Pervin, Magfura; Roy, Sankar Kumar; Sannyashi, Prasenjit; Weber, Gerhard-Wilhelm Sustainable inventory model with environmental impact for non-instantaneous deteriorating items with composite demand. (English) Zbl 07689295 RAIRO, Oper. Res. 57, No. 1, 237-261 (2023). MSC: 90B05 91B30 91B99 PDF BibTeX XML Cite \textit{M. Pervin} et al., RAIRO, Oper. Res. 57, No. 1, 237--261 (2023; Zbl 07689295) Full Text: DOI OpenURL
Miao, Liangliang; Chen, Yanhong; Xiao, Xiao; Hu, Yijun Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures. (English) Zbl 07682825 Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 3, 1365-1381 (2023). MSC: 91B30 60G07 91B32 60J60 PDF BibTeX XML Cite \textit{L. Miao} et al., Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 3, 1365--1381 (2023; Zbl 07682825) Full Text: DOI OpenURL
Jian, Lingling The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies. (English) Zbl 07682824 Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 3, 1347-1364 (2023). MSC: 91A15 91B30 91B70 PDF BibTeX XML Cite \textit{L. Jian}, Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 3, 1347--1364 (2023; Zbl 07682824) Full Text: DOI OpenURL
Shen, Weiwei Optimal investment and reinsurance strategies for an insurer with stochastic economic factor. (English) Zbl 07673116 Hacet. J. Math. Stat. 52, No. 1, 197-208 (2023). MSC: 49J20 91B30 93E20 PDF BibTeX XML Cite \textit{W. Shen}, Hacet. J. Math. Stat. 52, No. 1, 197--208 (2023; Zbl 07673116) Full Text: DOI OpenURL
Wang, J.; Yan, J.; Yang, Y. Precise large deviations for aggregate claims in a multidimensional risk model with arbitrarily dependent claims and accident-arriving times. (English) Zbl 07672152 Acta Math. Hung. 169, No. 1, 301-311 (2023). MSC: 60F10 91B30 60G50 PDF BibTeX XML Cite \textit{J. Wang} et al., Acta Math. Hung. 169, No. 1, 301--311 (2023; Zbl 07672152) Full Text: DOI OpenURL
Li, Jinzhu Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims. (English) Zbl 07668906 J. Ind. Manag. Optim. 19, No. 6, 3840-3853 (2023). MSC: 62P05 62E20 91B30 PDF BibTeX XML Cite \textit{J. Li}, J. Ind. Manag. Optim. 19, No. 6, 3840--3853 (2023; Zbl 07668906) Full Text: DOI OpenURL
Chen, Xiaowei; Liu, Qianlong; Ralescu, Dan A. A bi-level optimization model for the asset-liability management of insurance companies. (English) Zbl 07668868 J. Ind. Manag. Optim. 19, No. 4, 3003-3019 (2023). MSC: 90B50 91B30 90C70 PDF BibTeX XML Cite \textit{X. Chen} et al., J. Ind. Manag. Optim. 19, No. 4, 3003--3019 (2023; Zbl 07668868) Full Text: DOI OpenURL
Li, Sheng; Yuan, Wei; Chen, Peimin Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market. (English) Zbl 07668862 J. Ind. Manag. Optim. 19, No. 4, 2855-2888 (2023). MSC: 91B30 93E20 62P05 PDF BibTeX XML Cite \textit{S. Li} et al., J. Ind. Manag. Optim. 19, No. 4, 2855--2888 (2023; Zbl 07668862) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Liu} et al., Commun. Stat., Theory Methods 52, No. 3, 543--566 (2023; Zbl 07649627) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. He} and \textit{F. Wu}, Commun. Stat., Theory Methods 51, No. 24, 8625--8633 (2022; Zbl 07633421) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Yang} et al., J. Theor. Probab. 35, No. 4, 2600--2621 (2022; Zbl 07621022) Full Text: DOI OpenURL
Guan, Guohui; Li, Bin Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution. (English) Zbl 07619229 J. Econ. Dyn. Control 143, Article ID 104515, 20 p. (2022). MSC: 91-XX 91G10 49L20 91B30 PDF BibTeX XML Cite \textit{G. Guan} and \textit{B. Li}, J. Econ. Dyn. Control 143, Article ID 104515, 20 p. (2022; Zbl 07619229) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Malecka}, Stat. Risk. Model. 39, No. 3--4, 49--73 (2022; Zbl 07612251) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G. Psarrakos}, Commun. Stat., Theory Methods 51, No. 21, 7631--7651 (2022; Zbl 07596347) Full Text: DOI OpenURL
