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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Lefèvre, Claude; Picard, Philippe A new look at the homogeneous risk model. (English) Zbl 1229.91162 Insur. Math. Econ. 49, No. 3, 512-519 (2011). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{C. Lefèvre} and \textit{P. Picard}, Insur. Math. Econ. 49, No. 3, 512--519 (2011; Zbl 1229.91162) Full Text: DOI
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. Worst case risk measurement: back to the future? (English) Zbl 1228.91037 Insur. Math. Econ. 49, No. 3, 380-392 (2011). MSC: 91B30 62P05 90C08 PDFBibTeX XMLCite \textit{M. J. Goovaerts} et al., Insur. Math. Econ. 49, No. 3, 380--392 (2011; Zbl 1228.91037) Full Text: DOI
Li, Xiaohu; Lin, Jianhua Stochastic orders in time transformed exponential models with applications. (English) Zbl 1220.91019 Insur. Math. Econ. 49, No. 1, 47-52 (2011). MSC: 91B30 62P05 60E15 PDFBibTeX XMLCite \textit{X. Li} and \textit{J. Lin}, Insur. Math. Econ. 49, No. 1, 47--52 (2011; Zbl 1220.91019) Full Text: DOI
Dornheim, Harald; Brazauskas, Vytaras Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective. (English) Zbl 1233.91142 Insur. Math. Econ. 48, No. 1, 72-84 (2011). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Dornheim} and \textit{V. Brazauskas}, Insur. Math. Econ. 48, No. 1, 72--84 (2011; Zbl 1233.91142) Full Text: DOI
Labuschagne, Coenraad C. A.; Offwood, Theresa M. A note on the connection between the Esscher-Girsanov transform and the Wang transform. (English) Zbl 1231.60062 Insur. Math. Econ. 47, No. 3, 385-390 (2010). MSC: 60H30 28A12 91B30 91G20 PDFBibTeX XMLCite \textit{C. C. A. Labuschagne} and \textit{T. M. Offwood}, Insur. Math. Econ. 47, No. 3, 385--390 (2010; Zbl 1231.60062) Full Text: DOI
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. Decision principles derived from risk measures. (English) Zbl 1231.91191 Insur. Math. Econ. 47, No. 3, 294-302 (2010). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{M. J. Goovaerts} et al., Insur. Math. Econ. 47, No. 3, 294--302 (2010; Zbl 1231.91191) Full Text: DOI
Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio Optimal reinsurance with general risk measures. (English) Zbl 1162.91394 Insur. Math. Econ. 44, No. 3, 374-384 (2009). MSC: 91B30 91B28 90C48 PDFBibTeX XMLCite \textit{A. Balbás} et al., Insur. Math. Econ. 44, No. 3, 374--384 (2009; Zbl 1162.91394) Full Text: DOI Link
Tsanakas, Andreas To split or not to split: Capital allocation with convex risk measures. (English) Zbl 1165.91423 Insur. Math. Econ. 44, No. 2, 268-277 (2009). MSC: 91B30 91B28 91B32 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 44, No. 2, 268--277 (2009; Zbl 1165.91423) Full Text: DOI Link
Furman, Edward; Zitikis, Ričardas Weighted risk capital allocations. (English) Zbl 1189.62163 Insur. Math. Econ. 43, No. 2, 263-269 (2008). MSC: 62P05 65C60 91B30 PDFBibTeX XMLCite \textit{E. Furman} and \textit{R. Zitikis}, Insur. Math. Econ. 43, No. 2, 263--269 (2008; Zbl 1189.62163) Full Text: DOI
Psarrakos, Georgios Tail bounds for the distribution of the deficit in the renewal risk model. (English) Zbl 1189.91080 Insur. Math. Econ. 43, No. 2, 197-202 (2008). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{G. Psarrakos}, Insur. Math. Econ. 43, No. 2, 197--202 (2008; Zbl 1189.91080) Full Text: DOI
