Peng, Xingchun; Zhou, Hao; Luo, Liuling Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching. (English) Zbl 1519.91220 J. Comput. Appl. Math. 425, Article ID 115058, 23 p. (2023). MSC: 91G05 62P05 62M05 PDFBibTeX XMLCite \textit{X. Peng} et al., J. Comput. Appl. Math. 425, Article ID 115058, 23 p. (2023; Zbl 1519.91220) Full Text: DOI
Hironaka, Tomohiko; Goda, Takashi An efficient estimation of nested expectations without conditional sampling. (English) Zbl 1524.65014 J. Comput. Appl. Math. 421, Article ID 114811, 12 p. (2023). MSC: 65C05 91G10 91G70 62P05 91G60 PDFBibTeX XMLCite \textit{T. Hironaka} and \textit{T. Goda}, J. Comput. Appl. Math. 421, Article ID 114811, 12 p. (2023; Zbl 1524.65014) Full Text: DOI arXiv
Xin, Yue; Gao, Jinwu; Yang, Xiangfeng; Yang, Jing Maximum likelihood estimation for uncertain autoregressive moving average model with application in financial market. (English) Zbl 1524.62459 J. Comput. Appl. Math. 417, Article ID 114604, 15 p. (2023). MSC: 62M10 62M20 62F10 62M86 62P05 PDFBibTeX XMLCite \textit{Y. Xin} et al., J. Comput. Appl. Math. 417, Article ID 114604, 15 p. (2023; Zbl 1524.62459) Full Text: DOI
Hanbali, Hamza; Linders, Daniël Monotone tail functions: definitions, properties, and application to risk-reducing strategies. (English) Zbl 1495.91025 J. Comput. Appl. Math. 416, Article ID 114484, 20 p. (2022). MSC: 91B05 91G05 62P05 PDFBibTeX XMLCite \textit{H. Hanbali} and \textit{D. Linders}, J. Comput. Appl. Math. 416, Article ID 114484, 20 p. (2022; Zbl 1495.91025) Full Text: DOI
Yazdani, S.; Hadizadeh, M.; Fakoor, V. Computational analysis of the behavior of stochastic volatility models with financial applications. (English) Zbl 1524.62155 J. Comput. Appl. Math. 411, Article ID 114258, 12 p. (2022). MSC: 62G05 62P05 91G20 62M10 62G07 PDFBibTeX XMLCite \textit{S. Yazdani} et al., J. Comput. Appl. Math. 411, Article ID 114258, 12 p. (2022; Zbl 1524.62155) Full Text: DOI
Nadarajah, Saralees; Kwofie, Charles Heavy tailed modeling of automobile claim data from Ghana. (English) Zbl 1478.62313 J. Comput. Appl. Math. 405, Article ID 113947, 13 p. (2022). MSC: 62P05 PDFBibTeX XMLCite \textit{S. Nadarajah} and \textit{C. Kwofie}, J. Comput. Appl. Math. 405, Article ID 113947, 13 p. (2022; Zbl 1478.62313) Full Text: DOI
Barigou, Karim; Delong, Łukasz Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (English) Zbl 1479.91304 J. Comput. Appl. Math. 404, Article ID 113922, 18 p. (2022). MSC: 91G05 91G10 60H30 35Q91 PDFBibTeX XMLCite \textit{K. Barigou} and \textit{Ł. Delong}, J. Comput. Appl. Math. 404, Article ID 113922, 18 p. (2022; Zbl 1479.91304) Full Text: DOI arXiv
Amiri, Mehdi; Balakrishnan, Narayanaswamy Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications. (English) Zbl 1475.60041 J. Comput. Appl. Math. 402, Article ID 113801, 25 p. (2022). MSC: 60E15 62P05 62N05 PDFBibTeX XMLCite \textit{M. Amiri} and \textit{N. Balakrishnan}, J. Comput. Appl. Math. 402, Article ID 113801, 25 p. (2022; Zbl 1475.60041) Full Text: DOI
Zuniga, Francesco; Kozubowski, Tomasz J.; Panorska, Anna K. A generalized linear model for multivariate events. (English) Zbl 1472.60028 J. Comput. Appl. Math. 398, Article ID 113655, 14 p. (2021). MSC: 60E05 60G50 60G70 62E15 62H05 62H12 62H15 62P05 62P15 PDFBibTeX XMLCite \textit{F. Zuniga} et al., J. Comput. Appl. Math. 398, Article ID 113655, 14 p. (2021; Zbl 1472.60028) Full Text: DOI
Li, Zihao; Luo, Ji; Yao, Jing Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences. (English) Zbl 1456.60057 J. Comput. Appl. Math. 391, Article ID 113459, 18 p. (2021). MSC: 60E15 60E05 62E15 62P05 91G40 PDFBibTeX XMLCite \textit{Z. Li} et al., J. Comput. Appl. Math. 391, Article ID 113459, 18 p. (2021; Zbl 1456.60057) Full Text: DOI
Bakar, S. A. Abu; Nadarajah, S. Composite models with underlying folded distributions. (English) Zbl 1457.91325 J. Comput. Appl. Math. 390, Article ID 113351, 8 p. (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{S. A. A. Bakar} and \textit{S. Nadarajah}, J. Comput. Appl. Math. 390, Article ID 113351, 8 p. (2021; Zbl 1457.91325) Full Text: DOI
Li, Danping; Li, Bin; Shen, Yang A dynamic pricing game for general insurance market. (English) Zbl 1457.91332 J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021). MSC: 91G05 91A25 91A80 PDFBibTeX XMLCite \textit{D. Li} et al., J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021; Zbl 1457.91332) Full Text: DOI
