Lu, Yang; Zhang, Jinggong; Zhu, Wenjun Cyber risk modeling: a discrete multivariate count process approach. (English) Zbl 07896852 Scand. Actuar. J. 2024, No. 6, 625-655 (2024). MSC: 91B30 PDFBibTeX XMLCite \textit{Y. Lu} et al., Scand. Actuar. J. 2024, No. 6, 625--655 (2024; Zbl 07896852) Full Text: DOI
Guan, Guohui; Liang, Zongxia; Xia, Yi Optimal management of DB pension fund under both underfunded and overfunded cases. (English) Zbl 07896851 Scand. Actuar. J. 2024, No. 6, 583-624 (2024). MSC: 91B30 91G05 91G10 91B05 PDFBibTeX XMLCite \textit{G. Guan} et al., Scand. Actuar. J. 2024, No. 6, 583--624 (2024; Zbl 07896851) Full Text: DOI arXiv
van Kreveld, Lucas; Mandjes, Michel; Dorsman, Jan-Pieter Cramér-Lundberg asymptotics for spectrally positive Markov additive processes. (English) Zbl 07896850 Scand. Actuar. J. 2024, No. 6, 561-582 (2024). MSC: 91B30 PDFBibTeX XMLCite \textit{L. van Kreveld} et al., Scand. Actuar. J. 2024, No. 6, 561--582 (2024; Zbl 07896850) Full Text: DOI OA License
Ahmad, Jamaal; Bladt, Mogens Aggregate Markov models in life insurance: estimation via the EM algorithm. (English) Zbl 07896849 Scand. Actuar. J. 2024, No. 6, 533-560 (2024). MSC: 91B30 62M05 60J27 60J28 91G70 PDFBibTeX XMLCite \textit{J. Ahmad} and \textit{M. Bladt}, Scand. Actuar. J. 2024, No. 6, 533--560 (2024; Zbl 07896849) Full Text: DOI arXiv
Li, Jinzhu Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return. (English) Zbl 07887788 Commun. Stat., Theory Methods 53, No. 16, 5773-5784 (2024). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{J. Li}, Commun. Stat., Theory Methods 53, No. 16, 5773--5784 (2024; Zbl 07887788) Full Text: DOI
Chen, Yanhong; Miao, Liangliang Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps. (English) Zbl 07881557 Commun. Stat., Theory Methods 53, No. 14, 5092-5116 (2024). MSC: 91B30 60G07 91B32 60J60 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{L. Miao}, Commun. Stat., Theory Methods 53, No. 14, 5092--5116 (2024; Zbl 07881557) Full Text: DOI
Fu, Ke-Ang; Liu, Yang; Wang, Jiangfeng Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times. (English) Zbl 07880504 Commun. Stat., Theory Methods 53, No. 11, 4116-4126 (2024). MSC: 60F10 91B30 60K05 PDFBibTeX XMLCite \textit{K.-A. Fu} et al., Commun. Stat., Theory Methods 53, No. 11, 4116--4126 (2024; Zbl 07880504) Full Text: DOI
Xu, Chenghao; Wang, Kaiyong; Wu, Xinyi The finite-time ruin probability of a risk model with stochastic return and subexponential claim sizes. (English) Zbl 07833924 Commun. Stat., Theory Methods 53, No. 6, 2194-2204 (2024). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{C. Xu} et al., Commun. Stat., Theory Methods 53, No. 6, 2194--2204 (2024; Zbl 07833924) Full Text: DOI
Liu, Xijun; Gao, Qingwu; Dong, Zimai Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims. (English) Zbl 07803299 Stoch. Models 40, No. 1, 97-122 (2024). MSC: 62E20 62P05 91B30 PDFBibTeX XMLCite \textit{X. Liu} et al., Stoch. Models 40, No. 1, 97--122 (2024; Zbl 07803299) Full Text: DOI
Rincón, Luis; Santana, David J. Ruin probability for finite negative binomial mixture claims via recurrence sequences. (English) Zbl 07772211 Commun. Stat., Theory Methods 53, No. 2, 557-573 (2024). MSC: 91B30 91G99 60G99 PDFBibTeX XMLCite \textit{L. Rincón} and \textit{D. J. Santana}, Commun. Stat., Theory Methods 53, No. 2, 557--573 (2024; Zbl 07772211) Full Text: DOI
Laeven, Roger J. A.; Gianin, Emanuela Rosazza; Zullino, Marco Geometric BSDEs. arXiv:2405.09260 Preprint, arXiv:2405.09260 [math.PR] (2024). MSC: 60H10 60H30 91B06 91B30 62P05 BibTeX Cite \textit{R. J. A. Laeven} et al., ``Geometric BSDEs'', Preprint, arXiv:2405.09260 [math.PR] (2024) Full Text: arXiv OA License
Ghossoub, Mario; Principi, Giulio; Wang, Ruodu Allocation Mechanisms in Decentralized Exchange Markets with Frictions. arXiv:2404.10900 Preprint, arXiv:2404.10900 [cs.GT] (2024). MSC: 46A20 46A22 46N10 47H99 47N10 91B05 91B30 91G99 BibTeX Cite \textit{M. Ghossoub} et al., ``Allocation Mechanisms in Decentralized Exchange Markets with Frictions'', Preprint, arXiv:2404.10900 [cs.GT] (2024) Full Text: arXiv OA License
