Wang, Wei; Xu, Huifu Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (English) Zbl 07760921 Comput. Manag. Sci. 20, Paper No. 45, 51 p. (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{W. Wang} and \textit{H. Xu}, Comput. Manag. Sci. 20, Paper No. 45, 51 p. (2023; Zbl 07760921) Full Text: DOI
Omar, Tami; Abdelaziz, Rassoul; Hamid, Ould Rouis A robust estimator of the proportional hazard transform for massive data. (English) Zbl 07740580 Stat. Risk. Model. 40, No. 3-4, 53-65 (2023). MSC: 62E20 62P05 PDFBibTeX XMLCite \textit{T. Omar} et al., Stat. Risk. Model. 40, No. 3--4, 53--65 (2023; Zbl 07740580) Full Text: DOI
Wu, Shujin Poisson-Gamma mixture processes and applications to premium calculation. (English) Zbl 07571105 Commun. Stat., Theory Methods 51, No. 17, 5913-5936 (2022). MSC: 60H10 37C75 PDFBibTeX XMLCite \textit{S. Wu}, Commun. Stat., Theory Methods 51, No. 17, 5913--5936 (2022; Zbl 07571105) 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
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
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
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
Naderi, Mehrdad; Jamalizadeh, Ahad; Wang, Wan-Lun; Lin, Tsung-I Evaluating risk measures using the normal mean-variance Birnbaum-Saunders distribution. (English) Zbl 07616803 Bekker, Andriëtte (ed.) et al., Computational and methodological statistics and biostatistics. Contemporary essays in advancement. Cham: Springer. Emerg. Top. Stat. Biostat., 187-209 (2020). MSC: 62P10 PDFBibTeX XMLCite \textit{M. Naderi} et al., in: Computational and methodological statistics and biostatistics. Contemporary essays in advancement. Cham: Springer. 187--209 (2020; Zbl 07616803) 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Constantinescu, Corina; Maume-Deschamps, Véronique; Norberg, Ragnar Risk processes with dependence and premium adjusted to solvency targets. (English) Zbl 1269.91042 Eur. Actuar. J. 2, No. 1, 1-20 (2012). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{C. Constantinescu} et al., Eur. Actuar. J. 2, No. 1, 1--20 (2012; Zbl 1269.91042) Full Text: DOI
Durbach, Ian N.; Stewart, Theodor J. Modeling uncertainty in multi-criteria decision analysis. (English) Zbl 1253.91047 Eur. J. Oper. Res. 223, No. 1, 1-14 (2012). MSC: 91B06 PDFBibTeX XMLCite \textit{I. N. Durbach} and \textit{T. J. Stewart}, Eur. J. Oper. Res. 223, No. 1, 1--14 (2012; Zbl 1253.91047) 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
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
Furman, Edward; Zitikis, Ričardas Weighted pricing functionals with applications to insurance. (English) Zbl 1483.91194 N. Am. Actuar. J. 13, No. 4, 483-496 (2009). MSC: 91G05 PDFBibTeX XMLCite \textit{E. Furman} and \textit{R. Zitikis}, N. Am. Actuar. J. 13, No. 4, 483--496 (2009; Zbl 1483.91194) Full Text: DOI
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi VaR and CTE criteria for optimal quota-share and stop-loss reinsurance. (English) Zbl 1483.91208 N. Am. Actuar. J. 13, No. 4, 459-482 (2009). MSC: 91G05 PDFBibTeX XMLCite \textit{K. S. Tan} et al., N. Am. Actuar. J. 13, No. 4, 459--482 (2009; Zbl 1483.91208) Full Text: DOI
Tsai, Cary Chi-Liang On the ordering of ruin probabilities for the surplus process perturbed by diffusion. (English) Zbl 1224.91088 Scand. Actuar. J. 2009, No. 3, 187-204 (2009). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{C. C. L. Tsai}, Scand. Actuar. J. 2009, No. 3, 187--204 (2009; Zbl 1224.91088) Full Text: DOI
Ramaekers, Katrien A simulation optimisation approach for inventory management decision support based on incomplete information. (English) Zbl 1162.90317 4OR 7, No. 1, 93-96 (2009). MSC: 90B05 68U20 PDFBibTeX XMLCite \textit{K. Ramaekers}, 4OR 7, No. 1, 93--96 (2009; Zbl 1162.90317) Full Text: DOI Link
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
Tsai, Cary Chi-Liang Ordering ruin probabilities resulting from layer-based claim amounts for surplus process perturbed by diffusion. (English) Zbl 1481.91188 N. Am. Actuar. J. 12, No. 3, 319-335 (2008). MSC: 91G05 PDFBibTeX XMLCite \textit{C. C. L. Tsai}, N. Am. Actuar. J. 12, No. 3, 319--335 (2008; Zbl 1481.91188) Full Text: DOI
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
Golubin, A. Y. Pareto optimality and equilibrium in an insurance market. (English) Zbl 1256.91029 Astin Bull. 38, No. 2, 441-459 (2008). MSC: 91B30 91B50 PDFBibTeX XMLCite \textit{A. Y. Golubin}, ASTIN Bull. 38, No. 2, 441--459 (2008; Zbl 1256.91029) 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
Janssens, Gerrit K.; Ramaekers, Katrien M. On the use of bounds on the stop-loss premium for an inventory management decision problem. (English) Zbl 1141.90004 J. Interdiscip. Math. 11, No. 1, 115-126 (2008). MSC: 90B05 90B50 91B30 PDFBibTeX XMLCite \textit{G. K. Janssens} and \textit{K. M. Ramaekers}, J. Interdiscip. Math. 11, No. 1, 115--126 (2008; Zbl 1141.90004) Full Text: DOI Link