Mert, Ozenc Murat; Selcuk-Kestel, A. Sevtap Time dependent stop-loss reinsurance and exposure curves. (English) Zbl 1460.62167 J. Comput. Appl. Math. 389, Article ID 113348, 16 p. (2021). MSC: 62P05 62G10 60J65 91B05 PDFBibTeX XMLCite \textit{O. M. Mert} and \textit{A. S. Selcuk-Kestel}, J. Comput. Appl. Math. 389, Article ID 113348, 16 p. (2021; Zbl 1460.62167) Full Text: DOI
Poudyal, Chudamani Truncated, censored, and actuarial payment-type moments for robust fitting of a single-parameter Pareto distribution. (English) Zbl 1459.62201 J. Comput. Appl. Math. 388, Article ID 113310, 19 p. (2021). MSC: 62P05 62F35 62N01 91G05 PDFBibTeX XMLCite \textit{C. Poudyal}, J. Comput. Appl. Math. 388, Article ID 113310, 19 p. (2021; Zbl 1459.62201) Full Text: DOI arXiv
Du, Guansan; Liu, Zixian; Lu, Haifeng Application of innovative risk early warning mode under big data technology in Internet credit financial risk assessment. (English) Zbl 1457.91400 J. Comput. Appl. Math. 386, Article ID 113260, 12 p. (2021). MSC: 91G40 62P05 62R07 PDFBibTeX XMLCite \textit{G. Du} et al., J. Comput. Appl. Math. 386, Article ID 113260, 12 p. (2021; Zbl 1457.91400) Full Text: DOI
Luo, Shangzhen; Wang, Mingming; Zhu, Wei Stochastic differential reinsurance games in diffusion approximation models. (English) Zbl 1457.91333 J. Comput. Appl. Math. 386, Article ID 113252, 36 p. (2021). MSC: 91G05 91G80 91A15 91A80 91A10 91A12 PDFBibTeX XMLCite \textit{S. Luo} et al., J. Comput. Appl. Math. 386, Article ID 113252, 36 p. (2021; Zbl 1457.91333) Full Text: DOI
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon Fitting multivariate Erlang mixtures to data: a roughness penalty approach. (English) Zbl 1459.62199 J. Comput. Appl. Math. 386, Article ID 113216, 18 p. (2021). MSC: 62P05 62H30 62H12 62N01 60L90 PDFBibTeX XMLCite \textit{W. Gui} et al., J. Comput. Appl. Math. 386, Article ID 113216, 18 p. (2021; Zbl 1459.62199) Full Text: DOI
Emmanuel, Coffie; Mao, Xuerong Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay. (English) Zbl 1448.62146 J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021). MSC: 62P05 62M10 91G30 62-08 PDFBibTeX XMLCite \textit{C. Emmanuel} and \textit{X. Mao}, J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021; Zbl 1448.62146) Full Text: DOI Link
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi Reinsurance-investment game between two mean-variance insurers under model uncertainty. (English) Zbl 1447.91152 J. Comput. Appl. Math. 382, Article ID 113095, 26 p. (2021). MSC: 91G05 91A15 91A80 PDFBibTeX XMLCite \textit{N. Wang} et al., J. Comput. Appl. Math. 382, Article ID 113095, 26 p. (2021; Zbl 1447.91152) Full Text: DOI
Huang, Anzhong; Qiu, Lening; Li, Zheng Applying deep learning method in TVP-VAR model under systematic financial risk monitoring and early warning. (English) Zbl 1447.91188 J. Comput. Appl. Math. 382, Article ID 113065, 15 p. (2021). MSC: 91G45 62P05 PDFBibTeX XMLCite \textit{A. Huang} et al., J. Comput. Appl. Math. 382, Article ID 113065, 15 p. (2021; Zbl 1447.91188) Full Text: DOI
Sheng, Chunguang; Zhang, Degang; Wang, Guangyu; Huang, Yingli Research on risk mechanism of China’s carbon financial market development from the perspective of ecological civilization. (English) Zbl 1447.91171 J. Comput. Appl. Math. 381, Article ID 112990, 10 p. (2021). MSC: 91G15 91B76 62P05 PDFBibTeX XMLCite \textit{C. Sheng} et al., J. Comput. Appl. Math. 381, Article ID 112990, 10 p. (2021; Zbl 1447.91171) Full Text: DOI
Mitra, Sovan Downside risk measurement in regime switching stochastic volatility. (English) Zbl 1437.91461 J. Comput. Appl. Math. 378, Article ID 112845, 17 p. (2020). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{S. Mitra}, J. Comput. Appl. Math. 378, Article ID 112845, 17 p. (2020; Zbl 1437.91461) Full Text: DOI
Sun, Weiwei; Hu, Xiang; Zhang, Lianzeng Moments of discounted aggregate claims with dependence based on Spearman copula. (English) Zbl 1437.91400 J. Comput. Appl. Math. 377, Article ID 112889, 16 p. (2020). MSC: 91G05 62P05 62H05 PDFBibTeX XMLCite \textit{W. Sun} et al., J. Comput. Appl. Math. 377, Article ID 112889, 16 p. (2020; Zbl 1437.91400) Full Text: DOI