Boucher, Jean-Philippe; Denuit, Michel Credibility premiums for the zero-inflated Poisson model and new hunger for bonus interpretation. (English) Zbl 1152.91567 Insur. Math. Econ. 42, No. 2, 727-735 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{J.-P. Boucher} and \textit{M. Denuit}, Insur. Math. Econ. 42, No. 2, 727--735 (2008; Zbl 1152.91567) Full Text: DOI
Goovaerts, Marc J.; Laeven, Roger J. A. Actuarial risk measures for financial derivative pricing. (English) Zbl 1152.91444 Insur. Math. Econ. 42, No. 2, 540-547 (2008). MSC: 91G20 91G70 91B30 PDFBibTeX XMLCite \textit{M. J. Goovaerts} and \textit{R. J. A. Laeven}, Insur. Math. Econ. 42, No. 2, 540--547 (2008; Zbl 1152.91444) Full Text: DOI Link
Tsanakas, Andreas Risk measurement in the presence of background risk. (English) Zbl 1152.91607 Insur. Math. Econ. 42, No. 2, 520-528 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 42, No. 2, 520--528 (2008; Zbl 1152.91607) Full Text: DOI Link
Burgert, Christian; Rüschendorf, Ludger Allocation of risks and equilibrium in markets with finitely many traders. (English) Zbl 1141.91491 Insur. Math. Econ. 42, No. 1, 177-188 (2008). MSC: 91B30 91B52 PDFBibTeX XMLCite \textit{C. Burgert} and \textit{L. Rüschendorf}, Insur. Math. Econ. 42, No. 1, 177--188 (2008; Zbl 1141.91491) Full Text: DOI
Psarrakos, Georgios; Politis, Konstadinos Tail bounds for the joint distribution of the surplus prior to and at ruin. (English) Zbl 1141.91544 Insur. Math. Econ. 42, No. 1, 163-176 (2008). MSC: 91B30 60G40 PDFBibTeX XMLCite \textit{G. Psarrakos} and \textit{K. Politis}, Insur. Math. Econ. 42, No. 1, 163--176 (2008; Zbl 1141.91544) Full Text: DOI
Jones, Bruce L.; Zitikis, Ričardas Risk measures, distortion parameters, and their empirical estimation. (English) Zbl 1193.91065 Insur. Math. Econ. 41, No. 2, 279-297 (2007). MSC: 91B30 62N02 62P05 PDFBibTeX XMLCite \textit{B. L. Jones} and \textit{R. Zitikis}, Insur. Math. Econ. 41, No. 2, 279--297 (2007; Zbl 1193.91065) Full Text: DOI
Roorda, Berend; Schumacher, J. M. Time consistency conditions for acceptability measures, with an application to tail value at risk. (English) Zbl 1141.91547 Insur. Math. Econ. 40, No. 2, 209-230 (2007). MSC: 91B30 60K05 60K10 PDFBibTeX XMLCite \textit{B. Roorda} and \textit{J. M. Schumacher}, Insur. Math. Econ. 40, No. 2, 209--230 (2007; Zbl 1141.91547) Full Text: DOI Link
De Schepper, Ann; Heijnen, Bart Distribution-free option pricing. (English) Zbl 1141.91434 Insur. Math. Econ. 40, No. 2, 179-199 (2007). MSC: 91G20 PDFBibTeX XMLCite \textit{A. De Schepper} and \textit{B. Heijnen}, Insur. Math. Econ. 40, No. 2, 179--199 (2007; Zbl 1141.91434) Full Text: DOI
Jang, Jiwook Jump diffusion processes and their applications in insurance and finance. (English) Zbl 1119.91054 Insur. Math. Econ. 41, No. 1, 62-70 (2007). MSC: 91B30 91G20 60J75 91B70 PDFBibTeX XMLCite \textit{J. Jang}, Insur. Math. Econ. 41, No. 1, 62--70 (2007; Zbl 1119.91054) Full Text: DOI
