Grigutis, Andrius; Jankauskas, Jonas; Šiaulys, Jonas Multiseasonal discrete-time risk model revisited. (English) Zbl 07796573 Lith. Math. J. 63, No. 4, 466-486 (2023). MSC: 60G50 60J80 91G05 PDFBibTeX XMLCite \textit{A. Grigutis} et al., Lith. Math. J. 63, No. 4, 466--486 (2023; Zbl 07796573) Full Text: DOI arXiv
Hong, Liang Sample size determination for credibility estimation. (English) Zbl 1507.91183 N. Am. Actuar. J. 26, No. 4, 485-495 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{L. Hong}, N. Am. Actuar. J. 26, No. 4, 485--495 (2022; Zbl 1507.91183) Full Text: DOI
Mercè Claramunt, M.; Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre Basis risk management and randomly scaled uncertainty. (English) Zbl 1508.91481 Insur. Math. Econ. 107, 123-139 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{M. Mercè Claramunt} et al., Insur. Math. Econ. 107, 123--139 (2022; Zbl 1508.91481) Full Text: DOI
Grigutis, Andrius; Nakliuda, Artur Note on the bi-risk discrete time risk model with income rate two. (English) Zbl 1499.91022 Mod. Stoch., Theory Appl. 9, No. 4, 401-412 (2022). MSC: 91B05 60G50 60J80 62P05 PDFBibTeX XMLCite \textit{A. Grigutis} and \textit{A. Nakliuda}, Mod. Stoch., Theory Appl. 9, No. 4, 401--412 (2022; Zbl 1499.91022) Full Text: DOI
Rosenlund, Stig Hierarchical credibility pseudo-estimators. (English) Zbl 1498.91367 Scand. Actuar. J. 2022, No. 6, 552-564 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{S. Rosenlund}, Scand. Actuar. J. 2022, No. 6, 552--564 (2022; Zbl 1498.91367) Full Text: DOI
Li, Jingchao; Su, Bihao; Wei, Zhenghong; Nie, Ciyu A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model. (English) Zbl 1491.60134 Methodol. Comput. Appl. Probab. 24, No. 3, 2169-2194 (2022). MSC: 60J28 62P05 91G05 PDFBibTeX XMLCite \textit{J. Li} et al., Methodol. Comput. Appl. Probab. 24, No. 3, 2169--2194 (2022; Zbl 1491.60134) Full Text: DOI
Albrecher, Hansjörg; Araujo-Acuna, José Carlos On the randomized Schmitter problem. (English) Zbl 1489.91213 Methodol. Comput. Appl. Probab. 24, No. 2, 515-535 (2022). MSC: 91G05 91G80 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. C. Araujo-Acuna}, Methodol. Comput. Appl. Probab. 24, No. 2, 515--535 (2022; Zbl 1489.91213) Full Text: DOI
Chudziak, Jacek Characterization of positive homogeneity for the principle of equivalent utility. (English) Zbl 1492.91282 Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 116, No. 3, Paper No. 127, 13 p. (2022). MSC: 91G05 91B16 39B72 PDFBibTeX XMLCite \textit{J. Chudziak}, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 116, No. 3, Paper No. 127, 13 p. (2022; Zbl 1492.91282) Full Text: DOI
He, Yue; Kawai, Reiichiro Moment and polynomial bounds for ruin-related quantities in risk theory. (English) Zbl 1507.91044 Eur. J. Oper. Res. 302, No. 3, 1255-1271 (2022). MSC: 91B05 90C22 PDFBibTeX XMLCite \textit{Y. He} and \textit{R. Kawai}, Eur. J. Oper. Res. 302, No. 3, 1255--1271 (2022; Zbl 1507.91044) Full Text: DOI
Xiao, Lin Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm. (English) Zbl 1510.91067 Appl. Math. Comput. 424, Article ID 126969, 26 p. (2022). MSC: 91B05 60J20 PDFBibTeX XMLCite \textit{L. Xiao}, Appl. Math. Comput. 424, Article ID 126969, 26 p. (2022; Zbl 1510.91067) Full Text: DOI
Roos, Ernst; Brekelmans, Ruud; van Eekelen, Wouter; den Hertog, Dick; van Leeuwaarden, Johan S. H. Tight tail probability bounds for distribution-free decision making. (English) Zbl 1495.60009 Eur. J. Oper. Res. 299, No. 3, 931-944 (2022). MSC: 60E15 90B05 90C17 91G05 PDFBibTeX XMLCite \textit{E. Roos} et al., Eur. J. Oper. Res. 299, No. 3, 931--944 (2022; Zbl 1495.60009) Full Text: DOI arXiv
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio Risk transference constraints in optimal reinsurance. (English) Zbl 1484.91370 Insur. Math. Econ. 103, 27-40 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{A. Balbás} et al., Insur. Math. Econ. 103, 27--40 (2022; Zbl 1484.91370) Full Text: DOI
Chadjiconstantinidis, Stathis; Xenos, Panos Refinements of bounds for tails of compound distributions and ruin probabilities. (English) Zbl 1510.60009 Appl. Math. Comput. 421, Article ID 126948, 27 p. (2022). MSC: 60E05 91B05 62P05 PDFBibTeX XMLCite \textit{S. Chadjiconstantinidis} and \textit{P. Xenos}, Appl. Math. Comput. 421, Article ID 126948, 27 p. (2022; Zbl 1510.60009) Full Text: DOI