Özen, Selin; Şahin, Şule Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds. (English) Zbl 1437.91398 J. Comput. Appl. Math. 376, Article ID 112829, 15 p. (2020). MSC: 91G05 60K10 60J76 PDFBibTeX XMLCite \textit{S. Özen} and \textit{Ş. Şahin}, J. Comput. Appl. Math. 376, Article ID 112829, 15 p. (2020; Zbl 1437.91398) Full Text: DOI
Yang, Peng; Chen, Zhiping; Xu, Ying Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework. (English) Zbl 1435.62375 J. Comput. Appl. Math. 374, Article ID 112769, 27 p. (2020). MSC: 62P05 62M10 91G05 93E20 PDFBibTeX XMLCite \textit{P. Yang} et al., J. Comput. Appl. Math. 374, Article ID 112769, 27 p. (2020; Zbl 1435.62375) Full Text: DOI
Zhu, Jiaqi; Guan, Guohui; Li, Shenghong Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. (English) Zbl 1435.91168 J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020). MSC: 91G05 91A15 91A80 PDFBibTeX XMLCite \textit{J. Zhu} et al., J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020; Zbl 1435.91168) Full Text: DOI
Bas, Eren; Yolcu, Ufuk; Egrioglu, Erol Picture fuzzy regression functions approach for financial time series based on ridge regression and genetic algorithm. (English) Zbl 1436.62455 J. Comput. Appl. Math. 370, Article ID 112656, 10 p. (2020). MSC: 62M86 62M10 91B84 62P05 62J07 PDFBibTeX XMLCite \textit{E. Bas} et al., J. Comput. Appl. Math. 370, Article ID 112656, 10 p. (2020; Zbl 1436.62455) Full Text: DOI
Tak, Nihat Type-1 possibilistic fuzzy forecasting functions. (English) Zbl 1436.62456 J. Comput. Appl. Math. 370, Article ID 112653, 9 p. (2020). MSC: 62M86 62M10 62P05 62H30 91B84 PDFBibTeX XMLCite \textit{N. Tak}, J. Comput. Appl. Math. 370, Article ID 112653, 9 p. (2020; Zbl 1436.62456) Full Text: DOI
Sendova, Kristina P.; Zhang, Ruixi Maximum surplus and \(R_n\) class of distributions with an application to dividends. (English) Zbl 1433.91145 J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60K10 45K05 PDFBibTeX XMLCite \textit{K. P. Sendova} and \textit{R. Zhang}, J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020; Zbl 1433.91145) Full Text: DOI
Huang, Shian-Chang; Chiou, Chei-Chang; Chiang, Jui-Te; Wu, Cheng-Feng A novel intelligent option price forecasting and trading system by multiple kernel adaptive filters. (English) Zbl 1431.91396 J. Comput. Appl. Math. 369, Article ID 112560, 10 p. (2020). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{S.-C. Huang} et al., J. Comput. Appl. Math. 369, Article ID 112560, 10 p. (2020; Zbl 1431.91396) Full Text: DOI
Peng, Yufang; Chen, Weidong; Wei, Pengbang; Yu, Guanyi Spillover effect and Granger causality investigation between China’s stock market and international oil market: a dynamic multiscale approach. (English) Zbl 1426.91318 J. Comput. Appl. Math. 367, Article ID 112460, 13 p. (2020). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{Y. Peng} et al., J. Comput. Appl. Math. 367, Article ID 112460, 13 p. (2020; Zbl 1426.91318) Full Text: DOI
Yu, Xing; Wan, Zhongkai; Tu, Xiaowen; Li, Yanyin The optimal multi-period hedging model of currency futures and options with exponential utility. (English) Zbl 1430.91117 J. Comput. Appl. Math. 366, Article ID 112412, 14 p. (2020). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G20 62P05 62M10 90C39 PDFBibTeX XMLCite \textit{X. Yu} et al., J. Comput. Appl. Math. 366, Article ID 112412, 14 p. (2020; Zbl 1430.91117) Full Text: DOI
Chu, J.; Dickin, O.; Nadarajah, S. A review of goodness of fit tests for Pareto distributions. (English) Zbl 1425.62028 J. Comput. Appl. Math. 361, 13-41 (2019). Reviewer: Johannes W. R. Martini (Texcoco) MSC: 62E15 62P20 91B02 PDFBibTeX XMLCite \textit{J. Chu} et al., J. Comput. Appl. Math. 361, 13--41 (2019; Zbl 1425.62028) Full Text: DOI Link
Zhang, Zhimin; Yong, Yaodi Valuing guaranteed equity-linked contracts by Laguerre series expansion. (English) Zbl 1417.91289 J. Comput. Appl. Math. 357, 329-348 (2019). MSC: 91B30 91G20 62P05 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{Y. Yong}, J. Comput. Appl. Math. 357, 329--348 (2019; Zbl 1417.91289) Full Text: DOI
Gao, Qingwu; Zhuang, Jun; Huang, Zhongquan Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest. (English) Zbl 1419.91363 J. Comput. Appl. Math. 353, 219-231 (2019). MSC: 91B30 62P05 62E20 60J60 PDFBibTeX XMLCite \textit{Q. Gao} et al., J. Comput. Appl. Math. 353, 219--231 (2019; Zbl 1419.91363) Full Text: DOI