Chadjiconstantinidis, Stathis; Politis, Konstadinos Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model. (English) Zbl 1119.91050 Insur. Math. Econ. 41, No. 1, 41-52 (2007). MSC: 91B30 PDFBibTeX XMLCite \textit{S. Chadjiconstantinidis} and \textit{K. Politis}, Insur. Math. Econ. 41, No. 1, 41--52 (2007; Zbl 1119.91050) Full Text: DOI
Filipović, Damir; Kupper, Michael Monotone and cash-invariant convex functions and hulls. (English) Zbl 1119.91051 Insur. Math. Econ. 41, No. 1, 1-16 (2007). MSC: 91B30 91B84 PDFBibTeX XMLCite \textit{D. Filipović} and \textit{M. Kupper}, Insur. Math. Econ. 41, No. 1, 1--16 (2007; Zbl 1119.91051) Full Text: DOI
Frostig, Esther; Zaks, Yaniv; Levikson, Benny Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure. (English) Zbl 1183.91164 Insur. Math. Econ. 40, No. 3, 459-467 (2007). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{E. Frostig} et al., Insur. Math. Econ. 40, No. 3, 459--467 (2007; Zbl 1183.91164) Full Text: DOI
Gao, Feng; Song, Fengming; Zhang, Lihong Coherent risk measure, equilibrium and equilibrium pricing. (English) Zbl 1273.91237 Insur. Math. Econ. 40, No. 1, 85-94 (2007). MSC: 91B30 91B52 PDFBibTeX XMLCite \textit{F. Gao} et al., Insur. Math. Econ. 40, No. 1, 85--94 (2007; Zbl 1273.91237) Full Text: DOI
Fischer, Tom A law of large numbers approach to valuation in life insurance. (English) Zbl 1273.91188 Insur. Math. Econ. 40, No. 1, 35-57 (2007). MSC: 91B24 91B30 91G10 PDFBibTeX XMLCite \textit{T. Fischer}, Insur. Math. Econ. 40, No. 1, 35--57 (2007; Zbl 1273.91188) Full Text: DOI
Bäuerle, Nicole; Müller, Alfred Stochastic orders and risk measures: consistency and bounds. (English) Zbl 1105.60017 Insur. Math. Econ. 38, No. 1, 132-148 (2006). Reviewer: Moshe Shaked (Tucson) MSC: 60E15 91B30 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{A. Müller}, Insur. Math. Econ. 38, No. 1, 132--148 (2006; Zbl 1105.60017) Full Text: DOI Link
Tsai, Cary Chi-Liang On the stop-loss transform and order for the surplus process perturbed by diffusion. (English) Zbl 1147.91350 Insur. Math. Econ. 39, No. 1, 151-170 (2006). MSC: 91B30 60K05 60K10 PDFBibTeX XMLCite \textit{C. C. L. Tsai}, Insur. Math. Econ. 39, No. 1, 151--170 (2006; Zbl 1147.91350) Full Text: DOI
Wu, Xianyi; Zhou, Xian A new characterization of distortion premiums via countable additivity for comonotonic risks. (English) Zbl 1132.91019 Insur. Math. Econ. 38, No. 2, 324-334 (2006). MSC: 91B30 PDFBibTeX XMLCite \textit{X. Wu} and \textit{X. Zhou}, Insur. Math. Econ. 38, No. 2, 324--334 (2006; Zbl 1132.91019) Full Text: DOI
Kaluszka, Marek Optimal reinsurance under convex principles of premium calculation. (English) Zbl 1120.62092 Insur. Math. Econ. 36, No. 3, 375-398 (2005). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{M. Kaluszka}, Insur. Math. Econ. 36, No. 3, 375--398 (2005; Zbl 1120.62092) Full Text: DOI
Wu, Rong; Wang, Guojing; Zhang, Chunsheng On a joint distribution for the risk process with constant interest force. (English) Zbl 1110.62149 Insur. Math. Econ. 36, No. 3, 365-374 (2005). MSC: 62P05 91B30 60K10 60K05 PDFBibTeX XMLCite \textit{R. Wu} et al., Insur. Math. Econ. 36, No. 3, 365--374 (2005; Zbl 1110.62149) Full Text: DOI