Chen, Mi; Nie, Changwei; Liu, Haiyan Randomized dividends in a discrete risk model with time-correlated claims. (Chinese. English summary) Zbl 07572913 Acta Math. Sci., Ser. A, Chin. Ed. 42, No. 2, 631-640 (2022). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{M. Chen} et al., Acta Math. Sci., Ser. A, Chin. Ed. 42, No. 2, 631--640 (2022; Zbl 07572913) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{Y. Hu}, Commun. Stat., Theory Methods 51, No. 18, 6268--6295 (2022; Zbl 07571127) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{R. Yan} and \textit{J. Wang}, Commun. Stat., Theory Methods 51, No. 6, 1724--1744 (2022; Zbl 07533631) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{X. Zeng} et al., Commun. Stat., Theory Methods 51, No. 3, 649--668 (2022; Zbl 07532297) Full Text: DOI OpenURL
Yoshioka, Hidekazu; Tsujimura, Motoh Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty. (English) Zbl 07504623 Comput. Math. Appl. 112, 23-54 (2022). MSC: 93E20 60G51 91B30 49L25 91G20 PDF BibTeX XML Cite \textit{H. Yoshioka} and \textit{M. Tsujimura}, Comput. Math. Appl. 112, 23--54 (2022; Zbl 07504623) Full Text: DOI arXiv OpenURL
Sun, Fuyun; Li, Yuelei On the improved thinning risk model under a periodic dividend barrier strategy. (English) Zbl 07533495 AIMS Math. 6, No. 12, 13448-13463 (2021). MSC: 91B30 97M30 PDF BibTeX XML Cite \textit{F. Sun} and \textit{Y. Li}, AIMS Math. 6, No. 12, 13448--13463 (2021; Zbl 07533495) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Lin}, Commun. Stat., Theory Methods 50, No. 5, 1200--1209 (2021; Zbl 07532943) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, Commun. Stat., Theory Methods 50, No. 4, 910--931 (2021; Zbl 07532928) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{X. Yan} et al., Commun. Stat., Theory Methods 50, No. 2, 473--485 (2021; Zbl 07532133) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Wei} et al., Commun. Stat., Theory Methods 50, No. 1, 132--142 (2021; Zbl 07532110) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{Y. Hu}, Commun. Stat., Theory Methods 50, No. 15, 3677--3694 (2021; Zbl 07531008) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Guo} et al., Commun. Stat., Theory Methods 50, No. 9, 2117--2135 (2021; Zbl 07530957) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Guambe} et al., Commun. Stat., Theory Methods 50, No. 9, 2048--2061 (2021; Zbl 07530952) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{M. Bandarra} and \textit{V. Guigues}, Comput. Manag. Sci. 18, No. 2, 125--148 (2021; Zbl 07432763) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 9, 2462--2471 (2020; Zbl 07552808) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 8, 2049--2058 (2020; Zbl 07552783) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 2, 491--503 (2020; Zbl 07552588) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Naqvi} et al., Commun. Stat., Theory Methods 49, No. 4, 942--957 (2020; Zbl 07549071) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{N. U. Nair} et al., Commun. Stat., Theory Methods 49, No. 2, 403--420 (2020; Zbl 07549040) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Z. Kang} et al., Physica A 526, Article ID 120778, 10 p. (2019; Zbl 07566380) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{Y. Hu}, Commun. Stat., Theory