Jiang, Xiao; Nadarajah, Saralees Efficient expressions for moments of dependent random sums using copulas. (English) Zbl 1433.60022 J. Comput. Appl. Math. 353, 130-139 (2019). MSC: 60G50 60E05 62H05 62P05 91G05 PDFBibTeX XMLCite \textit{X. Jiang} and \textit{S. Nadarajah}, J. Comput. Appl. Math. 353, 130--139 (2019; Zbl 1433.60022) Full Text: DOI Link
Nevruz, Ezgi; Yıldırak, Ş. Kasırga Spatiotemporal interpolation through an extension of differential evolution algorithm for agricultural insurance claims. (English) Zbl 1416.62588 J. Comput. Appl. Math. 352, 278-292 (2019). MSC: 62P05 91B30 62H11 PDFBibTeX XMLCite \textit{E. Nevruz} and \textit{Ş. K. Yıldırak}, J. Comput. Appl. Math. 352, 278--292 (2019; Zbl 1416.62588) Full Text: DOI
Goel, Anubha; Sharma, Amita; Mehra, Aparna Robust optimization of mixed CVaR STARR ratio using copulas. (English) Zbl 1407.62384 J. Comput. Appl. Math. 347, 62-83 (2019). MSC: 62P05 62M10 91G10 91G70 62H05 PDFBibTeX XMLCite \textit{A. Goel} et al., J. Comput. Appl. Math. 347, 62--83 (2019; Zbl 1407.62384) Full Text: DOI
Zhang, Zhimin; Su, Wen Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion. (English) Zbl 1405.62149 J. Comput. Appl. Math. 346, 133-149 (2019). MSC: 62P05 60G51 91B30 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{W. Su}, J. Comput. Appl. Math. 346, 133--149 (2019; Zbl 1405.62149) Full Text: DOI
You, Honglong; Cai, Chunhao Nonparametric estimation for a spectrally negative Lévy process based on high frequency data. (English) Zbl 1402.62262 J. Comput. Appl. Math. 345, 196-205 (2019). MSC: 62P05 62G05 60G51 91B30 PDFBibTeX XMLCite \textit{H. You} and \textit{C. Cai}, J. Comput. Appl. Math. 345, 196--205 (2019; Zbl 1402.62262) Full Text: DOI
Fu, Ke-Ang; Yu, Chenglong On a two-dimensional risk model with time-dependent claim sizes and risky investments. (English) Zbl 1458.62242 J. Comput. Appl. Math. 344, 367-380 (2018). MSC: 62P05 60F99 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{C. Yu}, J. Comput. Appl. Math. 344, 367--380 (2018; Zbl 1458.62242) Full Text: DOI Link
Hajrajabi, A.; Yazdanian, A. R.; Farnoosh, R. Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach. (English) Zbl 1460.62166 J. Comput. Appl. Math. 344, 37-46 (2018). MSC: 62P05 62M10 62G05 62F15 65C05 91G60 PDFBibTeX XMLCite \textit{A. Hajrajabi} et al., J. Comput. Appl. Math. 344, 37--46 (2018; Zbl 1460.62166) Full Text: DOI
Zhang, Wei Guo; Yu, Xing; Liu, Yong Jun Trade and currency options hedging model. (English) Zbl 1422.91733 J. Comput. Appl. Math. 343, 328-340 (2018). MSC: 91G20 62P05 62H05 91G70 PDFBibTeX XMLCite \textit{W. G. Zhang} et al., J. Comput. Appl. Math. 343, 328--340 (2018; Zbl 1422.91733) Full Text: DOI
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon Fitting the Erlang mixture model to data via a GEM-CMM algorithm. (English) Zbl 1503.62097 J. Comput. Appl. Math. 343, 189-205 (2018). MSC: 62P05 62F10 62N01 91G05 PDFBibTeX XMLCite \textit{W. Gui} et al., J. Comput. Appl. Math. 343, 189--205 (2018; Zbl 1503.62097) Full Text: DOI
Colldeforns-Papiol, Gemma; Ortiz-Gracia, Luis Computation of market risk measures with stochastic liquidity horizon. (English) Zbl 1395.91494 J. Comput. Appl. Math. 342, 431-450 (2018). MSC: 91G60 62P05 60E10 65T60 PDFBibTeX XMLCite \textit{G. Colldeforns-Papiol} and \textit{L. Ortiz-Gracia}, J. Comput. Appl. Math. 342, 431--450 (2018; Zbl 1395.91494) Full Text: DOI Link
Romagnoli, Silvia Measure-invariance of copula functions as tool for testing no-arbitrage assumption. (English) Zbl 1384.62302 J. Comput. Appl. Math. 338, 80-90 (2018). MSC: 62P05 62M10 62H05 62G10 91G20 PDFBibTeX XMLCite \textit{S. Romagnoli}, J. Comput. Appl. Math. 338, 80--90 (2018; Zbl 1384.62302) Full Text: DOI
Goel, Anubha; Sharma, Amita; Mehra, Aparna Index tracking and enhanced indexing using mixed conditional value-at-risk. (English) Zbl 1408.91238 J. Comput. Appl. Math. 335, 361-380 (2018). MSC: 91G70 91G10 62P05 60J10 PDFBibTeX XMLCite \textit{A. Goel} et al., J. Comput. Appl. Math. 335, 361--380 (2018; Zbl 1408.91238) Full Text: DOI
Denuit, Michel; Trufin, Julien Collective loss reserving with two types of claims in motor third party liability insurance. (English) Zbl 1408.91099 J. Comput. Appl. Math. 335, 168-184 (2018). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{M. Denuit} and \textit{J. Trufin}, J. Comput. Appl. Math. 335, 168--184 (2018; Zbl 1408.91099) Full Text: DOI Link