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying Satisficing credibility for heterogeneous risks. (English) Zbl 1490.91168 Eur. J. Oper. Res. 298, No. 2, 752-768 (2022). MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{K. C. Cheung} et al., Eur. J. Oper. Res. 298, No. 2, 752--768 (2022; Zbl 1490.91168) Full Text: DOI
Deme, El Hadji; Allaya, Mouhamad M.; Deme, Siradhi; Dhaker, Hamza; Dabye, Ali Souleyman Estimation of risk measures from heavy tailed distributions. (English) Zbl 1499.62375 Far East J. Theor. Stat. 62, No. 1, 35-80 (2021). MSC: 62P05 62G05 62G32 91G70 PDFBibTeX XMLCite \textit{E. H. Deme} et al., Far East J. Theor. Stat. 62, No. 1, 35--80 (2021; Zbl 1499.62375) Full Text: DOI
Bozikas, Apostolos; Pitselis, Georgios Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach. (English) Zbl 1479.91307 Eur. Actuar. J. 11, No. 1, 231-267 (2021). MSC: 91G05 91D20 62P05 PDFBibTeX XMLCite \textit{A. Bozikas} and \textit{G. Pitselis}, Eur. Actuar. J. 11, No. 1, 231--267 (2021; Zbl 1479.91307) Full Text: DOI
Kazi-Tani, Nabil Indifference pricing of reinsurance with reinstatements using coherent monetary criteria. (English) Zbl 1484.91390 Eur. Actuar. J. 11, No. 1, 161-183 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91B16 62P05 PDFBibTeX XMLCite \textit{N. Kazi-Tani}, Eur. Actuar. J. 11, No. 1, 161--183 (2021; Zbl 1484.91390) Full Text: DOI HAL
Kim, Bara; Kim, Jeongsim; Kim, Jerim De Vylder and Goovaerts’ conjecture on homogeneous risk models with equalized claim amounts. (English) Zbl 1475.91308 Insur. Math. Econ. 101, 186-201 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{B. Kim} et al., Insur. Math. Econ. 101, 186--201 (2021; Zbl 1475.91308) Full Text: DOI
Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre On \(s\)-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. (English) Zbl 1471.91467 Scand. Actuar. J. 2021, No. 6, 476-504 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{C. Lefèvre} et al., Scand. Actuar. J. 2021, No. 6, 476--504 (2021; Zbl 1471.91467) Full Text: DOI
Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip A Fourier-cosine method for finite-time ruin probabilities. (English) Zbl 1467.91144 Insur. Math. Econ. 99, 256-267 (2021). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{W. Y. Lee} et al., Insur. Math. Econ. 99, 256--267 (2021; Zbl 1467.91144) Full Text: DOI
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor Law-invariant functionals that collapse to the mean. (English) Zbl 1466.91250 Insur. Math. Econ. 98, 83-91 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{F. Bellini} et al., Insur. Math. Econ. 98, 83--91 (2021; Zbl 1466.91250) Full Text: DOI arXiv
Pitselis, Georgios Quantiles in a multi-stage nested classification credibility model. (English) Zbl 1455.91226 Eur. Actuar. J. 10, No. 2, 399-423 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Pitselis}, Eur. Actuar. J. 10, No. 2, 399--423 (2020; Zbl 1455.91226) Full Text: DOI
Chudziak, J. On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory. (English) Zbl 1454.91175 Insur. Math. Econ. 94, 154-159 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91B16 PDFBibTeX XMLCite \textit{J. Chudziak}, Insur. Math. Econ. 94, 154--159 (2020; Zbl 1454.91175) Full Text: DOI
Cohen, Asaf; Young, Virginia R. Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation. (English) Zbl 1447.91130 Insur. Math. Econ. 93, 333-340 (2020). MSC: 91G05 45J05 60J60 PDFBibTeX XMLCite \textit{A. Cohen} and \textit{V. R. Young}, Insur. Math. Econ. 93, 333--340 (2020; Zbl 1447.91130) Full Text: DOI arXiv
Pitselis, Georgios Multi-stage nested classification credibility quantile regression model. (English) Zbl 1446.91071 Insur. Math. Econ. 92, 162-176 (2020). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{G. Pitselis}, Insur. Math. Econ. 92, 162--176 (2020; Zbl 1446.91071) Full Text: DOI