Methods 48, No. 14, 3558--3569 (2019; Zbl 07539732) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{D. Lu} et al., Commun. Stat., Theory Methods 48, No. 4, 781--793 (2019; Zbl 07530624) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Z. Gao} and \textit{J. He}, Commun. Stat., Theory Methods 48, No. 24, 6019--6037 (2019; Zbl 07529905) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{W. Liu} et al., Commun. Stat., Theory Methods 48, No. 22, 5585--5601 (2019; Zbl 07529875) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Zhao} et al., Open Math. 17, 894--905 (2019; Zbl 1425.91411) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Hess}, Lith. Math. J. 59, No. 3, 338--356 (2019; Zbl 1425.91415) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. M. Abito} and \textit{Y. Salant}, Rev. Econ. Stud. 86, No. 6, 2285--2318 (2019; Zbl 1425.91259) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Zhou}, J. Am. Stat. Assoc. 114, No. 527, 1424--1425 (2019; Zbl 1425.00066) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \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 OpenURL
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 PDF BibTeX XML Cite \textit{Y. Chang} et al., J. Syst. Sci. Complex. 32, No. 5, 1404--1425 (2019; Zbl 1425.91216) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{F. Marri} and \textit{F. Adékambi}, Markov Process. Relat. Fields 25, No. 1, 149--169 (2019; Zbl 1423.60138) OpenURL
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 PDF BibTeX XML Cite \textit{K. Dowd} et al., Econ. Lett. 184, Article ID 108669, 4 p. (2019; Zbl 1422.91340) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{B. Dong} et al., Quant. Finance 19, No. 10, 1741--1761 (2019; Zbl 1422.91339) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Hull}, Quant. Finance 19, No. 10, 1609--1610 (2019; Zbl 1425.00035) Full Text: DOI OpenURL
Liu, Desu; Menegatti, Mario Optimal saving and health prevention. (English) Zbl 1425.91229 J. Econ. 128, No. 2, 177-191 (2019). MSC: 91B30 91B16 PDF BibTeX XML Cite \textit{D. Liu} and \textit{M. Menegatti}, J. Econ. 128, No. 2, 177--191 (2019; Zbl 1425.91229) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. Tong} et al., Quant. Finance 19, No. 7, 1221--1242 (2019; Zbl 1420.91145) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. H. Lim} and \textit{M. Kwak}, Quant. Finance 19, No. 5, 859--883 (2019; Zbl 1420.91138) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{N. Gudkov} et al., Quant. Finance 19, No. 3, 501--518 (2019; Zbl 1420.91130) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. Dong} and \textit{X. Zhou}, Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019; Zbl 1425.91221) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{L.-m. Wen} et al., Acta Math. Appl. Sin., Engl. Ser. 35, No. 3, 607--619 (2019; Zbl 1420.91148) Full Text: DOI OpenURL
Ramsden, Lewis; Papaioannou, Apostolos D. Ruin probabilities under capital constraints. (English) Zbl 1425.91232 Insur. Math. Econ. 88, 273-282 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{L. Ramsden} and \textit{A. D. Papaioannou}, Insur. Math. Econ. 88, 273--282 (2019; Zbl 1425.91232) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{Q. Guibert} et al., Insur. Math. Econ. 88, 255--272 (2019; Zbl 1425.91223) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{K. Burnecki} et al., Insur. Math. Econ. 88, 238--254 (2019; Zbl 1425.91215) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{A. Dembińska} and \textit{A. Buraczyńska}, Insur. Math. Econ. 