Bassou, Leila; Djete, Mao Fabrice; Touzi, Nizar Mean Field Game of Mutual Holding with common noise. arXiv:2403.16232 Preprint, arXiv:2403.16232 [math.PR] (2024). MSC: 60K35 60H30 91A13 91A23 91B30 BibTeX Cite \textit{L. Bassou} et al., ``Mean Field Game of Mutual Holding with common noise'', Preprint, arXiv:2403.16232 [math.PR] (2024) Full Text: arXiv OA License
Moreno-Franco, Harold A.; Pérez, Jose-Luis On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs. arXiv:2403.16077 Preprint, arXiv:2403.16077 [math.OC] (2024). MSC: 91B30 60G51 93E20 BibTeX Cite \textit{H. A. Moreno-Franco} and \textit{J.-L. Pérez}, ``On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs'', Preprint, arXiv:2403.16077 [math.OC] (2024) Full Text: arXiv OA License
Dimitriou, Ioannis On dual risk models with proportional gains and dependencies. arXiv:2402.12178 Preprint, arXiv:2402.12178 [math.PR] (2024). MSC: 60J99 60G51 91B30 BibTeX Cite \textit{I. Dimitriou}, ``On dual risk models with proportional gains and dependencies'', Preprint, arXiv:2402.12178 [math.PR] (2024) Full Text: arXiv OA License
Mollaie, Rahele; Nooghabi, Mehdi Jabbari Bayesian Premium Estimators for Pareto Distribution in the Presence of Outliers. (English) Zbl 07902602 J. Iran. Stat. Soc. JIRSS 22, No. 1, 49-66 (2023). MSC: 62F15 62F35 91B30 PDFBibTeX XMLCite \textit{R. Mollaie} and \textit{M. J. Nooghabi}, J. Iran. Stat. Soc. JIRSS 22, No. 1, 49--66 (2023; Zbl 07902602) Full Text: DOI
Lefèvre, Claude; Picard, Philippe Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities. (English) Zbl 07794356 Depend. Model. 11, Article ID 20230107, 17 p. (2023). MSC: 26C05 05A99 91B30 PDFBibTeX XMLCite \textit{C. Lefèvre} and \textit{P. Picard}, Depend. Model. 11, Article ID 20230107, 17 p. (2023; Zbl 07794356) Full Text: DOI OA License
Liu, Xijun; Gao, Qingwu Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-Stationary arrivals. (English) Zbl 07753898 J. Math. Inequal. 17, No. 3, 849-865 (2023). MSC: 62P05 62E20 91B30 PDFBibTeX XMLCite \textit{X. Liu} and \textit{Q. Gao}, J. Math. Inequal. 17, No. 3, 849--865 (2023; Zbl 07753898) Full Text: DOI
Shen, Xinmei; Yuan, Meng; Lu, Dawei Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims. (English) Zbl 07736121 Commun. Stat., Theory Methods 52, No. 19, 6878-6895 (2023). MSC: 62E20 62P05 91B30 PDFBibTeX XMLCite \textit{X. Shen} et al., Commun. Stat., Theory Methods 52, No. 19, 6878--6895 (2023; Zbl 07736121) Full Text: DOI
Wei, Linhai; Hu, Yijun Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity. (English) Zbl 07720178 Commun. Stat., Theory Methods 52, No. 18, 6684-6694 (2023). MSC: 91B28 91B30 91B32 PDFBibTeX XMLCite \textit{L. Wei} and \textit{Y. Hu}, Commun. Stat., Theory Methods 52, No. 18, 6684--6694 (2023; Zbl 07720178) Full Text: DOI
Fu, Ke-Ang; Wang, Jiangfeng Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times. (English) Zbl 07720156 Commun. Stat., Theory Methods 52, No. 17, 6266-6274 (2023). MSC: 60F10 91B30 60K05 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{J. Wang}, Commun. Stat., Theory Methods 52, No. 17, 6266--6274 (2023; Zbl 07720156) Full Text: DOI
Bi, Junna; Li, Danping Behavioral mean-risk portfolio selection in continuous time via quantile. (English) Zbl 07710574 Commun. Stat., Theory Methods 52, No. 14, 4904-4933 (2023). MSC: 90C39 91B30 91G80 PDFBibTeX XMLCite \textit{J. Bi} and \textit{D. Li}, Commun. Stat., Theory Methods 52, No. 14, 4904--4933 (2023; Zbl 07710574) Full Text: DOI
Song, Zhan-Jie; Sun, Fu-Yun The dual risk model under a mixed ratcheting and periodic dividend strategy. (English) Zbl 07706253 Commun. Stat., Theory Methods 52, No. 10, 3526-3540 (2023). MSC: 91B30 97M30 60J75 PDFBibTeX XMLCite \textit{Z.-J. Song} and \textit{F.-Y. Sun}, Commun. Stat., Theory Methods 52, No. 10, 3526--3540 (2023; Zbl 07706253) Full Text: DOI
Liu, Shanshan; Liu, Zhaoyang; Liu, Guoxin Optimal dividend strategy for the dual model with surplus-dependent expense. (English) Zbl 07649627 Commun. Stat., Theory Methods 52, No. 3, 543-566 (2023). MSC: 60J25 91B30 93E20 PDFBibTeX XMLCite \textit{S. Liu} et al., Commun. Stat., Theory Methods 52, No. 3, 543--566 (2023; Zbl 07649627) Full Text: DOI
Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria-Laura Irreversible reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. arXiv:2309.16303 Preprint, arXiv:2309.16303 [math.OC] (2023). MSC: 97M30 91B30 60G40 49L20 BibTeX Cite \textit{S. Federico} et al., ``Irreversible reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost'', Preprint, arXiv:2309.16303 [math.OC] (2023) Full Text: arXiv OA License