Wang, Di; Zhang, Zuoquan; Bai, Rongquan; Mao, Yanan A hybrid system with filter approach and multiple population genetic algorithm for feature selection in credit scoring. (English) Zbl 1377.62201 J. Comput. Appl. Math. 329, 307-321 (2018). MSC: 62P05 62G10 91G40 PDFBibTeX XMLCite \textit{D. Wang} et al., J. Comput. Appl. Math. 329, 307--321 (2018; Zbl 1377.62201) Full Text: DOI
Cai, Chunhao; Chen, Nan; You, Honglong Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation. (English) Zbl 1391.62193 J. Comput. Appl. Math. 328, 432-442 (2018). MSC: 62P05 60G51 62G05 62N05 91B30 PDFBibTeX XMLCite \textit{C. Cai} et al., J. Comput. Appl. Math. 328, 432--442 (2018; Zbl 1391.62193) Full Text: DOI
Guo, Fenglong; Wang, Dingcheng; Yang, Hailiang Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns. (English) Zbl 1366.91097 J. Comput. Appl. Math. 325, 198-221 (2017). MSC: 91B30 60K20 62E20 62P05 PDFBibTeX XMLCite \textit{F. Guo} et al., J. Comput. Appl. Math. 325, 198--221 (2017; Zbl 1366.91097) Full Text: DOI Link
Yang, Yang; Zhang, Ting; Yuen, Kam C. Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations. (English) Zbl 1364.91072 J. Comput. Appl. Math. 321, 143-159 (2017). MSC: 91B30 62E10 62P05 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Comput. Appl. Math. 321, 143--159 (2017; Zbl 1364.91072) Full Text: DOI
Hainaut, Donatien Clustered Lévy processes and their financial applications. (English) Zbl 1358.60062 J. Comput. Appl. Math. 319, 117-140 (2017). MSC: 60G51 62P05 91G20 PDFBibTeX XMLCite \textit{D. Hainaut}, J. Comput. Appl. Math. 319, 117--140 (2017; Zbl 1358.60062) Full Text: DOI
Lee, Woojoo; Cheung, Ka Chun; Ahn, Jae Youn Multivariate countermonotonicity and the minimal copulas. (English) Zbl 1359.62168 J. Comput. Appl. Math. 317, 589-602 (2017). MSC: 62H05 62H20 60E15 62P05 91B30 PDFBibTeX XMLCite \textit{W. Lee} et al., J. Comput. Appl. Math. 317, 589--602 (2017; Zbl 1359.62168) Full Text: DOI
Alfonso, G.; Roldán López de Hierro, A. F.; Roldán, C. A fuzzy regression model based on finite fuzzy numbers and its application to real-world financial data. (English) Zbl 1359.62312 J. Comput. Appl. Math. 318, 47-58 (2017). MSC: 62J86 62P05 PDFBibTeX XMLCite \textit{G. Alfonso} et al., J. Comput. Appl. Math. 318, 47--58 (2017; Zbl 1359.62312) Full Text: DOI
Jovan, Matej; Ahčan, Aleš Default prediction with the Merton-type structural model based on the NIG Lévy process. (English) Zbl 1354.91159 J. Comput. Appl. Math. 311, 414-422 (2017). MSC: 91G40 60G51 60H30 62P05 PDFBibTeX XMLCite \textit{M. Jovan} and \textit{A. Ahčan}, J. Comput. Appl. Math. 311, 414--422 (2017; Zbl 1354.91159) Full Text: DOI
Wang, Wenyuan; Peng, Xingchun Reinsurer’s optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures. (English) Zbl 1414.91241 J. Comput. Appl. Math. 315, 142-160 (2017). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Peng}, J. Comput. Appl. Math. 315, 142--160 (2017; Zbl 1414.91241) Full Text: DOI
Czarna, Irmina; Li, Yanhong; Palmowski, Zbigniew; Zhao, Chunming The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model. (English) Zbl 1353.91022 J. Comput. Appl. Math. 313, 499-514 (2017). MSC: 91B30 62P05 60K10 60G51 PDFBibTeX XMLCite \textit{I. Czarna} et al., J. Comput. Appl. Math. 313, 499--514 (2017; Zbl 1353.91022) Full Text: DOI arXiv
Eryilmaz, Serkan; Gebizlioglu, Omer L. Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences. (English) Zbl 1353.62113 J. Comput. Appl. Math. 313, 235-242 (2017). MSC: 62P05 91B30 60J20 PDFBibTeX XMLCite \textit{S. Eryilmaz} and \textit{O. L. Gebizlioglu}, J. Comput. Appl. Math. 313, 235--242 (2017; Zbl 1353.62113) Full Text: DOI
Psarrakos, Georgios; Toomaj, Abdolsaeed On the generalized cumulative residual entropy with applications in actuarial science. (English) Zbl 1469.62210 J. Comput. Appl. Math. 309, 186-199 (2017). MSC: 62E10 60E15 62B10 62P05 PDFBibTeX XMLCite \textit{G. Psarrakos} and \textit{A. Toomaj}, J. Comput. Appl. Math. 309, 186--199 (2017; Zbl 1469.62210) Full Text: DOI
Fu, Ke-Ang; Li, Huijie Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns. (English) Zbl 1337.62327 J. Comput. Appl. Math. 306, 154-165 (2016). MSC: 62P05 60K10 62E20 60F10 91B30 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{H. Li}, J. Comput. Appl. Math. 306, 154--165 (2016; Zbl 1337.62327) Full Text: DOI