Yi, Zhang; Limin, Wen; Zhilong, Li The Bühlmann-Straub estimation of claim means in random B-F reserve model. (English) Zbl 1459.91166 Math. Probl. Eng. 2020, Article ID 6062906, 11 p. (2020). MSC: 91G05 62C12 62P05 PDFBibTeX XMLCite \textit{Z. Yi} et al., Math. Probl. Eng. 2020, Article ID 6062906, 11 p. (2020; Zbl 1459.91166) Full Text: DOI
Chi, Yichun; Tan, Ken Seng; Zhuang, Sheng Chao A Bowley solution with limited ceded risk for a monopolistic reinsurer. (English) Zbl 1435.91143 Insur. Math. Econ. 91, 188-201 (2020). MSC: 91G05 91A65 PDFBibTeX XMLCite \textit{Y. Chi} et al., Insur. Math. Econ. 91, 188--201 (2020; Zbl 1435.91143) Full Text: DOI
Goffard, Pierre-Olivier Two-sided exit problems in the ordered risk model. (English) Zbl 1427.60067 Methodol. Comput. Appl. Probab. 21, No. 2, 539-549 (2019). MSC: 60G40 60G55 91B05 62G30 62P05 PDFBibTeX XMLCite \textit{P.-O. Goffard}, Methodol. Comput. Appl. Probab. 21, No. 2, 539--549 (2019; Zbl 1427.60067) Full Text: DOI HAL
Dimitrova, Dimitrina S.; Ignatov, Zvetan G.; Kaishev, Vladimir K. Ruin and deficit under claim arrivals with the order statistics property. (English) Zbl 1427.91078 Methodol. Comput. Appl. Probab. 21, No. 2, 511-530 (2019). MSC: 91B05 60K30 60G55 60G51 91G05 PDFBibTeX XMLCite \textit{D. S. Dimitrova} et al., Methodol. Comput. Appl. Probab. 21, No. 2, 511--530 (2019; Zbl 1427.91078) Full Text: DOI
Baione, Fabio; Biancalana, Davide An individual risk model for premium calculation based on quantile: a comparison between generalized linear models and quantile regression. (English) Zbl 1429.91275 N. Am. Actuar. J. 23, No. 4, 573-590 (2019). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{F. Baione} and \textit{D. Biancalana}, N. Am. Actuar. J. 23, No. 4, 573--590 (2019; Zbl 1429.91275) Full Text: DOI
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Kazi-Tani, Nabil The de Vylder-Goovaerts conjecture holds within the diffusion limit. (English) Zbl 1415.60031 J. Appl. Probab. 56, No. 2, 546-557 (2019). MSC: 60F17 91B30 60B10 PDFBibTeX XMLCite \textit{S. Ankirchner} et al., J. Appl. Probab. 56, No. 2, 546--557 (2019; Zbl 1415.60031) Full Text: DOI
Psarrakos, Georgios; Sordo, Miguel A. On a family of risk measures based on proportional hazards models and tail probabilities. (English) Zbl 1411.91309 Insur. Math. Econ. 86, 232-240 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{G. Psarrakos} and \textit{M. A. Sordo}, Insur. Math. Econ. 86, 232--240 (2019; Zbl 1411.91309) Full Text: DOI
Ji, Ronglin; Shi, Xuejun; Wang, Shijie; Zhou, Jinming Dynamic risk measures for processes via backward stochastic differential equations. (English) Zbl 1411.91291 Insur. Math. Econ. 86, 43-50 (2019). MSC: 91B30 60H10 PDFBibTeX XMLCite \textit{R. Ji} et al., Insur. Math. Econ. 86, 43--50 (2019; Zbl 1411.91291) Full Text: DOI
Arai, Takuji; Asano, Takao; Nishide, Katsumasa Optimal initial capital induced by the optimized certainty equivalent. (English) Zbl 1419.91347 Insur. Math. Econ. 85, 115-125 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{T. Arai} et al., Insur. Math. Econ. 85, 115--125 (2019; Zbl 1419.91347) Full Text: DOI Link
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang A constraint-free approach to optimal reinsurance. (English) Zbl 1418.91238 Scand. Actuar. J. 2019, No. 1, 62-79 (2019). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. U. Gerber} et al., Scand. Actuar. J. 2019, No. 1, 62--79 (2019; Zbl 1418.91238) Full Text: DOI
Barmalzan, Ghobad; Najafabadi, Amir. T. Payandeh; Balakrishnan, Narayanaswamy Some new results on aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios. (English) Zbl 1508.62245 Commun. Stat., Theory Methods 47, No. 11, 2779-2794 (2018). MSC: 62P05 60E15 91G05 PDFBibTeX XMLCite \textit{G. Barmalzan} et al., Commun. Stat., Theory Methods 47, No. 11, 2779--2794 (2018; Zbl 1508.62245) Full Text: DOI
Navickienė, Olga; Sprindys, Jonas; Šiaulys, Jonas Ruin probability for the bi-seasonal discrete time risk model with dependent claims. (English) Zbl 1425.91231 Mod. Stoch., Theory Appl. 6, No. 1, 133-144 (2019). MSC: 91B30 91B70 PDFBibTeX XMLCite \textit{O. Navickienė} et al., Mod. Stoch., Theory Appl. 6, No. 1, 133--144 (2018; Zbl 1425.91231) Full Text: DOI arXiv
