Tomita, Masashi; Takaoka, Koichiro; Ishizaka, Motokazu On the ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes. (English) Zbl 1498.91369 J. Appl. Probab. 59, No. 3, 849-859 (2022). MSC: 91G05 60G55 62P05 PDFBibTeX XMLCite \textit{M. Tomita} et al., J. Appl. Probab. 59, No. 3, 849--859 (2022; Zbl 1498.91369) Full Text: DOI
Pycke, Jean-Renaud On a generalization of the Rényi-Srivastava characterization of the Poisson law. (English) Zbl 1457.60028 J. Appl. Probab. 58, No. 1, 68-82 (2021). MSC: 60E05 60E10 91G05 PDFBibTeX XMLCite \textit{J.-R. Pycke}, J. Appl. Probab. 58, No. 1, 68--82 (2021; Zbl 1457.60028) Full Text: DOI
Chen, Mi; Yuen, Kam Chuen Optimal dividend and reinsurance in the presence of two reinsurers. (English) Zbl 1344.49028 J. Appl. Probab. 53, No. 2, 554-571 (2016). MSC: 49J55 93E20 60H30 60H10 91B30 60J65 62P05 PDFBibTeX XMLCite \textit{M. Chen} and \textit{K. C. Yuen}, J. Appl. Probab. 53, No. 2, 554--571 (2016; Zbl 1344.49028) Full Text: DOI Euclid Link
Kolokoltsov, Vassili N. Stochastic monotonicity and duality of \(k\)th order with application to put-call symmetry of powered options. (English) Zbl 1344.60074 J. Appl. Probab. 52, No. 1, 82-101 (2015). MSC: 60J25 60J35 60J60 60J75 62P05 91B30 91G80 PDFBibTeX XMLCite \textit{V. N. Kolokoltsov}, J. Appl. Probab. 52, No. 1, 82--101 (2015; Zbl 1344.60074) Full Text: DOI arXiv Euclid
Lefèvre, Claude; Loisel, Stéphane On multiply monotone distributions, continuous or discrete, with applications. (English) Zbl 1293.62028 J. Appl. Probab. 50, No. 3, 827-847 (2013). MSC: 62E10 60E15 62P05 60E10 PDFBibTeX XMLCite \textit{C. Lefèvre} and \textit{S. Loisel}, J. Appl. Probab. 50, No. 3, 827--847 (2013; Zbl 1293.62028) Full Text: DOI Euclid
Li, Bin; Tang, Qihe; Zhou, Xiaowen A time-homogeneous diffusion model with tax. (English) Zbl 1271.62246 J. Appl. Probab. 50, No. 1, 195-207 (2013). MSC: 62P05 60J60 60G40 60K15 91B30 PDFBibTeX XMLCite \textit{B. Li} et al., J. Appl. Probab. 50, No. 1, 195--207 (2013; Zbl 1271.62246) Full Text: DOI Euclid
Fougeres, Anne-Laure; Mercadier, Cecile Risk measures and multivariate extensions of Breiman’s theorem. (English) Zbl 1246.91060 J. Appl. Probab. 49, No. 2, 364-384 (2012). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{A.-L. Fougeres} and \textit{C. Mercadier}, J. Appl. Probab. 49, No. 2, 364--384 (2012; Zbl 1246.91060) Full Text: DOI Euclid
Chen, Yiqing The finite-time ruin probability with dependent insurance and financial risks. (English) Zbl 1230.91069 J. Appl. Probab. 48, No. 4, 1035-1048 (2011). MSC: 91B30 62P05 62E10 PDFBibTeX XMLCite \textit{Y. Chen}, J. Appl. Probab. 48, No. 4, 1035--1048 (2011; Zbl 1230.91069) Full Text: DOI
Degen, Matthias; Embrechts, Paul Scaling of high-quantile estimators. (English) Zbl 1229.62139 J. Appl. Probab. 48, No. 4, 968-983 (2011). MSC: 62P05 62G32 91G70 62G20 91B30 PDFBibTeX XMLCite \textit{M. Degen} and \textit{P. Embrechts}, J. Appl. Probab. 48, No. 4, 968--983 (2011; Zbl 1229.62139) Full Text: DOI
Matsui, Muneya; Mikosch, Thomas Prediction in a Poisson cluster model. (English) Zbl 1200.60033 J. Appl. Probab. 47, No. 2, 350-366 (2010). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 60G25 62P05 60G55 60K30 91B30 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{T. Mikosch}, J. Appl. Probab. 47, No. 2, 350--366 (2010; Zbl 1200.60033) Full Text: DOI
Zhang, Yi; Lin, Zhengyan; Weng, Chengguo Some limiting properties of the bounds of the present value function of a life insurance portfolio. (English) Zbl 1130.62106 J. Appl. Probab. 43, No. 4, 1155-1164 (2006). MSC: 62P05 91B30 60F15 60E15 PDFBibTeX XMLCite \textit{Y. Zhang} et al., J. Appl. Probab. 43, No. 4, 1155--1164 (2006; Zbl 1130.62106) Full Text: DOI
Macci, Claudio; Stabile, Gabriele Large deviations for risk processes with reinsurance. (English) Zbl 1126.60024 J. Appl. Probab. 43, No. 3, 713-728 (2006). Reviewer: Bero Roos (Leicester) MSC: 60F10 91B30 62P05 PDFBibTeX XMLCite \textit{C. Macci} and \textit{G. Stabile}, J. Appl. Probab. 43, No. 3, 713--728 (2006; Zbl 1126.60024) Full Text: DOI