Djete, Mao Fabrice; Guo, Gaoyue; Touzi, Nizar Mean field game of mutual holding with defaultable agents, and systemic risk. arXiv:2303.07996 Preprint, arXiv:2303.07996 [math.PR] (2023). MSC: 60K35 60H30 91A13 91A23 91B30 BibTeX Cite \textit{M. F. Djete} et al., ``Mean field game of mutual holding with defaultable agents, and systemic risk'', Preprint, arXiv:2303.07996 [math.PR] (2023) Full Text: arXiv OA License
He, Jingmin; Wu, Fangling Exact solutions of the two-side exit time problems for the Vasicek model. (English) Zbl 07633421 Commun. Stat., Theory Methods 51, No. 24, 8625-8633 (2022). MSC: 62P20 91B30 PDFBibTeX XMLCite \textit{J. He} and \textit{F. Wu}, Commun. Stat., Theory Methods 51, No. 24, 8625--8633 (2022; Zbl 07633421) Full Text: DOI
Yang, Yang; Liu, Shuang; Yuen, Kam Chuen Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model. (English) Zbl 07621022 J. Theor. Probab. 35, No. 4, 2600-2621 (2022). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Theor. Probab. 35, No. 4, 2600--2621 (2022; Zbl 07621022) Full Text: DOI
Malecka, Marta Asymptotic properties of duration-based VaR backtests. (English) Zbl 07612251 Stat. Risk. Model. 39, No. 3-4, 49-73 (2022). MSC: 62E20 62M07 62M10 62P20 91B30 91B70 91B84 PDFBibTeX XMLCite \textit{M. Malecka}, Stat. Risk. Model. 39, No. 3--4, 49--73 (2022; Zbl 07612251) Full Text: DOI
Psarrakos, Georgios Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model. (English) Zbl 07596347 Commun. Stat., Theory Methods 51, No. 21, 7631-7651 (2022). MSC: 60K05 91B30 PDFBibTeX XMLCite \textit{G. Psarrakos}, Commun. Stat., Theory Methods 51, No. 21, 7631--7651 (2022; Zbl 07596347) Full Text: DOI
Chen, Yanhong; Hu, Yijun Optimal insurance design under Vajda condition and exclusion clauses. (English) Zbl 07571127 Commun. Stat., Theory Methods 51, No. 18, 6268-6295 (2022). MSC: 91B30 91B32 91B70 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{Y. Hu}, Commun. Stat., Theory Methods 51, No. 18, 6268--6295 (2022; Zbl 07571127) Full Text: DOI
Yan, Rongfang; Wang, Junrui Component level versus system level at active redundancies for coherent systems with dependent heterogeneous components. (English) Zbl 07533631 Commun. Stat., Theory Methods 51, No. 6, 1724-1744 (2022). MSC: 91B16 91B30 60E15 62-XX PDFBibTeX XMLCite \textit{R. Yan} and \textit{J. Wang}, Commun. Stat., Theory Methods 51, No. 6, 1724--1744 (2022; Zbl 07533631) Full Text: DOI
Zeng, Xianfu; Song, Haiyan; Chen, Yanhong; Hu, Yijun Multivariate shortfall risk statistics with scenario analysis. (English) Zbl 07532297 Commun. Stat., Theory Methods 51, No. 3, 649-668 (2022). MSC: 91B30 91B32 91B70 62-XX PDFBibTeX XMLCite \textit{X. Zeng} et al., Commun. Stat., Theory Methods 51, No. 3, 649--668 (2022; Zbl 07532297) Full Text: DOI
Macci, C.; Pacchiarotti, B. Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities. arXiv:2205.10547 Preprint, arXiv:2205.10547 [math.PR] (2022). MSC: 60F10 60G15 60G22 91B30 BibTeX Cite \textit{C. Macci} and \textit{B. Pacchiarotti}, ``Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities'', Preprint, arXiv:2205.10547 [math.PR] (2022) Full Text: arXiv OA License
Kataria, K. K.; Khandakar, M.; Vellaisamy, P. Generalized Counting Process: its Non-Homogeneous and Time-Changed Versions. arXiv:2210.03981 Preprint, arXiv:2210.03981 [math.PR] (2022). MSC: 60G22 60G55 60G51 91B30 BibTeX Cite \textit{K. K. Kataria} et al., ``Generalized Counting Process: its Non-Homogeneous and Time-Changed Versions'', Preprint, arXiv:2210.03981 [math.PR] (2022) Full Text: arXiv OA License
Laeven, Roger J. A.; Gianin, Emanuela Rosazza Quasi-Logconvex Measures of Risk. arXiv:2208.07694 Preprint, arXiv:2208.07694 [q-fin.RM] (2022). MSC: 91B06 91B30 62P05 90C46 BibTeX Cite \textit{R. J. A. Laeven} and \textit{E. R. Gianin}, ``Quasi-Logconvex Measures of Risk'', Preprint, arXiv:2208.07694 [q-fin.RM] (2022) Full Text: arXiv OA License
Lin, Jianxi Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims. (English) Zbl 07532943 Commun. Stat., Theory Methods 50, No. 5, 1200-1209 (2021). MSC: 91B30 62E20 60G50 62-XX PDFBibTeX XMLCite \textit{J. Lin}, Commun. Stat., Theory Methods 50, No. 5, 1200--1209 (2021; Zbl 07532943) Full Text: DOI