Acciaio, Beatrice Optimal risk sharing with non-monotone monetary functionals. (English) Zbl 1143.91024 Finance Stoch. 11, No. 2, 267-289 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91B30 46N10 91B28 PDFBibTeX XMLCite \textit{B. Acciaio}, Finance Stoch. 11, No. 2, 267--289 (2007; Zbl 1143.91024) 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
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
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
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D. Risk measures and comonotonicity: a review. (English) Zbl 1159.91403 Stoch. Models 22, No. 4, 573-606 (2006). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Dhaene} et al., Stoch. Models 22, No. 4, 573--606 (2006; Zbl 1159.91403) Full Text: DOI
Kremer, Erhard Net premium of the drop down excess of loss cover. (English) Zbl 1153.91596 Nonlinear Anal., Real World Appl. 7, No. 3, 478-485 (2006). MSC: 91B30 PDFBibTeX XMLCite \textit{E. Kremer}, Nonlinear Anal., Real World Appl. 7, No. 3, 478--485 (2006; Zbl 1153.91596) Full Text: DOI
Ambrosino, Daniela; Fragnelli, Vito; Marina, Maria E. Resolving an insurance allocation problem: a procedural approach. (English) Zbl 1102.91063 Soc. Choice Welfare 26, No. 3, 625-643 (2006). MSC: 91B30 91B32 PDFBibTeX XMLCite \textit{D. Ambrosino} et al., Soc. Choice Welfare 26, No. 3, 625--643 (2006; Zbl 1102.91063) 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
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
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
Kremer, Erhard Estimating the loading of the largest claims covers. (English) Zbl 1074.62066 Nonlinear Anal., Real World Appl. 5, No. 4, 711-723 (2004). MSC: 62P05 91B30 65C05 PDFBibTeX XMLCite \textit{E. Kremer}, Nonlinear Anal., Real World Appl. 5, No. 4, 711--723 (2004; Zbl 1074.62066) 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
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
Kaluszka, Marek An extension of the Gerber-Bühlmann-Jewell conditions for optimal risk sharing. (English) Zbl 1098.91073 Astin Bull. 34, No. 1, 27-48 (2004). Reviewer: Bogdan A. Choczewski (Kraków) MSC: 91B30 PDFBibTeX XMLCite \textit{M. Kaluszka}, ASTIN Bull. 34, No. 1, 27--48 (2004; Zbl 1098.91073) 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
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob Economic capital allocation derived from risk measures. (English) Zbl 1084.91515 N. Am. Actuar. J. 7, No. 2, 44-59 (2003). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{J. Dhaene} et al., N. Am. Actuar. J. 7, No. 2, 44--59 (2003; Zbl 1084.91515) 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
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
Suijs, Jeroen Cost allocation in spanning network enterprises with stochastic connection costs. (English) Zbl 1045.91006 Games Econ. Behav. 42, No. 1, 156-171 (2003). Reviewer: Samir Kumar Neogy (New Delhi) MSC: 91A12 91A43 91A15 PDFBibTeX XMLCite \textit{J. Suijs}, Games Econ. Behav. 42, No. 1, 156--171 (2003; Zbl 1045.91006) Full Text: DOI
Kremer, Erhard Largest claims reinsurance premiums under discrete claims sizes. (English) Zbl 1354.91071 Bl., Dtsch. Ges. Versicherungsmath. 25, No. 3, 535-540 (2002). MSC: 91B30 PDFBibTeX XMLCite \textit{E. Kremer}, Bl., Dtsch. Ges. Versicherungsmath. 25, No. 3, 535--540 (2002; Zbl 1354.91071) 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
Luan, Cuncun Insurance premium calculations with anticipated utility theory. (English) Zbl 1060.91083 Astin Bull. 31, No. 1, 27-39 (2001). MSC: 91B30 91B16 62P05 60E15 62E10 PDFBibTeX XMLCite \textit{C. Luan}, ASTIN Bull. 31, No. 1, 27--39 (2001; Zbl 1060.91083) 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
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
Kremer, Erhard An upper bound on the premium of the stop-loss treaty. (English) Zbl 1354.91068 Bl., Dtsch. Ges. Versicherungsmath. 24, No. 4, 744-745 (2000). MSC: 91B30 PDFBibTeX XMLCite \textit{E. Kremer}, Bl., Dtsch. Ges. Versicherungsmath. 24, No. 4, 744--745 (2000; Zbl 1354.91068) Full Text: DOI
Kamps, Udo On a class of premium principle including the Esscher principle. (English) Zbl 1031.62505 Scand. Actuarial J. 1998, No. 1, 75-80 (1998). MSC: 62P05 PDFBibTeX XMLCite \textit{U. Kamps}, Scand. Actuarial J. 1998, No. 1, 75--80 (1998; Zbl 1031.62505) Full Text: DOI
Hürlimann, W. On distribution-free safe layer-additive pricing. (English) Zbl 0911.90026 Insur. Math. Econ. 22, No. 3, 277-285 (1998). MSC: 91B28 91B24 91B30 62P05 PDFBibTeX XMLCite \textit{W. Hürlimann}, Insur. Math. Econ. 22, No. 3, 277--285 (1998; Zbl 0911.90026) Full Text: DOI
Suijs, Jeroen; De Waegenaere, Anja; Borm, Peter Stochastic cooperative games in insurance. (English) Zbl 0922.62112 Insur. Math. Econ. 22, No. 3, 209-228 (1998). Reviewer: Giovanni Cesari (Zürich) MSC: 91B30 91A15 62P05 91A12 91B28 PDFBibTeX XMLCite \textit{J. Suijs} et al., Insur. Math. Econ. 22, No. 3, 209--228 (1998; Zbl 0922.62112) Full Text: DOI