Woo, Jae-Kyung; Liu, Haibo Discounted aggregate claim costs until ruin in the discrete-time renewal risk model. (English) Zbl 1411.91324 Methodol. Comput. Appl. Probab. 20, No. 4, 1285-1318 (2018). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{J.-K. Woo} and \textit{H. Liu}, Methodol. Comput. Appl. Probab. 20, No. 4, 1285--1318 (2018; Zbl 1411.91324) Full Text: DOI
Rosenlund, Stig Credibility pseudo-estimators. (English) Zbl 1407.62393 Scand. Actuar. J. 2018, No. 9, 770-791 (2018). MSC: 62P05 62J12 91B30 PDFBibTeX XMLCite \textit{S. Rosenlund}, Scand. Actuar. J. 2018, No. 9, 770--791 (2018; Zbl 1407.62393) Full Text: DOI
Quijano Xacur, Oscar Alberto; Garrido, José Bayesian credibility for GLMs. (English) Zbl 1406.62127 Insur. Math. Econ. 83, 180-189 (2018). MSC: 62P05 62F15 91B30 PDFBibTeX XMLCite \textit{O. A. Quijano Xacur} and \textit{J. Garrido}, Insur. Math. Econ. 83, 180--189 (2018; Zbl 1406.62127) Full Text: DOI arXiv Link
Barmalzan, G.; Payandeh Najafabadi, A. T.; Balakrishnan, N. Ordering results for aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios and their applications in insurance analysis. (English) Zbl 1458.62232 Theory Probab. Appl. 62, No. 1, 117-131 (2018) and Teor. Veroyatn. Primen. 62, No. 1, 145-162 (2017). MSC: 62P05 60E15 91G70 PDFBibTeX XMLCite \textit{G. Barmalzan} et al., Theory Probab. Appl. 62, No. 1, 117--131 (2018; Zbl 1458.62232) Full Text: DOI
Li, Lujun; Shao, Hui; Wang, Ruodu; Yang, Jingping Worst-case range value-at-risk with partial information. (English) Zbl 1408.91240 SIAM J. Financ. Math. 9, No. 1, 190-218 (2018). MSC: 91G70 60E15 62H10 PDFBibTeX XMLCite \textit{L. Li} et al., SIAM J. Financ. Math. 9, No. 1, 190--218 (2018; Zbl 1408.91240) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications. (English) Zbl 1398.62289 Insur. Math. Econ. 78, 53-71 (2018). MSC: 62P05 91B30 62H05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 78, 53--71 (2018; Zbl 1398.62289) Full Text: DOI
Goffard, Pierre-Olivier; Lefèvre, Claude Duality in ruin problems for ordered risk models. (English) Zbl 1398.91329 Insur. Math. Econ. 78, 44-52 (2018). MSC: 91B30 60G55 60G40 12E10 62P05 PDFBibTeX XMLCite \textit{P.-O. Goffard} and \textit{C. Lefèvre}, Insur. Math. Econ. 78, 44--52 (2018; Zbl 1398.91329) Full Text: DOI HAL
Schumacher, Johannes M. Distortion risk measures, ROC curves, and distortion divergence. (English) Zbl 1392.62312 Stat. Risk. Model. 35, No. 1-2, 35-50 (2018). MSC: 62P05 91B30 91G70 PDFBibTeX XMLCite \textit{J. M. Schumacher}, Stat. Risk. Model. 35, No. 1--2, 35--50 (2018; Zbl 1392.62312) Full Text: DOI Link
Tian, Ruilin; Cox, Samuel H.; Zuluaga, Luis F. Moment problem and its applications to risk assessment. (English) Zbl 1414.91236 N. Am. Actuar. J. 21, No. 2, 242-266 (2017). MSC: 91B30 90C22 PDFBibTeX XMLCite \textit{R. Tian} et al., N. Am. Actuar. J. 21, No. 2, 242--266 (2017; Zbl 1414.91236) Full Text: DOI
Li, Shuanming; Lu, Yi Distributional study of finite-time ruin related problems for the classical risk model. (English) Zbl 1427.91079 Appl. Math. Comput. 315, 319-330 (2017). MSC: 91B05 62P05 60K05 91G05 PDFBibTeX XMLCite \textit{S. Li} and \textit{Y. Lu}, Appl. Math. Comput. 315, 319--330 (2017; Zbl 1427.91079) Full Text: DOI
Czarna, Irmina; Palmowski, Zbigniew; Świątek, Przemysław Discrete time ruin probability with Parisian delay. (English) Zbl 1402.91188 Scand. Actuar. J. 2017, No. 10, 854-869 (2017). MSC: 91B30 60K10 60G51 62P05 PDFBibTeX XMLCite \textit{I. Czarna} et al., Scand. Actuar. J. 2017, No. 10, 854--869 (2017; Zbl 1402.91188) Full Text: DOI arXiv
Shushi, Tomer Skew-elliptical distributions with applications in risk theory. (English) Zbl 1394.62148 Eur. Actuar. J. 7, No. 1, 277-296 (2017). MSC: 62P05 62H10 91B30 PDFBibTeX XMLCite \textit{T. Shushi}, Eur. Actuar. J. 7, No. 1, 277--296 (2017; Zbl 1394.62148) Full Text: DOI
Santana, David J.; González-Hernández, Juan; Rincón, Luis Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures. (English) Zbl 1408.91105 Methodol. Comput. Appl. Probab. 19, No. 3, 775-798 (2017). MSC: 91B30 62P05 91B70 62E17 PDFBibTeX XMLCite \textit{D. J. Santana} et al., Methodol. Comput. Appl. Probab. 19, No. 3, 775--798 (2017; Zbl 1408.91105) Full Text: DOI