Kolkovska, Ekaterina T.; López-Mimbela, José A.; Villa Morales, José Occupation measure and local time of classical risk processes. (English) Zbl 1129.91026 Insur. Math. Econ. 37, No. 3, 573-584 (2005). MSC: 91B30 60J55 PDFBibTeX XMLCite \textit{E. T. Kolkovska} et al., Insur. Math. Econ. 37, No. 3, 573--584 (2005; Zbl 1129.91026) Full Text: DOI
Politis, Konstadinos Bounds for the probability and severity of ruin in the Sparre Andersen model. (English) Zbl 1117.91383 Insur. Math. Econ. 36, No. 2, 165-177 (2005). MSC: 91B30 60K05 60K10 PDFBibTeX XMLCite \textit{K. Politis}, Insur. Math. Econ. 36, No. 2, 165--177 (2005; Zbl 1117.91383) Full Text: DOI
Ramsay, Colin M. Pricing optional group term insurance: a new approach using reservation prices. (English) Zbl 1111.91024 Insur. Math. Econ. 36, No. 1, 37-55 (2005). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{C. M. Ramsay}, Insur. Math. Econ. 36, No. 1, 37--55 (2005; Zbl 1111.91024) Full Text: DOI
Korn, Ralf Worst-case scenario investment for insurers. (English) Zbl 1111.91017 Insur. Math. Econ. 36, No. 1, 1-11 (2005). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{R. Korn}, Insur. Math. Econ. 36, No. 1, 1--11 (2005; Zbl 1111.91017) Full Text: DOI
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe Some new classes of consistent risk measures. (English) Zbl 1188.91087 Insur. Math. Econ. 34, No. 3, 505-516 (2004). MSC: 91B30 60E05 60E15 62E10 62P05 91B82 PDFBibTeX XMLCite \textit{M. J. Goovaerts} et al., Insur. Math. Econ. 34, No. 3, 505--516 (2004; Zbl 1188.91087) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Étienne Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. (English) Zbl 1188.91086 Insur. Math. Econ. 34, No. 3, 449-466 (2004). MSC: 91B30 62P05 60E05 60J10 60J20 62E10 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 34, No. 3, 449--466 (2004; Zbl 1188.91086) Full Text: DOI
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe A comonotonic image of independence for additive risk measures. (English) Zbl 1122.91341 Insur. Math. Econ. 35, No. 3, 581-594 (2004). MSC: 91B30 PDFBibTeX XMLCite \textit{M. J. Goovaerts} et al., Insur. Math. Econ. 35, No. 3, 581--594 (2004; Zbl 1122.91341) Full Text: DOI Link
Wang, Nan; Gerrard, Russell; Haberman, Steven The premium and the risk of a life policy in the presence of interest rate fluctuations. (English) Zbl 1117.91386 Insur. Math. Econ. 35, No. 3, 537-551 (2004). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{N. Wang} et al., Insur. Math. Econ. 35, No. 3, 537--551 (2004; Zbl 1117.91386) Full Text: DOI
Kaluszka, Marek An extension of Arrow’s result on optimality of a stop loss contract. (English) Zbl 1122.91343 Insur. Math. Econ. 35, No. 3, 527-536 (2004). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{M. Kaluszka}, Insur. Math. Econ. 35, No. 3, 527--536 (2004; Zbl 1122.91343) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Étienne Compound binomial risk model in a Markovian environment. (English) Zbl 1079.91049 Insur. Math. Econ. 35, No. 2, 425-443 (2004). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 35, No. 2, 425--443 (2004; Zbl 1079.91049) Full Text: DOI