Ma, Yong; Xu, Weidong Structural credit risk modelling with Hawkes jump diffusion processes. (English) Zbl 1335.91097 J. Comput. Appl. Math. 303, 69-80 (2016). MSC: 91G40 62P05 60J75 PDFBibTeX XMLCite \textit{Y. Ma} and \textit{W. Xu}, J. Comput. Appl. Math. 303, 69--80 (2016; Zbl 1335.91097) Full Text: DOI
Di Persio, Luca; Frigo, Matteo Gibbs sampling approach to regime switching analysis of financial time series. (English) Zbl 1333.91058 J. Comput. Appl. Math. 300, 43-55 (2016). MSC: 91G60 91G70 91B84 62M02 62M10 62P05 PDFBibTeX XMLCite \textit{L. Di Persio} and \textit{M. Frigo}, J. Comput. Appl. Math. 300, 43--55 (2016; Zbl 1333.91058) Full Text: DOI
Huang, Ya; Yang, Xiangqun; Zhou, Jieming Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables. (English) Zbl 1331.91097 J. Comput. Appl. Math. 296, 443-461 (2016). MSC: 91B30 93E20 60J70 62P05 91G10 PDFBibTeX XMLCite \textit{Y. Huang} et al., J. Comput. Appl. Math. 296, 443--461 (2016; Zbl 1331.91097) Full Text: DOI
Gbari, Samuel; Denuit, Michel Stochastic approximations in CBD mortality projection models. (English) Zbl 1331.91096 J. Comput. Appl. Math. 296, 102-115 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{S. Gbari} and \textit{M. Denuit}, J. Comput. Appl. Math. 296, 102--115 (2016; Zbl 1331.91096) Full Text: DOI
Boutsikas, M. V.; Rakitzis, A. C.; Antzoulakos, D. L. On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures. (English) Zbl 1339.60127 J. Comput. Appl. Math. 294, 124-137 (2016). MSC: 60K05 60G40 91B30 62P05 65C50 PDFBibTeX XMLCite \textit{M. V. Boutsikas} et al., J. Comput. Appl. Math. 294, 124--137 (2016; Zbl 1339.60127) Full Text: DOI
Ortiz-Gracia, Luis Efficient wavelets-based valuation of synthetic CDO tranches. (English) Zbl 1320.91159 J. Comput. Appl. Math. 292, 562-575 (2016). MSC: 91G60 91G40 65T60 62P05 60E10 PDFBibTeX XMLCite \textit{L. Ortiz-Gracia}, J. Comput. Appl. Math. 292, 562--575 (2016; Zbl 1320.91159) Full Text: DOI
Gómez-Valle, L.; Martínez-Rodríguez, J. Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models. (English) Zbl 1320.91149 J. Comput. Appl. Math. 291, 48-57 (2016). MSC: 91G30 62P05 62G05 60J75 91G20 PDFBibTeX XMLCite \textit{L. Gómez-Valle} and \textit{J. Martínez-Rodríguez}, J. Comput. Appl. Math. 291, 48--57 (2016; Zbl 1320.91149) 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
Xie, Qichang Computation and application of copula-based weighted average quantile regression. (English) Zbl 1309.91148 J. Comput. Appl. Math. 281, 182-195 (2015). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{Q. Xie}, J. Comput. Appl. Math. 281, 182--195 (2015; Zbl 1309.91148) Full Text: DOI
Chau, K. W.; Yam, S. C. P.; Yang, H. Fourier-cosine method for ruin probabilities. (English) Zbl 1305.91163 J. Comput. Appl. Math. 281, 94-106 (2015). MSC: 91B30 42A10 60E10 62P05 91G20 PDFBibTeX XMLCite \textit{K. W. Chau} et al., J. Comput. Appl. Math. 281, 94--106 (2015; Zbl 1305.91163) Full Text: DOI
Chan, Leunglung; Platen, Eckhard Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model. (English) Zbl 1303.91153 J. Comput. Appl. Math. 278, 181-196 (2015). MSC: 91G10 91G20 91G70 62P05 62P20 60G35 PDFBibTeX XMLCite \textit{L. Chan} and \textit{E. Platen}, J. Comput. Appl. Math. 278, 181--196 (2015; Zbl 1303.91153) Full Text: DOI arXiv
Guillaume, Florence; Schoutens, Wim A bootstrapping market implied moment matching calibration for models with time-dependent parameters. (English) Zbl 1319.91157 J. Comput. Appl. Math. 271, 100-116 (2014). MSC: 91G60 91G20 60G51 60J10 62P05 PDFBibTeX XMLCite \textit{F. Guillaume} and \textit{W. Schoutens}, J. Comput. Appl. Math. 271, 100--116 (2014; Zbl 1319.91157) Full Text: DOI
Linders, Daniël; Schoutens, Wim A framework for robust measurement of implied correlation. (English) Zbl 1319.91159 J. Comput. Appl. Math. 271, 39-52 (2014). MSC: 91G70 62P05 62H20 91G20 PDFBibTeX XMLCite \textit{D. Linders} and \textit{W. Schoutens}, J. Comput. Appl. Math. 271, 39--52 (2014; Zbl 1319.91159) Full Text: DOI Link
Bayracı, Selçuk; Ünal, Gazanfer Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model. (English) Zbl 1314.91221 J. Comput. Appl. Math. 259 B, 464-473 (2014). MSC: 91G30 62M10 62P05 PDFBibTeX XMLCite \textit{S. Bayracı} and \textit{G. Ünal}, J. Comput. Appl. Math. 259, Part B, 464--473 (2014; Zbl 1314.91221) Full Text: DOI
