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
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
Malinovskii, V. K. Approximations in the problem of level crossing by a compound renewal process. (English. Russian original) Zbl 1420.60114 Dokl. Math. 98, No. 3, 622-625 (2018); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 483, No. 5, 488-491 (2018). MSC: 60K15 PDFBibTeX XMLCite \textit{V. K. Malinovskii}, Dokl. Math. 98, No. 3, 622--625 (2018; Zbl 1420.60114); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 483, No. 5, 488--491 (2018) 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
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
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
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
Benouaret, Zina; Aïssani, Djamil Strong stability in a two-dimensional classical risk model with independent claims. (English) Zbl 1224.91044 Scand. Actuar. J. 2010, No. 2, 83-92 (2010). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{Z. Benouaret} and \textit{D. Aïssani}, Scand. Actuar. J. 2010, No. 2, 83--92 (2010; Zbl 1224.91044) Full Text: DOI
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
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
Grigelionis, B. Two-sided Lundberg inequalities in a Markovian environment. (English) Zbl 0806.60059 Lith. Math. J. 33, No. 1, 23-32 (1993) and Liet. Mat. Rink. 33, No. 1, 30-41 (1993). Reviewer: S.Asmussen (Aalborg) MSC: 60J25 60E15 60K20 60J55 60G44 PDFBibTeX XMLCite \textit{B. Grigelionis}, Lith. Math. J. 33, No. 1, 23--32 (1993; Zbl 0806.60059) Full Text: DOI
Teugels, J. L. The average virtual waiting time as a measure of performance. (English) Zbl 0707.60089 Queueing Syst. 6, No. 3, 327-334 (1990). Reviewer: S.Asmussen MSC: 60K25 90B22 PDFBibTeX XMLCite \textit{J. L. Teugels}, Queueing Syst. 6, No. 3, 327--334 (1990; Zbl 0707.60089) Full Text: DOI
Jansen, K.; Haezendonck, J.; Goovaerts, M. J. Upper bounds on stop-loss premiums in case of known moments up to the fourth order. (English) Zbl 0607.62129 Insur. Math. Econ. 5, 315-334 (1986). Reviewer: W.R.Heilmann MSC: 62P05 60E99 62E99 PDFBibTeX XMLCite \textit{K. Jansen} et al., Insur. Math. Econ. 5, 315--334 (1986; Zbl 0607.62129) Full Text: DOI
Kremer, Erhard Finite formulae for the premium of the general reinsurance treaty based on ordered claims. (English) Zbl 0593.62113 Insur. Math. Econ. 4, 233-238 (1985). MSC: 62P05 PDFBibTeX XMLCite \textit{E. Kremer}, Insur. Math. Econ. 4, 233--238 (1985; Zbl 0593.62113) Full Text: DOI
Asmussen, Søren Approximations for the probability of ruin within finite time. (English) Zbl 0568.62092 Scand. Actuarial J. 1984, 31-57 (1984). MSC: 62P05 62L10 60F05 PDFBibTeX XMLCite \textit{S. Asmussen}, Scand. Actuarial J. 1984, 31--57 (1984; Zbl 0568.62092) Full Text: DOI
Kremer, E. An asymptotic formula for the net premium of some reinsurance treaties. (English) Zbl 0543.62089 Scand. Actuarial J. 1984, 11-22 (1984). Reviewer: Ch.Netzel MSC: 62P05 PDFBibTeX XMLCite \textit{E. Kremer}, Scand. Actuarial J. 1984, 11--22 (1984; Zbl 0543.62089) Full Text: DOI
Goovaerts, M. J.; de Vylder, F. Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions. (English) Zbl 0527.62093 J. Econom. 23, 77-90 (1983). MSC: 62P05 PDFBibTeX XMLCite \textit{M. J. Goovaerts} and \textit{F. de Vylder}, J. Econom. 23, 77--90 (1983; Zbl 0527.62093) Full Text: DOI Link
de Vylder, F. Bound on integrals: Elimination of the dual and reduction of the number of equality constraints. (English) Zbl 0519.90066 Insur. Math. Econ. 2, 139-145 (1983). MSC: 90C25 65C99 PDFBibTeX XMLCite \textit{F. de Vylder}, Insur. Math. Econ. 2, 139--145 (1983; Zbl 0519.90066) Full Text: DOI
de Vylder, F.; Goovaerts, M. Maximization of the variance of a stop-loss reinsured risk. (English) Zbl 0513.62102 Insur. Math. Econ. 2, 75-80 (1983). MSC: 62P05 90C15 PDFBibTeX XMLCite \textit{F. de Vylder} and \textit{M. Goovaerts}, Insur. Math. Econ. 2, 75--80 (1983; Zbl 0513.62102) Full Text: DOI
de Pril, Nelson; Goovaerts, Marc Bounds for the optimal critical claim size of a bonus system. (English) Zbl 0504.62092 Insur. Math. Econ. 2, 27-32 (1983). MSC: 62P05 PDFBibTeX XMLCite \textit{N. de Pril} and \textit{M. Goovaerts}, Insur. Math. Econ. 2, 27--32 (1983; Zbl 0504.62092) Full Text: DOI Link
de Vylder, F. Maximization, under equality constraints, of a functional of a probability distribution. (English) Zbl 0501.90071 Insur. Math. Econ. 2, 1-16 (1983). MSC: 90C15 65C99 62P05 PDFBibTeX XMLCite \textit{F. de Vylder}, Insur. Math. Econ. 2, 1--16 (1983; Zbl 0501.90071) Full Text: DOI
Goovaerts, M. J.; Haezendonck, J.; de Vylder, F. Numerical best bounds on stop-loss premiums. (English) Zbl 0498.62089 Insur. Math. Econ. 1, 287-302 (1982). MSC: 62P05 90C05 90C90 PDFBibTeX XMLCite \textit{M. J. Goovaerts} et al., Insur. Math. Econ. 1, 287--302 (1982; Zbl 0498.62089) Full Text: DOI
de Vylder, F. Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints. (English) Zbl 0488.49030 Insur. Math. Econ. 1, 109-130 (1982). MSC: 49Q20 49J27 52A20 26B25 90C55 90C25 49J45 28B99 PDFBibTeX XMLCite \textit{F. de Vylder}, Insur. Math. Econ. 1, 109--130 (1982; Zbl 0488.49030) Full Text: DOI