Laeven, Roger J. A.; Goovaerts, Marc J. An optimization approach to the dynamic allocation of economic capital. (English) Zbl 1079.91037 Insur. Math. Econ. 35, No. 2, 299-319 (2004). MSC: 91G70 91B32 91B30 PDFBibTeX XMLCite \textit{R. J. A. Laeven} and \textit{M. J. Goovaerts}, Insur. Math. Econ. 35, No. 2, 299--319 (2004; Zbl 1079.91037) Full Text: DOI
Verlaak, Robert; Beirlant, Jan Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio. (English) Zbl 1103.91376 Insur. Math. Econ. 33, No. 2, 381-403 (2003). MSC: 91B30 PDFBibTeX XMLCite \textit{R. Verlaak} and \textit{J. Beirlant}, Insur. Math. Econ. 33, No. 2, 381--403 (2003; Zbl 1103.91376) Full Text: DOI
Cardoso, Rui M. R.; Waters, Howard R. Recursive calculation of finite time ruin probabilities under interest force. (English) Zbl 1103.60314 Insur. Math. Econ. 33, No. 3, 659-676 (2003). MSC: 60J10 60G55 65C50 91B30 PDFBibTeX XMLCite \textit{R. M. R. Cardoso} and \textit{H. R. Waters}, Insur. Math. Econ. 33, No. 3, 659--676 (2003; Zbl 1103.60314) Full Text: DOI
de Kok, Ton G. Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure. (English) Zbl 1103.91379 Insur. Math. Econ. 33, No. 3, 645-658 (2003). MSC: 91B30 60E05 PDFBibTeX XMLCite \textit{T. G. de Kok}, Insur. Math. Econ. 33, No. 3, 645--658 (2003; Zbl 1103.91379) Full Text: DOI
Huang, Xiaowei; Song, Lixin; Liang, Yanchun Semiparametric credibility ratemaking using a piecewise linear prior. (English) Zbl 1104.62330 Insur. Math. Econ. 33, No. 3, 585-593 (2003). MSC: 62P05 62G05 62G20 91B30 PDFBibTeX XMLCite \textit{X. Huang} et al., Insur. Math. Econ. 33, No. 3, 585--593 (2003; Zbl 1104.62330) Full Text: DOI
Wu, Rong; Wang, Guojing; Wei, Li Joint distributions of some actuarial random vectors containing the time of ruin. (English) Zbl 1024.62045 Insur. Math. Econ. 33, No. 1, 147-161 (2003). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{R. Wu} et al., Insur. Math. Econ. 33, No. 1, 147--161 (2003; Zbl 1024.62045) Full Text: DOI
Yang, Hailiang Ruin theory in a financial corporation model with credit risk. (English) Zbl 1055.91059 Insur. Math. Econ. 33, No. 1, 135-145 (2003). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{H. Yang}, Insur. Math. Econ. 33, No. 1, 135--145 (2003; Zbl 1055.91059) Full Text: DOI
Wu, Xueyuan; Yuen, Kam C. A discrete-time risk model with interaction between classes of business. (English) Zbl 1074.91031 Insur. Math. Econ. 33, No. 1, 117-133 (2003). Reviewer: Vasile Postolică (Piatra Neamt) MSC: 91B30 PDFBibTeX XMLCite \textit{X. Wu} and \textit{K. C. Yuen}, Insur. Math. Econ. 33, No. 1, 117--133 (2003; Zbl 1074.91031) Full Text: DOI
Ramsay, Colin M. A solution to the ruin problem for Pareto distributions. (English) Zbl 1055.91056 Insur. Math. Econ. 33, No. 1, 109-116 (2003). MSC: 91B30 PDFBibTeX XMLCite \textit{C. M. Ramsay}, Insur. Math. Econ. 33, No. 1, 109--116 (2003; Zbl 1055.91056) Full Text: DOI
Fragnelli, Vito; Marina, Maria Erminia A fair procedure in insurance. (English) Zbl 1025.62038 Insur. Math. Econ. 33, No. 1, 75-85 (2003). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{V. Fragnelli} and \textit{M. E. Marina}, Insur. Math. Econ. 33, No. 1, 75--85 (2003; Zbl 1025.62038) Full Text: DOI
Heilpern, S. A rank-dependent generalization of zero utility principle. (English) Zbl 1058.91024 Insur. Math. Econ. 33, No. 1, 67-73 (2003). MSC: 91B16 PDFBibTeX XMLCite \textit{S. Heilpern}, Insur. Math. Econ. 33, No. 1, 67--73 (2003; Zbl 1058.91024) Full Text: DOI