Siu, Tak Kuen; Shen, Yang Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. (English) Zbl 1414.91389 Discrete Contin. Dyn. Syst., Ser. B 22, No. 7, 2595-2626 (2017). MSC: 91G20 91A15 91A23 91A05 60H10 60J75 PDFBibTeX XMLCite \textit{T. K. Siu} and \textit{Y. Shen}, Discrete Contin. Dyn. Syst., Ser. B 22, No. 7, 2595--2626 (2017; Zbl 1414.91389) Full Text: DOI
Rieger, Marc Oliver Characterization of acceptance sets for co-monotone risk measures. (English) Zbl 1394.91337 Insur. Math. Econ. 74, 147-152 (2017). MSC: 91G70 91B30 PDFBibTeX XMLCite \textit{M. O. Rieger}, Insur. Math. Econ. 74, 147--152 (2017; Zbl 1394.91337) Full Text: DOI
Pitselis, Georgios Risk measures in a quantile regression credibility framework with Fama/French data applications. (English) Zbl 1394.91228 Insur. Math. Econ. 74, 122-134 (2017). MSC: 91B30 62J05 62P05 91G70 PDFBibTeX XMLCite \textit{G. Pitselis}, Insur. Math. Econ. 74, 122--134 (2017; Zbl 1394.91228) Full Text: DOI
Shiraishi, Hiroshi Review of statistical actuarial risk modelling. (English) Zbl 1426.62308 Cogent Math. 3, Article ID 1123945, 31 p. (2016). MSC: 62P05 62-02 91G05 91B05 PDFBibTeX XMLCite \textit{H. Shiraishi}, Cogent Math. 3, Article ID 1123945, 31 p. (2016; Zbl 1426.62308) Full Text: DOI
Eckles, David L.; McCarthy, David G.; Zeng, Xudong The theory of optimal stochastic control as applied to insurance underwriting cycles. (English) Zbl 1414.91182 N. Am. Actuar. J. 20, No. 4, 327-340 (2016). MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{D. L. Eckles} et al., N. Am. Actuar. J. 20, No. 4, 327--340 (2016; Zbl 1414.91182) Full Text: DOI
Shi, Peng; Hartman, Brian M. Credibility in loss reserving. (English) Zbl 1414.91232 N. Am. Actuar. J. 20, No. 2, 114-132 (2016). MSC: 91B30 PDFBibTeX XMLCite \textit{P. Shi} and \textit{B. M. Hartman}, N. Am. Actuar. J. 20, No. 2, 114--132 (2016; Zbl 1414.91232) Full Text: DOI
Benkhelifa, Lazhar Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions. (English) Zbl 1401.62203 Scand. Actuar. J. 2016, No. 3, 262-278 (2016). MSC: 62P05 62G32 62G30 91B30 PDFBibTeX XMLCite \textit{L. Benkhelifa}, Scand. Actuar. J. 2016, No. 3, 262--278 (2016; Zbl 1401.62203) Full Text: DOI
Christiansen, Marcus C.; Schinzinger, Edo A credibility approach for combining likelihoods of generalized linear models. (English) Zbl 1390.62205 ASTIN Bull. 46, No. 3, 531-569 (2016). MSC: 62P05 62F15 91B30 PDFBibTeX XMLCite \textit{M. C. Christiansen} and \textit{E. Schinzinger}, ASTIN Bull. 46, No. 3, 531--569 (2016; Zbl 1390.62205) Full Text: DOI
Sordo, Miguel A.; Castaño-Martínez, Antonia; Pigueiras, Gema A family of premium principles based on mixtures of TVaRs. (English) Zbl 1373.62531 Insur. Math. Econ. 70, 397-405 (2016). MSC: 62P05 60E15 62B10 91B30 PDFBibTeX XMLCite \textit{M. A. Sordo} et al., Insur. Math. Econ. 70, 397--405 (2016; Zbl 1373.62531) Full Text: DOI
Knispel, Thomas; Laeven, Roger J. A.; Svindland, Gregor Robust optimal risk sharing and risk premia in expanding pools. (English) Zbl 1371.91095 Insur. Math. Econ. 70, 182-195 (2016). MSC: 91B30 91B16 91B06 62P05 PDFBibTeX XMLCite \textit{T. Knispel} et al., Insur. Math. Econ. 70, 182--195 (2016; Zbl 1371.91095) Full Text: DOI arXiv
Siu, Tak Kuen A functional Itô’s calculus approach to convex risk measures with jump diffusion. (English) Zbl 1346.91272 Eur. J. Oper. Res. 250, No. 3, 874-883 (2016). MSC: 91G80 60H30 60G57 91B30 93E20 PDFBibTeX XMLCite \textit{T. K. Siu}, Eur. J. Oper. Res. 250, No. 3, 874--883 (2016; Zbl 1346.91272) Full Text: DOI
Lu, Yi On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model. (English) Zbl 1334.90063 Methodol. Comput. Appl. Probab. 18, No. 1, 237-255 (2016). MSC: 90B70 62E99 91D35 PDFBibTeX XMLCite \textit{Y. Lu}, Methodol. Comput. Appl. Probab. 18, No. 1, 237--255 (2016; Zbl 1334.90063) Full Text: DOI
Costabile, M.; Massabò, I.; Russo, E. Computing finite-time survival probabilities using multinomial approximations of risk models. (English) Zbl 1401.91122 Scand. Actuar. J. 2015, No. 5, 406-422 (2015). MSC: 91B30 60J05 PDFBibTeX XMLCite \textit{M. Costabile} et al., Scand. Actuar. J. 2015, No. 5, 406--422 (2015; Zbl 1401.91122) Full Text: DOI
