regime Switching Environment

In this paper we develop the Gerber-Shiu theory for the classic and dual discrete risk processes in a Markovian (regime switching) environment. In particular, by expressing the Gerber-Shiu function in terms of potential measures of an upward (downward) skip-free discrete-time and discrete-space Markov Additive Process (MAP), we derive closed form expressions for the Gerber-Shiu function in terms of the so-called (discrete) $\boldsymbol{W}_v$ and $\boldsymbol{Z}_v$ scale matrices, which were introduced in arXiv:2008.06697. We show that the discrete scale matrices allow for a unified approach for identifying the Gerber-Shiu function as well as the value function of the associated constant dividend barrier problems.

math.PR↗

arXiv2020

Exit Times for a Discrete Markov Additive Process

In this paper we consider (upward skip-free) discrete-time and discrete-space Markov additive chains (MACs) and develop the theory for the so-called $\tilde{W}$ and $\tilde{Z}$ scale matrices. which are shown to play a vital role in the determination of a number of exit problems and related fluctuation identities. The theory developed in this fully discrete setup follows similar lines of reasoning as the analogous theory for Markov additive processes in continuous-time and is exploited to obtain the probabilistic construction of the scale matrices, identify the form of the generating function and produce a simple recursion relation for $\tilde{W}$, as well as its connection with the so-called occupation mass formula. In addition to the standard one and two-sided exit problems (upwards and downwards), we also derive distributional characteristics for a number of quantities related to the one and two-sided `reflected' processes.

math.PR↗

arXiv2017

Parisian ruin for the dual risk process in discrete-time

In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin probability, in terms of classic discrete-time dual ruin probabilities. Moreover, we obtain an explicit expression for the corresponding infnite-time Parisian ruin probability as a limiting case. In order to obtain more analytic results, we employ a conditioning argument and derive a new expression for the classic infinite-time ruin probability in the dual risk model and hence, an alternative form of the infnite-time Parisian ruin probability. Finally, we explore some interesting special cases, including the Binomial/Geometric model, and obtain a simple expression for the Parisian ruin probability of the Gambler's ruin problem.

math.PR↗