Thakoor, Nawdha; Tangman, Désiré Yannick; Bhuruth, Muddun Efficient and high accuracy pricing of barrier options under the CEV diffusion. (English) Zbl 1291.91238 J. Comput. Appl. Math. 259, Part A, 182-193 (2014). MSC: 91G60 91G20 65M06 62P05 PDFBibTeX XMLCite \textit{N. Thakoor} et al., J. Comput. Appl. Math. 259, Part A, 182--193 (2014; Zbl 1291.91238) Full Text: DOI
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David A multivariate dependence measure for aggregating risks. (English) Zbl 1386.91172 J. Comput. Appl. Math. 263, 78-87 (2014). MSC: 91G70 62H20 62P05 PDFBibTeX XMLCite \textit{J. Dhaene} et al., J. Comput. Appl. Math. 263, 78--87 (2014; Zbl 1386.91172) Full Text: DOI
Kortschak, Dominik; Hashorva, Enkelejd Efficient simulation of tail probabilities for sums of log-elliptical risks. (English) Zbl 1270.91030 J. Comput. Appl. Math. 247, 53-67 (2013). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{D. Kortschak} and \textit{E. Hashorva}, J. Comput. Appl. Math. 247, 53--67 (2013; Zbl 1270.91030) Full Text: DOI arXiv
Gout, Christian (ed.); Romani, Lucia (ed.) Special issue: MATA 2012. Selected papers based on the presentations at the conference on multivariate approximation: theory and applications 2012. (English) Zbl 1294.65004 J. Comput. Appl. Math. 240, 224 p. (2013). MSC: 65-06 00A69 65Z05 00B25 PDFBibTeX XML
Solin, Pavel (ed.); Schnepp, Sascha (ed.); Karban, Pavel (ed.) Special issue: FEMTEC 2011. Selected papers based on the presentations at the 3rd international conference on computational methods in engineering and science, Lake Tahoe, USA, May 9–13, 2011. (English) Zbl 1250.65008 J. Comput. Appl. Math. 236, No. 18, 4581-4963 (2012). MSC: 65-06 65Z05 00A69 00B25 PDFBibTeX XML
Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas On the ruin probability in a dependent discrete time risk model with insurance and financial risks. (English) Zbl 1237.91142 J. Comput. Appl. Math. 236, No. 13, 3286-3295 (2012). MSC: 91B30 62P05 62E20 60F10 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Comput. Appl. Math. 236, No. 13, 3286--3295 (2012; Zbl 1237.91142) Full Text: DOI
Gebizlioglu, Omer L.; Şenoğlu, Birdal; Kantar, Yeliz Mert Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution. (English) Zbl 1211.91148 J. Comput. Appl. Math. 235, No. 11, 3304-3314 (2011). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{O. L. Gebizlioglu} et al., J. Comput. Appl. Math. 235, No. 11, 3304--3314 (2011; Zbl 1211.91148) Full Text: DOI
Liu, Donghai; Liu, Zaiming The perturbed compound Poisson risk model with linear dividend barrier. (English) Zbl 1208.91069 J. Comput. Appl. Math. 235, No. 8, 2357-2363 (2011). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{D. Liu} and \textit{Z. Liu}, J. Comput. Appl. Math. 235, No. 8, 2357--2363 (2011; Zbl 1208.91069) Full Text: DOI
Fan, ShengJun; Jiang, Long A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes. (English) Zbl 1203.65017 J. Comput. Appl. Math. 235, No. 3, 686-695 (2010). Reviewer: Georgiy Shevchenko (Kiev) MSC: 65C30 91G80 60H10 60H35 34F05 91G60 PDFBibTeX XMLCite \textit{S. Fan} and \textit{L. Jiang}, J. Comput. Appl. Math. 235, No. 3, 686--695 (2010; Zbl 1203.65017) Full Text: DOI
Mitra, Sovan; Date, Paresh Regime switching volatility calibration by the Baum-Welch method. (English) Zbl 1193.91176 J. Comput. Appl. Math. 234, No. 12, 3243-3260 (2010). MSC: 91G70 62M20 62P05 PDFBibTeX XMLCite \textit{S. Mitra} and \textit{P. Date}, J. Comput. Appl. Math. 234, No. 12, 3243--3260 (2010; Zbl 1193.91176) Full Text: DOI arXiv
de Schepper, Ann; Heijnen, Bart How to estimate the value at risk under incomplete information. (English) Zbl 1182.91099 J. Comput. Appl. Math. 233, No. 9, 2213-2226 (2010). MSC: 91B30 91G70 62P05 PDFBibTeX XMLCite \textit{A. de Schepper} and \textit{B. Heijnen}, J. Comput. Appl. Math. 233, No. 9, 2213--2226 (2010; Zbl 1182.91099) Full Text: DOI
Kemaloglu, Sibel Acik; Gebizlioglu, Omer L. Risk analysis under progressive type II censoring with binomial claim numbers. (English) Zbl 1355.91048 J. Comput. Appl. Math. 233, No. 1, 61-72 (2009). MSC: 91B30 62P05 62N01 PDFBibTeX XMLCite \textit{S. A. Kemaloglu} and \textit{O. L. Gebizlioglu}, J. Comput. Appl. Math. 233, No. 1, 61--72 (2009; Zbl 1355.91048) Full Text: DOI