Albrecher, Hansjörg; Teugels, Jef L. Exponential behavior in the presence of dependence in risk theory. (English) Zbl 1097.62110 J. Appl. Probab. 43, No. 1, 257-273 (2006). MSC: 62P05 60G50 91B30 60K05 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. L. Teugels}, J. Appl. Probab. 43, No. 1, 257--273 (2006; Zbl 1097.62110) Full Text: DOI Euclid
Cai, Jun; Li, Haijun Conditional tail expectations for multivariate phase-type distributions. (English) Zbl 1079.62022 J. Appl. Probab. 42, No. 3, 810-825 (2005). MSC: 62E15 62P05 91B30 60J20 62N05 PDFBibTeX XMLCite \textit{J. Cai} and \textit{H. Li}, J. Appl. Probab. 42, No. 3, 810--825 (2005; Zbl 1079.62022) Full Text: DOI
Tang, Qihe The finite-time ruin probability of the compound Poisson model with constant interest force. (English) Zbl 1132.91500 J. Appl. Probab. 42, No. 3, 608-619 (2005). MSC: 91B30 60G70 62P05 PDFBibTeX XMLCite \textit{Q. Tang}, J. Appl. Probab. 42, No. 3, 608--619 (2005; Zbl 1132.91500) Full Text: DOI
Dassios, Angelos; Jang, Ji-Wook Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. (English) Zbl 1076.62093 J. Appl. Probab. 42, No. 1, 93-107 (2005). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 62M20 62P05 60G35 60F05 60G55 60J75 91B30 PDFBibTeX XMLCite \textit{A. Dassios} and \textit{J.-W. Jang}, J. Appl. Probab. 42, No. 1, 93--107 (2005; Zbl 1076.62093) Full Text: DOI
Picard, Philippe; Lefèvre, Claude; Coulibaly, Ibrahim Ruin problems in discrete time risk theory with finite horizon. (Problèmes de ruine en théorie du risque à temps discret avec horizon fini.) (French) Zbl 1049.62113 J. Appl. Probab. 40, No. 3, 527-542 (2003). MSC: 62P05 91B30 60G40 PDFBibTeX XMLCite \textit{P. Picard} et al., J. Appl. Probab. 40, No. 3, 527--542 (2003; Zbl 1049.62113) Full Text: DOI
Willmot, Gordon E. On higher-order properties of compound geometric distributions. (English) Zbl 1013.62008 J. Appl. Probab. 39, No. 2, 324-340 (2002). Reviewer: Helmut Wegmann (Darmstadt) MSC: 62E10 62N05 62P05 91B30 60K10 PDFBibTeX XMLCite \textit{G. E. Willmot}, J. Appl. Probab. 39, No. 2, 324--340 (2002; Zbl 1013.62008) Full Text: DOI
Cai, Jun Ruin probabilities with dependent rates of interest. (English) Zbl 1007.60096 J. Appl. Probab. 39, No. 2, 312-323 (2002). Reviewer: Wolf Rüdiger Heilmann (München) MSC: 60K10 91B30 62P05 PDFBibTeX XMLCite \textit{J. Cai}, J. Appl. Probab. 39, No. 2, 312--323 (2002; Zbl 1007.60096) Full Text: DOI
Muciek, Bogdan Krzysztof Optimal stopping of a risk process: Model with interest rates. (English) Zbl 1011.62111 J. Appl. Probab. 39, No. 2, 261-270 (2002). Reviewer: Peter Neumann (Dresden) MSC: 62P05 60G40 91B30 60K10 62L15 90C39 PDFBibTeX XMLCite \textit{B. K. Muciek}, J. Appl. Probab. 39, No. 2, 261--270 (2002; Zbl 1011.62111) Full Text: DOI
Embrechts, Paul; Walk, Harro Recursive estimation of distributional fix-points. (English) Zbl 0969.62055 J. Appl. Probab. 37, No. 1, 73-87 (2000). MSC: 62L20 60H25 62P05 60K25 46N30 PDFBibTeX XMLCite \textit{P. Embrechts} and \textit{H. Walk}, J. Appl. Probab. 37, No. 1, 73--87 (2000; Zbl 0969.62055) Full Text: DOI Link
Schöttl, A. Optimal stopping of a risk reserve process with interest and cost rates. (English) Zbl 0901.62129 J. Appl. Probab. 35, No. 1, 115-123 (1998). Reviewer: Z.Rychlik (Lublin) MSC: 62P05 91B30 62L15 60G40 PDFBibTeX XMLCite \textit{A. Schöttl}, J. Appl. Probab. 35, No. 1, 115--123 (1998; Zbl 0901.62129) Full Text: DOI
Nyrhinen, Harri Rough limit results for level-crossing probabilities. (English) Zbl 0808.60042 J. Appl. Probab. 31, No. 2, 373-382 (1994). Reviewer: A.K.Basu (Calcutta) MSC: 60G40 60F10 62P05 PDFBibTeX XMLCite \textit{H. Nyrhinen}, J. Appl. Probab. 31, No. 2, 373--382 (1994; Zbl 0808.60042) Full Text: DOI
Roberts, Leigh A. On ratios of random variables and generalized mortality rates. (English) Zbl 0769.62077 J. Appl. Probab. 29, No. 2, 268-279 (1992). Reviewer: J.Panaretos (Patras) MSC: 62P05 62E15 62E20 PDFBibTeX XMLCite \textit{L. A. Roberts}, J. Appl. Probab. 29, No. 2, 268--279 (1992; Zbl 0769.62077) Full Text: DOI
Venezia, Itzhak Optimal insurance premium rates when the distribution of claims is unknown. (English) Zbl 0427.62076 J. Appl. Probab. 16, 678-684 (1979). MSC: 62P05 90C39 62B15 90C47 PDFBibTeX XMLCite \textit{I. Venezia}, J. Appl. Probab. 16, 678--684 (1979; Zbl 0427.62076) Full Text: DOI