Kliger, Doron; Levikson, Benny Pricing no claims discount systems. (English) Zbl 1055.91052 Insur. Math. Econ. 31, No. 2, 191-204 (2002). MSC: 91B30 90C40 91B24 91A80 PDFBibTeX XMLCite \textit{D. Kliger} and \textit{B. Levikson}, Insur. Math. Econ. 31, No. 2, 191--204 (2002; Zbl 1055.91052) Full Text: DOI
Cardoso, Rui M. R.; Egidio dos Reis, Alfredo D. Recursive calculation of time to ruin distributions. (English) Zbl 1074.91545 Insur. Math. Econ. 30, No. 2, 219-230 (2002). MSC: 91B30 PDFBibTeX XMLCite \textit{R. M. R. Cardoso} and \textit{A. D. Egidio dos Reis}, Insur. Math. Econ. 30, No. 2, 219--230 (2002; Zbl 1074.91545) Full Text: DOI
Charupat, Narat; Milevsky, Moshe A. Optimal asset allocation in life annuities: a note. (English) Zbl 1074.91548 Insur. Math. Econ. 30, No. 2, 199-209 (2002). MSC: 91B30 PDFBibTeX XMLCite \textit{N. Charupat} and \textit{M. A. Milevsky}, Insur. Math. Econ. 30, No. 2, 199--209 (2002; Zbl 1074.91548) Full Text: DOI
Landsman, Zinoviy; Sherris, Michael Risk measures and insurance premium principles. (English) Zbl 1055.91053 Insur. Math. Econ. 29, No. 1, 103-115 (2001). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{Z. Landsman} and \textit{M. Sherris}, Insur. Math. Econ. 29, No. 1, 103--115 (2001; Zbl 1055.91053) Full Text: DOI
Perry, David; Stadje, Wolfgang Function space integration for annuities. (English) Zbl 1063.91039 Insur. Math. Econ. 29, No. 1, 73-82 (2001). Reviewer: Gabriel Talmain (York) MSC: 91B30 60J70 62P05 PDFBibTeX XMLCite \textit{D. Perry} and \textit{W. Stadje}, Insur. Math. Econ. 29, No. 1, 73--82 (2001; Zbl 1063.91039) Full Text: DOI
Hürlimann, Werner Distribution-free comparison of pricing principles. (English) Zbl 1074.91554 Insur. Math. Econ. 28, No. 3, 351-360 (2001). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{W. Hürlimann}, Insur. Math. Econ. 28, No. 3, 351--360 (2001; Zbl 1074.91554) Full Text: DOI
Møller, Thomas On transformations of actuarial valuation principles. (English) Zbl 1074.62531 Insur. Math. Econ. 28, No. 3, 281-303 (2001). MSC: 62P05 91B28 PDFBibTeX XMLCite \textit{T. Møller}, Insur. Math. Econ. 28, No. 3, 281--303 (2001; Zbl 1074.62531) Full Text: DOI
Brekelmans, Ruud; De Waegenaere, Anja Approximating the finite-time ruin probability under interest force. (English) Zbl 0991.60080 Insur. Math. Econ. 29, No. 2, 217-229 (2001). Reviewer: Alexandr B.Vasil’ev (Odessa) MSC: 60K10 62P05 PDFBibTeX XMLCite \textit{R. Brekelmans} and \textit{A. De Waegenaere}, Insur. Math. Econ. 29, No. 2, 217--229 (2001; Zbl 0991.60080) Full Text: DOI
Marceau, Étienne; Rioux, Jacques On robustness in risk theory. (English) Zbl 1002.62081 Insur. Math. Econ. 29, No. 2, 167-185 (2001). MSC: 62P05 62F35 62G35 91B30 62G05 62F10 PDFBibTeX XMLCite \textit{É. Marceau} and \textit{J. Rioux}, Insur. Math. Econ. 29, No. 2, 167--185 (2001; Zbl 1002.62081) Full Text: DOI
Egídio dos Reis, Alfredo D. On the moments of ruin and recovery times. (English) Zbl 0988.91044 Insur. Math. Econ. 27, No. 3, 331-343 (2000). Reviewer: Alexandra Rodkina (Mona) MSC: 91B30 PDFBibTeX XMLCite \textit{A. D. Egídio dos Reis}, Insur. Math. Econ. 27, No. 3, 331--343 (2000; Zbl 0988.91044) Full Text: DOI