88, 226--237 (2019; Zbl 1425.91220) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{M. Ghossoub}, Insur. Math. Econ. 88, 209--225 (2019; Zbl 1425.91214) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{Ł. Delong} et al., Insur. Math. Econ. 88, 196--208 (2019; Zbl 1425.91219) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{P. Jevtić} and \textit{L. Regis}, Insur. Math. Econ. 88, 181--195 (2019; Zbl 1425.91226) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{H. Zhao} et al., Insur. Math. Econ. 88, 159--180 (2019; Zbl 1425.91238) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. Kim} and \textit{J. Kim}, Insur. Math. Econ. 88, 151--158 (2019; Zbl 1425.91227) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Lledó} et al., Insur. Math. Econ. 88, 138--150 (2019; Zbl 1425.91230) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{L. Chen} and \textit{Y. Shen}, Insur. Math. Econ. 88, 120--137 (2019; Zbl 1425.91217) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G. Gao} et al., Insur. Math. Econ. 88, 108--119 (2019; Zbl 1425.91222) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{W. F. Chong}, Insur. Math. Econ. 88, 93--107 (2019; Zbl 1425.91218) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Laudagé} et al., Insur. Math. Econ. 88, 77--92 (2019; Zbl 1425.91228) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Alonso-García} and \textit{P. Devolder}, Insur. Math. Econ. 88, 57--76 (2019; Zbl 1425.91210) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{B.-G. Jang} et al., Insur. Math. Econ. 88, 44--56 (2019; Zbl 1425.91225) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{C. Birghila} and \textit{G. Ch. Pflug}, Insur. Math. Econ. 88, 30--43 (2019; Zbl 1425.91213) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{K. Barigou} et al., Insur. Math. Econ. 88, 19--29 (2019; Zbl 1425.91212) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{N. Zhang} et al., Insur. Math. Econ. 88, 7--18 (2019; Zbl 1425.91237) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Wang} et al., Insur. Math. Econ. 88, 1--6 (2019; Zbl 1425.91234) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{L. Straub} and \textit{R. Ulbricht}, J. Econ. Theory 183, 625--660 (2019; Zbl 1422.91507) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{M. Vlassis} et al., Econ. Lett. 183, Article ID 108585, 4 p. (2019; Zbl 1420.91254) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Hatcher}, Econ. Lett. 183, Article ID 108583, 3 p. (2019; Zbl 1420.91132) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{Y. Wang} and \textit{C. Mu}, Econ. Lett. 183, Article ID 108555, 6 p. (2019; Zbl 1420.91147) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \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 OpenURL
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon Multivariate Cox hidden Markov models with an application to operational risk. (English) Zbl 1422.91346 Scand. Actuar. J. 2019, No. 8, 686-710 (2019). MSC: 91B30 60J28 62P05 PDF BibTeX XML Cite \textit{T. C. Fung} et al., Scand. Actuar. J. 2019, No. 8, 686--710 (2019; Zbl 1422.91346) Full Text: DOI OpenURL
Pascariu, Marius D.; Lenart, Adam; Canudas-Romo, Vladimir The maximum entropy mortality model: forecasting mortality using statistical moments. (English) Zbl 1422.91370 Scand. Actuar. J. 2019, No. 8, 661-685 (2019). MSC: 91B30 62P05 62M20 PDF BibTeX XML Cite \textit{M. D. Pascariu} et al., Scand. Actuar. J. 2019, No. 8, 661--685 (2019; Zbl 1422.91370) Full Text: DOI OpenURL