Cheung, Ka Chun; Chong, Wing Fung; Elliott, Robert; Yam, Sheung Chi Phillip Disappointment aversion premium principle. (English) Zbl 1390.91131 ASTIN Bull. 45, No. 3, 679-702 (2015). MSC: 91B16 91B30 PDFBibTeX XMLCite \textit{K. C. Cheung} et al., ASTIN Bull. 45, No. 3, 679--702 (2015; Zbl 1390.91131) Full Text: DOI Link
Grigutis, Andrius; Korvel, Agneška; Šiaulys, Jonas Ruin probability in the three-seasonal discrete-time risk model. (English) Zbl 1349.91137 Mod. Stoch., Theory Appl. 2, No. 4, 421-441 (2015). MSC: 91B30 60G50 PDFBibTeX XMLCite \textit{A. Grigutis} et al., Mod. Stoch., Theory Appl. 2, No. 4, 421--441 (2015; Zbl 1349.91137) Full Text: DOI arXiv
De Marco, Stefano; Henry-Labordère, Pierre Linking vanillas and VIX options: a constrained martingale optimal transport problem. (English) Zbl 1386.91138 SIAM J. Financ. Math. 6, 1171-1194 (2015). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 49N15 90C05 90C34 90C46 PDFBibTeX XMLCite \textit{S. De Marco} and \textit{P. Henry-Labordère}, SIAM J. Financ. Math. 6, 1171--1194 (2015; Zbl 1386.91138) Full Text: DOI Link
Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas How superadditive can a risk measure be? (English) Zbl 1338.91080 SIAM J. Financ. Math. 6, 776-803 (2015). MSC: 91B30 62P05 91G70 PDFBibTeX XMLCite \textit{R. Wang} et al., SIAM J. Financ. Math. 6, 776--803 (2015; Zbl 1338.91080) Full Text: DOI Link
Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Muris, Chris Expected utility and catastrophic consumption risk. (English) Zbl 1348.91152 Insur. Math. Econ. 64, 306-312 (2015). MSC: 91B30 91B06 91B16 PDFBibTeX XMLCite \textit{M. Ikefuji} et al., Insur. Math. Econ. 64, 306--312 (2015; Zbl 1348.91152) Full Text: DOI
Răducan, Anişoara Maria; Vernic, Raluca; Zbăganu, Gheorghiţă On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues. (English) Zbl 1319.91098 J. Comput. Appl. Math. 290, 319-333 (2015). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{A. M. Răducan} et al., J. Comput. Appl. Math. 290, 319--333 (2015; Zbl 1319.91098) Full Text: DOI
Psarrakos, Georgios On the integrated tail of the deficit in the renewal risk model. (English) Zbl 1319.60171 Methodol. Comput. Appl. Probab. 17, No. 2, 497-513 (2015). MSC: 60K05 91B30 PDFBibTeX XMLCite \textit{G. Psarrakos}, Methodol. Comput. Appl. Probab. 17, No. 2, 497--513 (2015; Zbl 1319.60171) Full Text: DOI
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias [Embrechts, Paul] Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. (English) Zbl 1320.01026 Depend. Model. 3, 17-28 (2015). MSC: 01A70 91B30 PDFBibTeX XMLCite \textit{F. Durante} et al., Depend. Model. 3, 17--28 (2015; Zbl 1320.01026) Full Text: DOI
Ghossoub, Mario Vigilant measures of risk and the demand for contingent claims. (English) Zbl 1403.91195 Insur. Math. Econ. 61, 27-35 (2015). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 91B16 PDFBibTeX XMLCite \textit{M. Ghossoub}, Insur. Math. Econ. 61, 27--35 (2015; Zbl 1403.91195) Full Text: DOI Link
Andreoli, Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella Computing survival probabilities based on stochastic differential models. (English) Zbl 1310.65008 J. Comput. Appl. Math. 277, 127-137 (2015). MSC: 65C30 60H30 91B30 92D25 PDFBibTeX XMLCite \textit{A. Andreoli} et al., J. Comput. Appl. Math. 277, 127--137 (2015; Zbl 1310.65008) Full Text: DOI
Boucher, Jean-Philippe; Inoussa, Rofick A posteriori ratemaking with panel data. (English) Zbl 1431.91319 ASTIN Bull. 44, No. 3, 587-612 (2014). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{J.-P. Boucher} and \textit{R. Inoussa}, ASTIN Bull. 44, No. 3, 587--612 (2014; Zbl 1431.91319) Full Text: DOI Link
Pratsiovytyi, Mykola; Drozdenko, Vitaliy Characterization theorems for scale invariance property of insurance premium calculation principles. (English) Zbl 1389.91048 Eur. J. Pure Appl. Math. 7, No. 3, 267-288 (2014). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{M. Pratsiovytyi} and \textit{V. Drozdenko}, Eur. J. Pure Appl. Math. 7, No. 3, 267--288 (2014; Zbl 1389.91048) Full Text: Link
