Vincent, Léonard; Albrecher, Hansjörg; Krvavych, Yuriy Structured reinsurance deals with reference to relative market performance. (English) Zbl 1475.91320 Insur. Math. Econ. 101, 125-139 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{L. Vincent} et al., Insur. Math. Econ. 101, 125--139 (2021; Zbl 1475.91320) Full Text: DOI OA License
Moro, Eric Dal; Krvavych, Yuriy Probability of sufficiency of Solvency II reserve risk margins: practical approximations. (English) Zbl 1390.62217 ASTIN Bull. 47, No. 3, 737-785 (2017). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{E. D. Moro} and \textit{Y. Krvavych}, ASTIN Bull. 47, No. 3, 737--785 (2017; Zbl 1390.62217) Full Text: DOI
Krvavych, Yuriy; Sherris, Michael Enhancing insurer value through reinsurance optimization. (English) Zbl 1168.91415 Insur. Math. Econ. 38, No. 3, 495-517 (2006). MSC: 91B30 62E10 62P05 90C90 PDFBibTeX XMLCite \textit{Y. Krvavych} and \textit{M. Sherris}, Insur. Math. Econ. 38, No. 3, 495--517 (2006; Zbl 1168.91415) Full Text: DOI
Jang, Ji-Wook; Krvavych, Yuriy Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform. (English) Zbl 1075.62096 Insur. Math. Econ. 35, No. 1, 97-111 (2004). MSC: 62P05 91B30 60G70 PDFBibTeX XMLCite \textit{J.-W. Jang} and \textit{Y. Krvavych}, Insur. Math. Econ. 35, No. 1, 97--111 (2004; Zbl 1075.62096) Full Text: DOI
Krvavych, Yu. V. Existence and uniqueness of solution, change of measure and applications in finance of semilinear stochastic differential equations that contain fractional Brownian motion. (Ukrainian, English) Zbl 1026.60074 Teor. Jmovirn. Mat. Stat. 65, 79-90 (2001); translation in Theory Probab. Math. Stat. 65, 89-100 (2002). Reviewer: Mikhail Moklyachuk (Kyïv) MSC: 60H05 60G17 60G44 60H10 60G15 62P05 PDFBibTeX XMLCite \textit{Yu. V. Krvavych}, Teor. Ĭmovirn. Mat. Stat. 65, 79--90 (2001; Zbl 1026.60074); translation in Theory Probab. Math. Stat. 65, 89--100 (2002)
Krvavych, Yu. V.; Mishura, Yu. S. Problems of stochastic analysis of Wiener integrals constructed by fractional Brownian motion. (Ukrainian. English summary) Zbl 0982.60079 Dopov. Nats. Akad. Nauk Ukr., Mat. Pryr. Tekh. Nauky 2001, No. 8, 14-18 (2001). Reviewer: M.P.Moklyachuk (Kyïv) MSC: 60J65 62P05 PDFBibTeX XMLCite \textit{Yu. V. Krvavych} and \textit{Yu. S. Mishura}, Dopov. Nats. Akad. Nauk Ukr., Mat. Pryr. Tekh. Nauky 2001, No. 8, 14--18 (2001; Zbl 0982.60079)
Krvavych, Yu. V.; Mishura, Yu. S. Differentiability of fractional integrals whose kernels contain fractional Brownian motion. (English. Ukrainian original) Zbl 0985.60057 Ukr. Math. J. 53, No. 1, 35-47 (2001); translation from Ukr. Mat. Zh. 53, No. 1, 30-40 (2001). Reviewer: A.N.Kochubei (Kyïv) MSC: 60H05 26A33 60G51 PDFBibTeX XMLCite \textit{Yu. V. Krvavych} and \textit{Yu. S. Mishura}, Ukr. Mat. Zh. 53, No. 1, 30--40 (2001; Zbl 0985.60057); translation from Ukr. Mat. Zh. 53, No. 1, 30--40 (2001)
Krvavych, Yuriy; Mishura, Yuliya Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations. (English) Zbl 0983.60057 Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 230-238 (2001). MSC: 60H10 PDFBibTeX XMLCite \textit{Y. Krvavych} and \textit{Y. Mishura}, in: Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5--7, 2000. Basel: Birkhäuser. 230--238 (2001; Zbl 0983.60057)
Krvavych, Yurij V.; Mishura, Yuliya S. The stochastic Fubini theorem for integrals containing random integrand and fractional Brownian motion as integrator. (English) Zbl 0988.60056 Theory Stoch. Process. 6(22), No. 1-2, 79-89 (2000). Reviewer: Mikhail Moklyachuk (Kyïv) MSC: 60H05 60G17 60G15 PDFBibTeX XMLCite \textit{Y. V. Krvavych} and \textit{Y. S. Mishura}, Theory Stoch. Process. 6(22), No. 1--2, 79--89 (2000; Zbl 0988.60056)
Krvavych, Yu. V.; Mishura, Yu. S. Conditions of presence and absence of arbitrage for a model of \((B,S)\)-market defined by fractional Brownian motion. (Ukrainian. English summary) Zbl 0984.91039 Visn., Mat. Mekh., Kyïv. Univ. Im. Tarasa Shevchenka 2000, No. 4, 9-16 (2000). Reviewer: M.P.Moklyachuk (Kyïv) MSC: 91B26 62P05 60H05 PDFBibTeX XMLCite \textit{Yu. V. Krvavych} and \textit{Yu. S. Mishura}, Visn., Mat. Mekh., Kyïv. Univ. Im. Tarasa Shevchenka 2000, No. 4, 9--16 (2000; Zbl 0984.91039)
Krvavych, Yu. V.; Mishura, Yu. S. Maximal inequalities for moments of Wiener integrals with respect to fractional Brownian motion. (English. Ukrainian original) Zbl 0985.60032 Theory Probab. Math. Stat. 61, 75-86 (2000); translation from Teor. Jmovirn. Mat. Stat. 61, 72-83 (2000). Reviewer: A.V.Swishchuk (Kyïv) MSC: 60G15 60H10 60G44 PDFBibTeX XMLCite \textit{Yu. V. Krvavych} and \textit{Yu. S. Mishura}, Teor. Ĭmovirn. Mat. Stat. 61, 72--83 (2000; Zbl 0985.60032); translation from Teor. Jmovirn. Mat. Stat. 61, 72--83 (2000)