Stanford, David A.; Stroiński, Krzysztof J.; Lee, Karen Ruin probabilities based at claim instants for some non-Poisson claim processes. (English) Zbl 1013.91068 Insur. Math. Econ. 26, No. 2-3, 251-267 (2000). Reviewer: Alexandra Rodkina (Mona, Kingston) MSC: 91B30 PDFBibTeX XMLCite \textit{D. A. Stanford} et al., Insur. Math. Econ. 26, No. 2--3, 251--267 (2000; Zbl 1013.91068) Full Text: DOI
Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W. Discounted probabilities and ruin theory in the compound binomial model. (English) Zbl 1013.91063 Insur. Math. Econ. 26, No. 2-3, 239-250 (2000). Reviewer: Alexandra Rodkina (Mona, Kingston) MSC: 91B30 PDFBibTeX XMLCite \textit{S. Cheng} et al., Insur. Math. Econ. 26, No. 2--3, 239--250 (2000; Zbl 1013.91063) Full Text: DOI
De Vylder, F.; Goovaerts, M. Homogeneous risk models with equalized claim amounts. (English) Zbl 1103.91361 Insur. Math. Econ. 26, No. 2-3, 223-238 (2000). MSC: 91B30 PDFBibTeX XMLCite \textit{F. De Vylder} and \textit{M. Goovaerts}, Insur. Math. Econ. 26, No. 2--3, 223--238 (2000; Zbl 1103.91361) Full Text: DOI
Young, Virginia R. Credibility using semiparametric models and a loss function with a constancy penalty. (English) Zbl 1103.91378 Insur. Math. Econ. 26, No. 2-3, 151-156 (2000). MSC: 91B30 62P05 62G07 PDFBibTeX XMLCite \textit{V. R. Young}, Insur. Math. Econ. 26, No. 2--3, 151--156 (2000; Zbl 1103.91378) Full Text: DOI
Cossette, Hélène; Marceau, Etienne The discrete-time risk model with correlated classes of business. (English) Zbl 1103.91358 Insur. Math. Econ. 26, No. 2-3, 133-149 (2000). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Cossette} and \textit{E. Marceau}, Insur. Math. Econ. 26, No. 2--3, 133--149 (2000; Zbl 1103.91358) Full Text: DOI
Gyllenberg, Mats; Silvestrov, Dmitrii S. Cramér-Lundberg approximation for nonlinearly perturbed risk processes. (English) Zbl 0956.91044 Insur. Math. Econ. 26, No. 1, 75-90 (2000). Reviewer: Josef Steinebach (Marburg) MSC: 91B30 60K05 60K30 60J70 PDFBibTeX XMLCite \textit{M. Gyllenberg} and \textit{D. S. Silvestrov}, Insur. Math. Econ. 26, No. 1, 75--90 (2000; Zbl 0956.91044) Full Text: DOI
Dickson, David C. M.; Waters, Howard R. Ruin probabilities with compounding assets. (English) Zbl 1028.91555 Insur. Math. Econ. 25, No. 1, 49-62 (1999). MSC: 91B30 PDFBibTeX XMLCite \textit{D. C. M. Dickson} and \textit{H. R. Waters}, Insur. Math. Econ. 25, No. 1, 49--62 (1999; Zbl 1028.91555) Full Text: DOI
De Vylder, F. E.; Goovaerts, M. J. Inequality extensions of Prabhu’s formula in ruin theory. (English) Zbl 0982.91032 Insur. Math. Econ. 24, No. 3, 249-271 (1999). MSC: 91B30 PDFBibTeX XMLCite \textit{F. E. De Vylder} and \textit{M. J. Goovaerts}, Insur. Math. Econ. 24, No. 3, 249--271 (1999; Zbl 0982.91032) Full Text: DOI
Denuit, Michel; De Vylder, Etienne; Lefèvre, Claude Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings. (English) Zbl 0942.60002 Insur. Math. Econ. 24, No. 3, 201-217 (1999). Reviewer: S.Ebralidze (Tbilisi) MSC: 60E15 62P05 PDFBibTeX XMLCite \textit{M. Denuit} et al., Insur. Math. Econ. 24, No. 3, 201--217 (1999; Zbl 0942.60002) Full Text: DOI