Blanchet, Adrien; Carlier, Guillaume From Nash to Cournot-Nash equilibria via the Monge-Kantorovich problem. (English) Zbl 1353.91013 Philos. Trans. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 372, No. 2028, Article ID 20130398, 11 p. (2014). MSC: 91A44 91A07 91A06 PDFBibTeX XMLCite \textit{A. Blanchet} and \textit{G. Carlier}, Philos. Trans. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 372, No. 2028, Article ID 20130398, 11 p. (2014; Zbl 1353.91013) Full Text: DOI arXiv
Wong, Man Hong; Zhang, Shuzhong On distributional robust probability functions and their computations. (English) Zbl 1339.60013 Eur. J. Oper. Res. 233, No. 1, 23-33 (2014). MSC: 60E05 90C22 91B30 PDFBibTeX XMLCite \textit{M. H. Wong} and \textit{S. Zhang}, Eur. J. Oper. Res. 233, No. 1, 23--33 (2014; Zbl 1339.60013) Full Text: DOI
Damarackas, Julius; Šiaulys, Jonas Bi-seasonal discrete time risk model. (English) Zbl 1338.91076 Appl. Math. Comput. 247, 930-940 (2014). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Damarackas} and \textit{J. Šiaulys}, Appl. Math. Comput. 247, 930--940 (2014; Zbl 1338.91076) Full Text: DOI
Lefèvre, Claude; Picard, Philippe Appell pseudopolynomials and Erlang-type risk models. (English) Zbl 1337.60227 Stochastics 86, No. 4, 676-695 (2014). MSC: 60K10 60G40 12E10 91B30 PDFBibTeX XMLCite \textit{C. Lefèvre} and \textit{P. Picard}, Stochastics 86, No. 4, 676--695 (2014; Zbl 1337.60227) Full Text: DOI
Pratsiovytyi, Mykola; Drozdenko, Vitaliy Characterization theorems for customer equivalent utility insurance premium calculation principle. (English) Zbl 1329.91074 Eur. Actuar. J. 4, No. 2, 437-451 (2014). MSC: 91B30 PDFBibTeX XMLCite \textit{M. Pratsiovytyi} and \textit{V. Drozdenko}, Eur. Actuar. J. 4, No. 2, 437--451 (2014; Zbl 1329.91074) Full Text: DOI
Pichler, Alois Insurance pricing under ambiguity. (English) Zbl 1329.91073 Eur. Actuar. J. 4, No. 2, 335-364 (2014). MSC: 91B30 PDFBibTeX XMLCite \textit{A. Pichler}, Eur. Actuar. J. 4, No. 2, 335--364 (2014; Zbl 1329.91073) Full Text: DOI
Durbach, Ian N. Outranking under uncertainty using scenarios. (English) Zbl 1305.91071 Eur. J. Oper. Res. 232, No. 1, 98-108 (2014). MSC: 91B06 PDFBibTeX XMLCite \textit{I. N. Durbach}, Eur. J. Oper. Res. 232, No. 1, 98--108 (2014; Zbl 1305.91071) Full Text: DOI
Benkhelifa, Lazhar Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions. (English) Zbl 1306.91069 Insur. Math. Econ. 59, 65-70 (2014). MSC: 91B30 62G07 62G32 PDFBibTeX XMLCite \textit{L. Benkhelifa}, Insur. Math. Econ. 59, 65--70 (2014; Zbl 1306.91069) Full Text: DOI
Lefèvre, Claude; Picard, Philippe Ruin probabilities for risk models with ordered claim arrivals. (English) Zbl 1307.91098 Methodol. Comput. Appl. Probab. 16, No. 4, 885-905 (2014). MSC: 91B30 60J80 62P05 60G40 12E10 62G30 PDFBibTeX XMLCite \textit{C. Lefèvre} and \textit{P. Picard}, Methodol. Comput. Appl. Probab. 16, No. 4, 885--905 (2014; Zbl 1307.91098) Full Text: DOI
Castañer, A.; Claramunt, M. M.; Lefèvre, C. Survival probabilities in bivariate risk models, with application to reinsurance. (English) Zbl 1290.91077 Insur. Math. Econ. 53, No. 3, 632-642 (2013). MSC: 91B30 60G40 PDFBibTeX XMLCite \textit{A. Castañer} et al., Insur. Math. Econ. 53, No. 3, 632--642 (2013; Zbl 1290.91077) Full Text: DOI Link
Tsai, Cary Chi-Liang; Chung, San-Lin Actuarial applications of the linear hazard transform in mortality immunization. (English) Zbl 1284.91272 Insur. Math. Econ. 53, No. 1, 48-63 (2013). MSC: 91B30 PDFBibTeX XMLCite \textit{C. C. L. Tsai} and \textit{S.-L. Chung}, Insur. Math. Econ. 53, No. 1, 48--63 (2013; Zbl 1284.91272) Full Text: DOI
Kim, Joseph H. T.; Jeon, Yongho Credibility theory based on trimming. (English) Zbl 1284.91245 Insur. Math. Econ. 53, No. 1, 36-47 (2013). MSC: 91B30 PDFBibTeX XMLCite \textit{J. H. T. Kim} and \textit{Y. Jeon}, Insur. Math. Econ. 53, No. 1, 36--47 (2013; Zbl 1284.91245) Full Text: DOI
Deme, El Hadji; Girard, Stéphane; Guillou, Armelle Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions. (English) Zbl 1284.62211 Insur. Math. Econ. 52, No. 3, 550-559 (2013). MSC: 62G05 62G20 91B30 PDFBibTeX XMLCite \textit{E. H. Deme} et al., Insur. Math. Econ. 52, No. 3, 550--559 (2013; Zbl 1284.62211) Full Text: DOI HAL