Dimitriyadis, İ.; Öney, Ü. N. Deductibles in health insurance. (English) Zbl 1179.91102 J. Comput. Appl. Math. 233, No. 1, 51-60 (2009). MSC: 91B30 91B16 62P05 PDFBibTeX XMLCite \textit{İ. Dimitriyadis} and \textit{Ü. N. Öney}, J. Comput. Appl. Math. 233, No. 1, 51--60 (2009; Zbl 1179.91102) Full Text: DOI
Aalabaf-Sabaghi, Morteza Risk perceptions and rationality in measures of risk. (English) Zbl 1179.91097 J. Comput. Appl. Math. 233, No. 1, 46-50 (2009). MSC: 91B30 62F15 62P05 PDFBibTeX XMLCite \textit{M. Aalabaf-Sabaghi}, J. Comput. Appl. Math. 233, No. 1, 46--50 (2009; Zbl 1179.91097) Full Text: DOI
Yang, Hu; Zhang, Zhimin On a perturbed Sparre Andersen risk model with multi-layer dividend strategy. (English) Zbl 1173.91408 J. Comput. Appl. Math. 232, No. 2, 612-624 (2009). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Yang} and \textit{Z. Zhang}, J. Comput. Appl. Math. 232, No. 2, 612--624 (2009; Zbl 1173.91408) Full Text: DOI
Li, Bo; Wu, Rong; Song, Min A renewal jump-diffusion process with threshold dividend strategy. (English) Zbl 1166.60053 J. Comput. Appl. Math. 228, No. 1, 41-55 (2009). MSC: 60K20 60J75 62P05 PDFBibTeX XMLCite \textit{B. Li} et al., J. Comput. Appl. Math. 228, No. 1, 41--55 (2009; Zbl 1166.60053) Full Text: DOI
Yin, G.; Song, Q. S.; Yang, H. Stochastic optimization algorithms for barrier dividend strategies. (English) Zbl 1152.91559 J. Comput. Appl. Math. 223, No. 1, 240-262 (2009). MSC: 91B28 90C15 91B30 91B70 62L20 62P05 PDFBibTeX XMLCite \textit{G. Yin} et al., J. Comput. Appl. Math. 223, No. 1, 240--262 (2009; Zbl 1152.91559) Full Text: DOI
Denuit, Michel; Dhaene, Jan Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection. (English) Zbl 1110.62140 J. Comput. Appl. Math. 203, No. 1, 169-176 (2007). MSC: 62N99 60E15 62P05 PDFBibTeX XMLCite \textit{M. Denuit} and \textit{J. Dhaene}, J. Comput. Appl. Math. 203, No. 1, 169--176 (2007; Zbl 1110.62140) Full Text: DOI
Matías, J. M.; González-Manteiga, W.; Taboada, J.; Ordóñez, C. Managing distribution changes in time series prediction. (English) Zbl 1086.62107 J. Comput. Appl. Math. 191, No. 2, 206-215 (2006). MSC: 62M20 62P05 PDFBibTeX XMLCite \textit{J. M. Matías} et al., J. Comput. Appl. Math. 191, No. 2, 206--215 (2006; Zbl 1086.62107) Full Text: DOI
Ladoucette, Sophie A.; Teugels, Jef L. Reinsurance of large claims. (English) Zbl 1120.62093 J. Comput. Appl. Math. 186, No. 1, 163-190 (2006). MSC: 62P05 62G32 91B30 PDFBibTeX XMLCite \textit{S. A. Ladoucette} and \textit{J. L. Teugels}, J. Comput. Appl. Math. 186, No. 1, 163--190 (2006; Zbl 1120.62093) Full Text: DOI
Hürlimann, Werner Best bounds for expected financial payoffs. II: Applications. (English) Zbl 0887.65150 J. Comput. Appl. Math. 82, No. 1-2, 213-227 (1997). Reviewer: G.S.Stavrakakis (Chania) MSC: 65C99 62P05 91G60 PDFBibTeX XMLCite \textit{W. Hürlimann}, J. Comput. Appl. Math. 82, No. 1--2, 213--227 (1997; Zbl 0887.65150) Full Text: DOI
Hürlimann, Werner Best bounds for expected financial payoffs. I: Algorithmic evaluation. (English) Zbl 0887.65149 J. Comput. Appl. Math. 82, No. 1-2, 199-212 (1997). Reviewer: G.S.Stavrakakis (Chania) MSC: 65C99 62P05 91G60 PDFBibTeX XMLCite \textit{W. Hürlimann}, J. Comput. Appl. Math. 82, No. 1--2, 199--212 (1997; Zbl 0887.65149) Full Text: DOI
Bauwelinckx, T.; Labie, E.; Goovaerts, M. J. A new approach for loaded credibility premiums. (English) Zbl 0738.62096 J. Comput. Appl. Math. 37, No. 1-3, 301-314 (1991). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{T. Bauwelinckx} et al., J. Comput. Appl. Math. 37, No. 1--3, 301--314 (1991; Zbl 0738.62096) Full Text: DOI
Kaas, R.; Goovaerts, M. J. A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints. (English) Zbl 0633.65150 J. Comput. Appl. Math. 20, 289-297 (1987). Reviewer: W.Uhlmann MSC: 65C99 65R10 62P05 44A60 62E99 PDFBibTeX XMLCite \textit{R. Kaas} and \textit{M. J. Goovaerts}, J. Comput. Appl. Math. 20, 289--297 (1987; Zbl 0633.65150) Full Text: DOI
de Vylder, F.; Goovaerts, M. J. Upper bounds for ruin probabilities in a new general risk model, by the martingales method. (English) Zbl 0499.62092 J. Comput. Appl. Math. 8, 121-126 (1982). MSC: 62P05 60G42 60G55 60G50 PDFBibTeX XMLCite \textit{F. de Vylder} and \textit{M. J. Goovaerts}, J. Comput. Appl. Math. 8, 121--126 (1982; Zbl 0499.62092) Full Text: DOI