Zhang, Qiang; Chen, Ping Regression credibility estimator with two-level common effects. (English) Zbl 07532928 Commun. Stat., Theory Methods 50, No. 4, 910-931 (2021). MSC: 62P05 91B30 97M30 62-XX PDFBibTeX XMLCite \textit{Q. Zhang} and \textit{P. Chen}, Commun. Stat., Theory Methods 50, No. 4, 910--931 (2021; Zbl 07532928) Full Text: DOI
Yan, Xingyu; Zhang, Yiying; Zhao, Peng Standby redundancies at component level versus system level in series system. (English) Zbl 07532133 Commun. Stat., Theory Methods 50, No. 2, 473-485 (2021). MSC: 91B16 91B30 60E15 62-XX PDFBibTeX XMLCite \textit{X. Yan} et al., Commun. Stat., Theory Methods 50, No. 2, 473--485 (2021; Zbl 07532133) Full Text: DOI
Wei, Shengxue; Gan, Xiaoli; Xing, Guodong Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure. (English) Zbl 07532110 Commun. Stat., Theory Methods 50, No. 1, 132-142 (2021). MSC: 60F05 91B30 62-XX PDFBibTeX XMLCite \textit{S. Wei} et al., Commun. Stat., Theory Methods 50, No. 1, 132--142 (2021; Zbl 07532110) Full Text: DOI
Chen, Yanhong; Hu, Yijun Optimal reinsurance from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition. (English) Zbl 07531008 Commun. Stat., Theory Methods 50, No. 15, 3677-3694 (2021). MSC: 91B30 91B32 91B70 62-XX PDFBibTeX XMLCite \textit{Y. Chen} and \textit{Y. Hu}, Commun. Stat., Theory Methods 50, No. 15, 3677--3694 (2021; Zbl 07531008) Full Text: DOI
Guo, Jie; Qian, Xiaosong; Wang, Guojing Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model. (English) Zbl 07530957 Commun. Stat., Theory Methods 50, No. 9, 2117-2135 (2021). MSC: 60J27 91G20 91G40 91B30 62-XX PDFBibTeX XMLCite \textit{J. Guo} et al., Commun. Stat., Theory Methods 50, No. 9, 2117--2135 (2021; Zbl 07530957) Full Text: DOI
Guambe, Calisto; Kufakunesu, Rodwell; van Zyl, Gusti; Beyers, Conrad Optimal asset allocation for a DC plan with partial information under inflation and mortality risks. (English) Zbl 07530952 Commun. Stat., Theory Methods 50, No. 9, 2048-2061 (2021). MSC: 60H30 91B30 93E20 91G10 91G80 62-XX PDFBibTeX XMLCite \textit{C. Guambe} et al., Commun. Stat., Theory Methods 50, No. 9, 2048--2061 (2021; Zbl 07530952) Full Text: DOI arXiv
Bandarra, Michelle; Guigues, Vincent Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments. (English) Zbl 07432763 Comput. Manag. Sci. 18, No. 2, 125-148 (2021). MSC: 90Bxx 90C15 91B30 PDFBibTeX XMLCite \textit{M. Bandarra} and \textit{V. Guigues}, Comput. Manag. Sci. 18, No. 2, 125--148 (2021; Zbl 07432763) Full Text: DOI arXiv
Hägele, Miriam; Lehtomaa, Jaakko On the identification of the riskiest directional components from multivariate heavy-tailed data. arXiv:2112.05759 Preprint, arXiv:2112.05759 [math.ST] (2021). MSC: 60E05 91B30 91B28 62P05 BibTeX Cite \textit{M. Hägele} and \textit{J. Lehtomaa}, ``On the identification of the riskiest directional components from multivariate heavy-tailed data'', Preprint, arXiv:2112.05759 [math.ST] (2021) Full Text: DOI arXiv OA License
Qiu, Qinjing; Kawai, Reiichiro A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes. arXiv:2105.13015 Preprint, arXiv:2105.13015 [math.PR] (2021). MSC: 91B30 60G51 65M15 65N15 BibTeX Cite \textit{Q. Qiu} and \textit{R. Kawai}, ``A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes'', Preprint, arXiv:2105.13015 [math.PR] (2021) Full Text: DOI arXiv OA License
Hägele, Miriam; Lehtomaa, Jaakko Large deviations for a class of multivariate heavy-tailed risk processes used in insurance and finance. arXiv:2103.11707 Preprint, arXiv:2103.11707 [math.PR] (2021). MSC: 60G50 91B30 BibTeX Cite \textit{M. Hägele} and \textit{J. Lehtomaa}, ``Large deviations for a class of multivariate heavy-tailed risk processes used in insurance and finance'', Preprint, arXiv:2103.11707 [math.PR] (2021) Full Text: DOI arXiv OA License
Xing, Guo-dong; Gan, Xiaoli; Li, Xiaohu; Yang, Shanchao On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. (English) Zbl 07552808 Commun. Stat., Simulation Comput. 49, No. 9, 2462-2471 (2020). MSC: 60F05 91B30 PDFBibTeX XMLCite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 9, 2462--2471 (2020; Zbl 07552808) Full Text: DOI