Grün, Bettina; Miljkovic, Tatjana Extending composite loss models using a general framework of advanced computational tools. (English) Zbl 1422.91351 Scand. Actuar. J. 2019, No. 8, 642-660 (2019). MSC: 91B30 62P05 62G32 91-08 PDF BibTeX XML Cite \textit{B. Grün} and \textit{T. Miljkovic}, Scand. Actuar. J. 2019, No. 8, 642--660 (2019; Zbl 1422.91351) Full Text: DOI OpenURL
Zhang, Yixin; Wang, Xifu Procurement strategy with backup sourcing under stochastic supply risk. (English) Zbl 1421.90072 Complexity 2019, Article ID 3541352, 15 p. (2019). MSC: 90B50 90B06 90B05 91B30 PDF BibTeX XML Cite \textit{Y. Zhang} and \textit{X. Wang}, Complexity 2019, Article ID 3541352, 15 p. (2019; Zbl 1421.90072) Full Text: DOI OpenURL
Woundjiagué, Apollinaire; Mbele Bidima, Martin Le Doux; Mwangi, Ronald Waweru An estimation of a hybrid log-Poisson regression using a quadratic optimization program for optimal loss reserving in insurance. (English) Zbl 1420.91149 Adv. Fuzzy Syst. 2019, Article ID 1393946, 14 p. (2019). MSC: 91B30 62F10 62J86 90C20 PDF BibTeX XML Cite \textit{A. Woundjiagué} et al., Adv. Fuzzy Syst. 2019, Article ID 1393946, 14 p. (2019; Zbl 1420.91149) Full Text: DOI OpenURL
Chen, Yiqing; Yang, Yang Bivariate regular variation among randomly weighted sums in general insurance. (English) Zbl 1422.91334 Eur. Actuar. J. 9, No. 1, 301-322 (2019). MSC: 91B30 62P05 62E20 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{Y. Yang}, Eur. Actuar. J. 9, No. 1, 301--322 (2019; Zbl 1422.91334) Full Text: DOI OpenURL
Avram, F.; Banik, A. D.; Horvath, A. Ruin probabilities by Padé’s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails. (English) Zbl 1422.91323 Eur. Actuar. J. 9, No. 1, 273-299 (2019). MSC: 91B30 60G51 62P05 PDF BibTeX XML Cite \textit{F. Avram} et al., Eur. Actuar. J. 9, No. 1, 273--299 (2019; Zbl 1422.91323) Full Text: DOI OpenURL
Azcue, Pablo; Muler, Nora; Palmowski, Zbigniew Optimal dividend payments for a two-dimensional insurance risk process. (English) Zbl 1422.91324 Eur. Actuar. J. 9, No. 1, 241-272 (2019). MSC: 91B30 60J75 PDF BibTeX XML Cite \textit{P. Azcue} et al., Eur. Actuar. J. 9, No. 1, 241--272 (2019; Zbl 1422.91324) Full Text: DOI arXiv OpenURL
Baskakov, Valery; Bartunova, Anna Nonparametric estimation of multivariate distribution function for truncated and censored lifetime data. (English) Zbl 1422.91326 Eur. Actuar. J. 9, No. 1, 209-239 (2019). MSC: 91B30 62P05 62G05 62H05 62N02 PDF BibTeX XML Cite \textit{V. Baskakov} and \textit{A. Bartunova}, Eur. Actuar. J. 9, No. 1, 209--239 (2019; Zbl 1422.91326) Full Text: DOI arXiv OpenURL
Hainaut, Donatien A self-organizing predictive map for non-life insurance. (English) Zbl 1422.91352 Eur. Actuar. J. 9, No. 1, 173-207 (2019). MSC: 91B30 62P05 91-08 PDF BibTeX XML Cite \textit{D. Hainaut}, Eur. Actuar. J. 9, No. 1, 173--207 (2019; Zbl 1422.91352) Full Text: DOI Link OpenURL
Carlehed, Magnus Practical aspects of the aggregation of two risks in the Solvency II standard formula. (English) Zbl 1422.91330 Eur. Actuar. J. 9, No. 1, 155-171 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{M. Carlehed}, Eur. Actuar. J. 9, No. 1, 155--171 (2019; Zbl 1422.91330) Full Text: DOI OpenURL
Dhaene, Jan; Hanbali, Hamza Measuring medical inflation for health insurance portfolios in Belgium. (English) Zbl 1422.91338 Eur. Actuar. J. 9, No. 1, 139-153 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Dhaene} and \textit{H. Hanbali}, Eur. Actuar. J. 9, No. 1, 139--153 (2019; Zbl 1422.91338) Full Text: DOI Link OpenURL