Wong, Man Hong; Zhang, Shuzhong Computing best bounds for nonlinear risk measures with partial information. (English) Zbl 1284.91278 Insur. Math. Econ. 52, No. 2, 204-212 (2013). MSC: 91B30 60E05 62P05 90C22 PDFBibTeX XMLCite \textit{M. H. Wong} and \textit{S. Zhang}, Insur. Math. Econ. 52, No. 2, 204--212 (2013; Zbl 1284.91278) Full Text: DOI
Kaluszka, Marek; Krzeszowiec, Michał An iterativity condition for the mean-value principle under cumulative prospect theory. (English) Zbl 1284.91243 Astin Bull. 43, No. 1, 61-71 (2013). Reviewer: Karel Zimmermann (Praha) MSC: 91B30 91B16 PDFBibTeX XMLCite \textit{M. Kaluszka} and \textit{M. Krzeszowiec}, ASTIN Bull. 43, No. 1, 61--71 (2013; Zbl 1284.91243) Full Text: DOI
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan Randomized observation periods for the compound Poisson risk model: the discounted penalty function. (English) Zbl 1401.91089 Scand. Actuar. J. 2013, No. 6, 424-452 (2013). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Scand. Actuar. J. 2013, No. 6, 424--452 (2013; Zbl 1401.91089) Full Text: DOI Link
Bargès, Mathieu; Loisel, Stéphane; Venel, Xavier On finite-time ruin probabilities with reinsurance cycles influenced by large claims. (English) Zbl 1292.91089 Scand. Actuar. J. 2013, No. 3, 164-186 (2013). Reviewer: Tamás Mátrai (Budapest) MSC: 91B30 91B74 60K20 PDFBibTeX XMLCite \textit{M. Bargès} et al., Scand. Actuar. J. 2013, No. 3, 164--186 (2013; Zbl 1292.91089) Full Text: DOI HAL
Castañer, Anna; Claramunt, M. Mercè; Gathy, Maude; Lefèvre, Claude; Mármol, Maite Ruin problems for a discrete time risk model with non-homogeneous conditions. (English) Zbl 1280.91091 Scand. Actuar. J. 2013, No. 2, 84-103 (2013). Reviewer: Klaus D. Schmidt (Dresden) MSC: 91B30 PDFBibTeX XMLCite \textit{A. Castañer} et al., Scand. Actuar. J. 2013, No. 2, 84--103 (2013; Zbl 1280.91091) Full Text: DOI Link
Mierzejewski, Fernando Raising and allocation capital principles as optimal managerial contracts. (English) Zbl 1287.91148 Scand. Actuar. J. 2013, No. 1, 24-48 (2013). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G50 91B30 91G20 PDFBibTeX XMLCite \textit{F. Mierzejewski}, Scand. Actuar. J. 2013, No. 1, 24--48 (2013; Zbl 1287.91148) Full Text: DOI
Föllmer, Hans; Schied, Alexander Probabilistic aspects of finance. (English) Zbl 1279.91053 Bernoulli 19, No. 4, 1306-1326 (2013). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B02 91B24 91G10 91B06 PDFBibTeX XMLCite \textit{H. Föllmer} and \textit{A. Schied}, Bernoulli 19, No. 4, 1306--1326 (2013; Zbl 1279.91053) Full Text: DOI arXiv Euclid
Schmidt, Klaus D. Loss prediction based on run-off triangles. (English) Zbl 1443.62370 AStA, Adv. Stat. Anal. 96, No. 2, 265-310 (2012). MSC: 62P05 91G05 PDFBibTeX XMLCite \textit{K. D. Schmidt}, AStA, Adv. Stat. Anal. 96, No. 2, 265--310 (2012; Zbl 1443.62370) Full Text: DOI
Feng, Runhuan; Volkmer, Hans W. Analytical calculation of risk measures for variable annuity guaranteed benefits. (English) Zbl 1285.91055 Insur. Math. Econ. 51, No. 3, 636-648 (2012). MSC: 91B30 91G20 60H30 PDFBibTeX XMLCite \textit{R. Feng} and \textit{H. W. Volkmer}, Insur. Math. Econ. 51, No. 3, 636--648 (2012; Zbl 1285.91055) Full Text: DOI
Malinovskii, Vsevolod K. Equitable solvent controls in a multi-period game model of risk. (English) Zbl 1285.91063 Insur. Math. Econ. 51, No. 3, 599-616 (2012). MSC: 91B30 91A40 PDFBibTeX XMLCite \textit{V. K. Malinovskii}, Insur. Math. Econ. 51, No. 3, 599--616 (2012; Zbl 1285.91063) Full Text: DOI
Kaluszka, M.; Laeven, R. J. A.; Okolewski, A. A note on weighted premium calculation principles. (English) Zbl 1284.91242 Insur. Math. Econ. 51, No. 2, 379-381 (2012). MSC: 91B30 PDFBibTeX XMLCite \textit{M. Kaluszka} et al., Insur. Math. Econ. 51, No. 2, 379--381 (2012; Zbl 1284.91242) Full Text: DOI
Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; Tank, Fatih On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures. (English) Zbl 1284.91235 Insur. Math. Econ. 51, No. 1, 10-18 (2012). MSC: 91B30 60E15 PDFBibTeX XMLCite \textit{M. Goovaerts} et al., Insur. Math. Econ. 51, No. 1, 10--18 (2012; Zbl 1284.91235) Full Text: DOI