Xing, Guo-dong; Li, Xiaohu; Yang, Shanchao On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. (English) Zbl 07552783 Commun. Stat., Simulation Comput. 49, No. 8, 2049-2058 (2020). MSC: 60F05 91B30 PDFBibTeX XMLCite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 8, 2049--2058 (2020; Zbl 07552783) Full Text: DOI
Xing, Guo-dong; Li, Xiaohu; Yang, Shanchao Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model. (English) Zbl 07552588 Commun. Stat., Simulation Comput. 49, No. 2, 491-503 (2020). MSC: 60F05 91B30 PDFBibTeX XMLCite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 2, 491--503 (2020; Zbl 07552588) Full Text: DOI
Naqvi, Sameen; Zhang, Yiying; Zhao, Peng Ordering results for individual risk model with dependent location-scale claim severities. (English) Zbl 07549071 Commun. Stat., Theory Methods 49, No. 4, 942-957 (2020). MSC: 91B16 91B30 60E15 PDFBibTeX XMLCite \textit{S. Naqvi} et al., Commun. Stat., Theory Methods 49, No. 4, 942--957 (2020; Zbl 07549071) Full Text: DOI
Nair, N. Unnikrishnan; Sunoj, S. M.; Vipin, N. On characterizations of some bivariate continuous distributions by properties of higher-degree bivariate stop-loss transforms. (English) Zbl 07549040 Commun. Stat., Theory Methods 49, No. 2, 403-420 (2020). MSC: 62N05 91B30 PDFBibTeX XMLCite \textit{N. U. Nair} et al., Commun. Stat., Theory Methods 49, No. 2, 403--420 (2020; Zbl 07549040) Full Text: DOI
Gerhold, Stefan A note on large deviations in life insurance. arXiv:2009.01644 Preprint, arXiv:2009.01644 [math.PR] (2020). MSC: 60F10 91B30 BibTeX Cite \textit{S. Gerhold}, ``A note on large deviations in life insurance'', Preprint, arXiv:2009.01644 [math.PR] (2020) Full Text: arXiv OA License
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D. Some martingale characterizations of compound mixed Poisson processes. arXiv:2004.07835 Preprint, arXiv:2004.07835 [math.PR] (2020). MSC: 60G50 91B30 28A50 60G44 BibTeX Cite \textit{D. P. Lyberopoulos} and \textit{N. D. Macheras}, ``Some martingale characterizations of compound mixed Poisson processes'', Preprint, arXiv:2004.07835 [math.PR] (2020) Full Text: arXiv OA License
Kang, Zhilin; Zhao, Linhai; Sun, Jingyun The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors. (English) Zbl 07566380 Physica A 526, Article ID 120778, 10 p. (2019). MSC: 82-XX 91G10 91B30 90C90 PDFBibTeX XMLCite \textit{Z. Kang} et al., Physica A 526, Article ID 120778, 10 p. (2019; Zbl 07566380) Full Text: DOI
Chen, Yanhong; Hu, Yijun Systemic risk statistics with scenario analysis. (English) Zbl 07539732 Commun. Stat., Theory Methods 48, No. 14, 3558-3569 (2019). MSC: 91B30 91B32 91B70 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{Y. Hu}, Commun. Stat., Theory Methods 48, No. 14, 3558--3569 (2019; Zbl 07539732) Full Text: DOI
Lu, Dawei; Song, Lixin; Li, Fuqi Uniform asymptotics for discounted aggregate claims in dependent multi-risk model. (English) Zbl 07530624 Commun. Stat., Theory Methods 48, No. 4, 781-793 (2019). MSC: 91B30 60G51 60K05 PDFBibTeX XMLCite \textit{D. Lu} et al., Commun. Stat., Theory Methods 48, No. 4, 781--793 (2019; Zbl 07530624) Full Text: DOI
Gao, Zhongqin; He, Jingmin The Gerber-Shiu function for the compound Poisson omega model with a three-step premium rate. (English) Zbl 07529905 Commun. Stat., Theory Methods 48, No. 24, 6019-6037 (2019). MSC: 62P20 91B30 62-XX PDFBibTeX XMLCite \textit{Z. Gao} and \textit{J. He}, Commun. Stat., Theory Methods 48, No. 24, 6019--6037 (2019; Zbl 07529905) Full Text: DOI
Liu, Wei; Wei, Linxiao; Hu, Yijun Multivariate convex risk statistics with scenario analysis. (English) Zbl 07529875 Commun. Stat., Theory Methods 48, No. 22, 5585-5601 (2019). MSC: 91B30 91B32 91B70 62-XX PDFBibTeX XMLCite \textit{W. Liu} et al., Commun. Stat., Theory Methods 48, No. 22, 5585--5601 (2019; Zbl 07529875) Full Text: DOI
Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao Pricing under dynamic risk measures. (English) Zbl 1425.91411 Open Math. 17, 894-905 (2019). MSC: 91G20 91G80 91B30 49J53 60D05 PDFBibTeX XMLCite \textit{J. Zhao} et al., Open Math. 17, 894--905 (2019; Zbl 1425.91411) Full Text: DOI OA License
Hess, Markus Minimal variance hedging in multicurve interest rate modeling. (English) Zbl 1425.91415 Lith. Math. J. 59, No. 3, 338-356 (2019). MSC: 91G30 91G20 60G44 60G51 60H07 60H10 91B30 91G70 PDFBibTeX XMLCite \textit{M. Hess}, Lith. Math. J. 59, No. 3, 338--356 (2019; Zbl 1425.91415) Full Text: DOI