Arnold, Séverine; Jijiie, Anca Generational transfers within the occupational pension system in Switzerland. (English) Zbl 1422.91322 Eur. Actuar. J. 9, No. 1, 109-138 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{S. Arnold} and \textit{A. Jijiie}, Eur. Actuar. J. 9, No. 1, 109--138 (2019; Zbl 1422.91322) Full Text: DOI OpenURL
Duong, Quang Dien Application of Bayesian penalized spline regression for internal modeling in life insurance. (English) Zbl 1422.91342 Eur. Actuar. J. 9, No. 1, 67-107 (2019). MSC: 91B30 62P05 62G08 PDF BibTeX XML Cite \textit{Q. D. Duong}, Eur. Actuar. J. 9, No. 1, 67--107 (2019; Zbl 1422.91342) Full Text: DOI OpenURL
Pitacco, Ermanno Heterogeneity in mortality: a survey with an actuarial focus. (English) Zbl 1422.91373 Eur. Actuar. J. 9, No. 1, 3-30 (2019). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{E. Pitacco}, Eur. Actuar. J. 9, No. 1, 3--30 (2019; Zbl 1422.91373) Full Text: DOI OpenURL
Mimra, Wanda; Wambach, Achim Contract withdrawals and equilibrium in competitive markets with adverse selection. (English) Zbl 1422.91366 Econ. Theory 67, No. 4, 875-907 (2019). MSC: 91B30 91B40 PDF BibTeX XML Cite \textit{W. Mimra} and \textit{A. Wambach}, Econ. Theory 67, No. 4, 875--907 (2019; Zbl 1422.91366) Full Text: DOI OpenURL
Hürlimann, Christian Valuation of renewable energy investments. Practices among German and Swiss investment professionals. Originally published under the title Valuation methods in renewable energy investments. An explanatory mixed-methods study among German and Swiss investment professionals. (English) Zbl 1425.91007 Sustainable Management, Wertschöpfung und Effizienz. Wiesbaden: Springer Gabler; Gloucestershire: Univ. of Gloucestershire (Diss. 2018) (ISBN 978-3-658-27468-9/pbk; 978-3-658-27469-6/ebook). xxviii, 434 p. (2019). MSC: 91-02 91B76 91B30 91G99 PDF BibTeX XML Cite \textit{C. Hürlimann}, Valuation of renewable energy investments. Practices among German and Swiss investment professionals. Originally published under the title Valuation methods in renewable energy investments. An explanatory mixed-methods study among German and Swiss investment professionals. Wiesbaden: Springer Gabler; Gloucestershire: Univ. of Gloucestershire (Diss. 2018) (2019; Zbl 1425.91007) Full Text: DOI OpenURL
Banerjee, Tathagata; Feinstein, Zachary Impact of contingent payments on systemic risk in financial networks. (English) Zbl 1422.91740 Math. Financ. Econ. 13, No. 4, 617-636 (2019). MSC: 91G40 91B30 PDF BibTeX XML Cite \textit{T. Banerjee} and \textit{Z. Feinstein}, Math. Financ. Econ. 13, No. 4, 617--636 (2019; Zbl 1422.91740) Full Text: DOI arXiv OpenURL
Carrasco, Vinicius; Luz, Vitor Farinha; Monteiro, Paulo K.; Moreira, Humberto Robust mechanisms: the curvature case. (English) Zbl 1422.91264 Econ. Theory 68, No. 1, 203-222 (2019). MSC: 91B24 91A40 91B30 PDF BibTeX XML Cite \textit{V. Carrasco} et al., Econ. Theory 68, No. 1, 203--222 (2019; Zbl 1422.91264) Full Text: DOI Link OpenURL
Bertolai, J. D. P.; Cavalcanti, R. de O.; Monteiro, P. K. Bank runs with many small banks and mutual guarantees at the terminal stage. (English) Zbl 1422.91797 Econ. Theory 68, No. 1, 125-176 (2019). MSC: 91G99 91B30 PDF BibTeX XML Cite \textit{J. D. P. Bertolai} et al., Econ. Theory 68, No. 1, 125--176 (2019; Zbl 1422.91797) Full Text: DOI OpenURL
Zilberman, Eduardo; Carrasco, Vinicius; Hemsley, Pedro Risk sharing contracts with private information and one-sided commitment. (English) Zbl 1422.91383 Econ. Theory 68, No. 1, 53-81 (2019). MSC: 91B30 91B40 PDF BibTeX XML Cite \textit{E. Zilberman} et al., Econ. Theory 68, No. 1, 53--81 (2019; Zbl 1422.91383) Full Text: DOI OpenURL