Abito, Jose Miguel; Salant, Yuval The effect of product misperception on economic outcomes: evidence from the extended warranty market. (English) Zbl 1425.91259 Rev. Econ. Stud. 86, No. 6, 2285-2318 (2019). MSC: 91B42 91B44 91B30 PDFBibTeX XMLCite \textit{J. M. Abito} and \textit{Y. Salant}, Rev. Econ. Stud. 86, No. 6, 2285--2318 (2019; Zbl 1425.91259) Full Text: DOI
Zhou, Chen Book review of: D. G. Konstantinides, Risk theory: a heavy tail approach. (English) Zbl 1425.00066 J. Am. Stat. Assoc. 114, No. 527, 1424-1425 (2019). MSC: 00A17 91-02 91B30 91G40 62G32 60K05 60H10 PDFBibTeX XMLCite \textit{C. Zhou}, J. Am. Stat. Assoc. 114, No. 527, 1424--1425 (2019; Zbl 1425.00066) Full Text: DOI
Zhao, Han; Song, Shiji; Zhang, Yuli; Gupta, Jatinder N. D.; Devlin, Anna G.; Chiong, Raymond Supply chain coordination with a risk-averse retailer and a combined buy-back and revenue sharing contract. (English) Zbl 1425.90020 Asia-Pac. J. Oper. Res. 36, No. 5, Article ID 1950028, 23 p. (2019). MSC: 90B06 90B05 91B30 PDFBibTeX XMLCite \textit{H. Zhao} et al., Asia-Pac. J. Oper. Res. 36, No. 5, Article ID 1950028, 23 p. (2019; Zbl 1425.90020) Full Text: DOI
Chang, Yiming; Zhao, Shangmei; Hu, Fei The payouts choice for deposit insurance system. (English) Zbl 1425.91216 J. Syst. Sci. Complex. 32, No. 5, 1404-1425 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{Y. Chang} et al., J. Syst. Sci. Complex. 32, No. 5, 1404--1425 (2019; Zbl 1425.91216) Full Text: DOI
Marri, Fouad; Adékambi, Franck On the moments of the aggregate discounted claims with dependence between inter-arrival times. (English) Zbl 1423.60138 Markov Process. Relat. Fields 25, No. 1, 149-169 (2019). MSC: 60K20 91B30 PDFBibTeX XMLCite \textit{F. Marri} and \textit{F. Adékambi}, Markov Process. Relat. Fields 25, No. 1, 149--169 (2019; Zbl 1423.60138)
Dowd, Kevin; Buckner, Dean; Blake, David; Fry, John The valuation of no-negative equity guarantees and equity release mortgages. (English) Zbl 1422.91340 Econ. Lett. 184, Article ID 108669, 4 p. (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{K. Dowd} et al., Econ. Lett. 184, Article ID 108669, 4 p. (2019; Zbl 1422.91340) Full Text: DOI Link
Dong, Bing; Xu, Wei; Kwok, Yue Kuen Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models. (English) Zbl 1422.91339 Quant. Finance 19, No. 10, 1741-1761 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{B. Dong} et al., Quant. Finance 19, No. 10, 1741--1761 (2019; Zbl 1422.91339) Full Text: DOI
Hull, John Book review of: M. H. A. Davis, Mathematical finance. A very short introduction. (English) Zbl 1425.00035 Quant. Finance 19, No. 10, 1609-1610 (2019). MSC: 00A17 91-01 91G20 91G30 91G40 91G10 91B30 PDFBibTeX XMLCite \textit{J. Hull}, Quant. Finance 19, No. 10, 1609--1610 (2019; Zbl 1425.00035) Full Text: DOI
Liu, Desu; Menegatti, Mario Optimal saving and health prevention. (English) Zbl 1425.91229 J. Econ. 128, No. 2, 177-191 (2019). MSC: 91B30 91B16 PDFBibTeX XMLCite \textit{D. Liu} and \textit{M. Menegatti}, J. Econ. 128, No. 2, 177--191 (2019; Zbl 1425.91229) Full Text: DOI
Tong, Bin; Diao, Xundi; Wu, Chongfeng Operational risk quantified with spectral risk measures: a refined closed-form approximation. (English) Zbl 1420.91145 Quant. Finance 19, No. 7, 1221-1242 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{B. Tong} et al., Quant. Finance 19, No. 7, 1221--1242 (2019; Zbl 1420.91145) Full Text: DOI
Lim, Byung Hwa; Kwak, Minsuk The impact of a partial borrowing limit on financial decisions. (English) Zbl 1420.91138 Quant. Finance 19, No. 5, 859-883 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{B. H. Lim} and \textit{M. Kwak}, Quant. Finance 19, No. 5, 859--883 (2019; Zbl 1420.91138) Full Text: DOI
Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method. (English) Zbl 1420.91130 Quant. Finance 19, No. 3, 501-518 (2019). MSC: 91B30 91G30 PDFBibTeX XMLCite \textit{N. Gudkov} et al., Quant. Finance 19, No. 3, 501--518 (2019; Zbl 1420.91130) Full Text: DOI
Dong, Hua; Zhou, Xiaowen On a spectrally negative Lévy risk process with periodic dividends and capital injections. (English) Zbl 1425.91221 Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{H. Dong} and \textit{X. Zhou}, Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019; Zbl 1425.91221) Full Text: DOI
Wen, Li-min; Zhuang, Xiao-hong; Mei, Guo-ping; Zhang, Yi Asymptotic normality of nonparametric estimate for zero-utility premiums. (English) Zbl 1420.91148 Acta Math. Appl. Sin., Engl. Ser. 35, No. 3, 607-619 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{L.-m. Wen} et al., Acta Math. Appl. Sin., Engl. Ser. 35, No. 3, 607--619 (2019; Zbl 1420.91148) Full Text: DOI
Ramsden, Lewis; Papaioannou, Apostolos D. Ruin probabilities under capital constraints. (English) Zbl 1425.91232 Insur. Math. Econ. 88, 273-282 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{L. Ramsden} and \textit{A. D. Papaioannou}, Insur. Math. Econ. 88, 273--282 (2019; Zbl 1425.91232) Full Text: DOI Link
Guibert, Quentin; Lopez, Olivier; Piette, Pierrick Forecasting mortality rate improvements with a high-dimensional VAR. (English) Zbl 1425.91223 Insur. Math. Econ. 88, 255-272 (2019). MSC: 91B30 62P05 62M20 91D20 PDFBibTeX XMLCite \textit{Q. Guibert} et al., Insur. Math. Econ. 88, 255--272 (2019; Zbl 1425.91223) Full Text: DOI Link
Burnecki, Krzysztof; Giuricich, Mario Nicoló; Palmowski, Zbigniew Valuation of contingent convertible catastrophe bonds – the case for equity conversion. (English) Zbl 1425.91215 Insur. Math. Econ. 88, 238-254 (2019). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{K. Burnecki} et al., Insur. Math. Econ. 88, 238--254 (2019; Zbl 1425.91215) Full Text: DOI arXiv
Dembińska, Anna; Buraczyńska, Aneta The long-term behavior of number of near-maximum insurance claims. (English) Zbl 1425.91220 Insur. Math. Econ. 88, 226-237 (2019). MSC: 91B30 60F17 PDFBibTeX XMLCite \textit{A. Dembińska} and \textit{A. Buraczyńska}, Insur. Math. Econ. 88, 226--237 (2019; Zbl 1425.91220) Full Text: DOI arXiv
Boonen, Tim J.; Ghossoub, Mario On the existence of a representative reinsurer under heterogeneous beliefs. (English) Zbl 1425.91214 Insur. Math. Econ. 88, 209-225 (2019). MSC: 91B30 91B16 PDFBibTeX XMLCite \textit{T. J. Boonen} and \textit{M. Ghossoub}, Insur. Math. Econ. 88, 209--225 (2019; Zbl 1425.91214) Full Text: DOI Link
Delong, Łukasz; Dhaene, Jan; Barigou, Karim Fair valuation of insurance liability cash-flow streams in continuous time: theory. (English) Zbl 1425.91219 Insur. Math. Econ. 88, 196-208 (2019). MSC: 91B30 35Q91 PDFBibTeX XMLCite \textit{Ł. Delong} et al., Insur. Math. Econ. 88, 196--208 (2019; Zbl 1425.91219) Full Text: DOI Link
Jevtić, Petar; Regis, Luca A continuous-time stochastic model for the mortality surface of multiple populations. (English) Zbl 1425.91226 Insur. Math. Econ. 88, 181-195 (2019). MSC: 91B30 62P05 91D20 93E11 PDFBibTeX XMLCite \textit{P. Jevtić} and \textit{L. Regis}, Insur. Math. Econ. 88, 181--195 (2019; Zbl 1425.91226) Full Text: DOI Link
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, Wenjun Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. (English) Zbl 1425.91238 Insur. Math. Econ. 88, 159-180 (2019). MSC: 91B30 91G40 91A80 PDFBibTeX XMLCite \textit{H. Zhao} et al., Insur. Math. Econ. 88, 159--180 (2019; Zbl 1425.91238) Full Text: DOI
Kim, Bara; Kim, Jeongsim Stochastic ordering of Gini indexes for multivariate elliptical risks. (English) Zbl 1425.91227 Insur. Math. Econ. 88, 151-158 (2019). MSC: 91B30 60E15 91B82 60F10 PDFBibTeX XMLCite \textit{B. Kim} and \textit{J. Kim}, Insur. Math. Econ. 88, 151--158 (2019; Zbl 1425.91227) Full Text: DOI
Lledó, Josep; Pavía, Jose M.; Morillas-Jurado, Francisco G. Incorporating big microdata in life table construction: A hypothesis-free estimator. (English) Zbl 1425.91230 Insur. Math. Econ. 88, 138-150 (2019); corrigendum ibid. 101, 639 (2021). MSC: 91B30 62P05 91D20 PDFBibTeX XMLCite \textit{J. Lledó} et al., Insur. Math. Econ. 88, 138--150 (2019; Zbl 1425.91230) Full Text: DOI
Chen, Lv; Shen, Yang Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework. (English) Zbl 1425.91217 Insur. Math. Econ. 88, 120-137 (2019). MSC: 91B30 91A15 91A65 93E20 91A23 91A05 PDFBibTeX XMLCite \textit{L. Chen} and \textit{Y. Shen}, Insur. Math. Econ. 88, 120--137 (2019; Zbl 1425.91217) Full Text: DOI
Gao, Guangyuan; Wüthrich, Mario V.; Yang, Hanfang Evaluation of driving risk at different speeds. (English) Zbl 1425.91222 Insur. Math. Econ. 88, 108-119 (2019). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{G. Gao} et al., Insur. Math. Econ. 88, 108--119 (2019; Zbl 1425.91222) Full Text: DOI
Chong, Wing Fung Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences. (English) Zbl 1425.91218 Insur. Math. Econ. 88, 93-107 (2019). MSC: 91B30 91G20 60H10 91G10 PDFBibTeX XMLCite \textit{W. F. Chong}, Insur. Math. Econ. 88, 93--107 (2019; Zbl 1425.91218) Full Text: DOI
Laudagé, Christian; Desmettre, Sascha; Wenzel, Jörg Severity modeling of extreme insurance claims for tariffication. (English) Zbl 1425.91228 Insur. Math. Econ. 88, 77-92 (2019). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{C. Laudagé} et al., Insur. Math. Econ. 88, 77--92 (2019; Zbl 1425.91228) Full Text: DOI OA License
Alonso-García, Jennifer; Devolder, Pierre Continuous time model for notional defined contribution pension schemes: liquidity and solvency. (English) Zbl 1425.91210 Insur. Math. Econ. 88, 57-76 (2019). MSC: 91B30 91D20 91B62 PDFBibTeX XMLCite \textit{J. Alonso-García} and \textit{P. Devolder}, Insur. Math. Econ. 88, 57--76 (2019; Zbl 1425.91210) Full Text: DOI Link
Jang, Bong-Gyu; Koo, Hyeng Keun; Park, Seyoung Optimal consumption and investment with insurer default risk. (English) Zbl 1425.91225 Insur. Math. Econ. 88, 44-56 (2019). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{B.-G. Jang} et al., Insur. Math. Econ. 88, 44--56 (2019; Zbl 1425.91225) Full Text: DOI Link
Birghila, Corina; Pflug, Georg Ch. Optimal XL-insurance under Wasserstein-type ambiguity. (English) Zbl 1425.91213 Insur. Math. Econ. 88, 30-43 (2019). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{C. Birghila} and \textit{G. Ch. Pflug}, Insur. Math. Econ. 88, 30--43 (2019; Zbl 1425.91213) Full Text: DOI Link
Barigou, Karim; Chen, Ze; Dhaene, Jan Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency. (English) Zbl 1425.91212 Insur. Math. Econ. 88, 19-29 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{K. Barigou} et al., Insur. Math. Econ. 88, 19--29 (2019; Zbl 1425.91212) Full Text: DOI Link
Zhang, Nan; Jin, Zhuo; Qian, Linyi; Fan, Kun Stochastic differential reinsurance games with capital injections. (English) Zbl 1425.91237 Insur. Math. Econ. 88, 7-18 (2019). MSC: 91B30 91A15 91A23 PDFBibTeX XMLCite \textit{N. Zhang} et al., Insur. Math. Econ. 88, 7--18 (2019; Zbl 1425.91237) Full Text: DOI
Wang, Jianli; Wang, Hongxia; Yick, Ho Yin How do changes in risk and risk aversion affect self-protection with Selden/Kreps-Porteus preferences? (English) Zbl 1425.91234 Insur. Math. Econ. 88, 1-6 (2019). MSC: 91B30 91B06 91B08 PDFBibTeX XMLCite \textit{J. Wang} et al., Insur. Math. Econ. 88, 1--6 (2019; Zbl 1425.91234) Full Text: DOI
Straub, Ludwig; Ulbricht, Robert Endogenous second moments: a unified approach to fluctuations in risk, dispersion, and uncertainty. (English) Zbl 1422.91507 J. Econ. Theory 183, 625-660 (2019). MSC: 91B62 91G20 91B30 PDFBibTeX XMLCite \textit{L. Straub} and \textit{R. Ulbricht}, J. Econ. Theory 183, 625--660 (2019; Zbl 1422.91507) Full Text: DOI Link
Vlassis, Minas; Mamakis, Stefanos; Varvataki, Maria Taxes, social insurance contributions, and undeclared labour in unionized oligopoly. (English) Zbl 1420.91254 Econ. Lett. 183, Article ID 108585, 4 p. (2019). MSC: 91B54 91B64 91B40 91B30 PDFBibTeX XMLCite \textit{M. Vlassis} et al., Econ. Lett. 183, Article ID 108585, 4 p. (2019; Zbl 1420.91254) Full Text: DOI OA License
Hatcher, Michael Should a pension reform be announced? A reply. (English) Zbl 1420.91132 Econ. Lett. 183, Article ID 108583, 3 p. (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{M. Hatcher}, Econ. Lett. 183, Article ID 108583, 3 p. (2019; Zbl 1420.91132) Full Text: DOI Link
Wang, Yuanping; Mu, Congming Can ambiguity about rare disasters explain equity premium puzzle? (English) Zbl 1420.91147 Econ. Lett. 183, Article ID 108555, 6 p. (2019). MSC: 91B30 91B06 PDFBibTeX XMLCite \textit{Y. Wang} and \textit{C. Mu}, Econ. Lett. 183, Article ID 108555, 6 p. (2019; Zbl 1420.91147) Full Text: DOI
Lkabous, Mohamed Amine; Renaud, Jean-François A unified approach to ruin probabilities with delays for spectrally negative Lévy processes. (English) Zbl 1422.91361 Scand. Actuar. J. 2019, No. 8, 711-728 (2019). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{M. A. Lkabous} and \textit{J.-F. Renaud}, Scand. Actuar. J. 2019, No. 8, 711--728 (2019; Zbl 1422.91361) Full Text: DOI arXiv