Yang, Minglei; Zhang, Guannan; Del-Castillo-Negrete, Diego; Cao, Yanzhao A probabilistic scheme for semilinear nonlocal diffusion equations with volume constraints. (English) Zbl 07770183 SIAM J. Numer. Anal. 61, No. 6, 2718-2743 (2023). MSC: 68Q25 65M75 60J60 65C30 PDF BibTeX XML Cite \textit{M. Yang} et al., SIAM J. Numer. Anal. 61, No. 6, 2718--2743 (2023; Zbl 07770183) Full Text: DOI arXiv
Kondratiev, Yuri; da Silva, José L. Random potentials for Markov processes. (English) Zbl 07744459 Appl. Anal. 102, No. 14, 3874-3885 (2023). MSC: 47D07 37P30 60G22 47A30 PDF BibTeX XML Cite \textit{Y. Kondratiev} and \textit{J. L. da Silva}, Appl. Anal. 102, No. 14, 3874--3885 (2023; Zbl 07744459) Full Text: DOI
Zhang, Rongmao; Liu, Qimeng; Shi, Jianhua Estimation of generalized threshold autoregressive models. (English) Zbl 07720166 Commun. Stat., Theory Methods 52, No. 18, 6456-6474 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{R. Zhang} et al., Commun. Stat., Theory Methods 52, No. 18, 6456--6474 (2023; Zbl 07720166) Full Text: DOI
Villarroel, Javier; Vega, Juan A. The two-barrier escape problem for compound renewal processes with two-sided jumps. (English) Zbl 1515.60280 Stoch. Dyn. 23, No. 3, Article ID 2350022, 23 p. (2023). MSC: 60K05 91G05 60G55 PDF BibTeX XML Cite \textit{J. Villarroel} and \textit{J. A. Vega}, Stoch. Dyn. 23, No. 3, Article ID 2350022, 23 p. (2023; Zbl 1515.60280) Full Text: DOI
Ma, Chunsheng Multivariate exponential power Lévy processes and random fields. (English) Zbl 1515.60132 Stat. Probab. Lett. 197, Article ID 109806, 10 p. (2023). MSC: 60G51 60G60 60E07 PDF BibTeX XML Cite \textit{C. Ma}, Stat. Probab. Lett. 197, Article ID 109806, 10 p. (2023; Zbl 1515.60132) Full Text: DOI
Azcue, Pablo; Frostig, Esther; Muler, Nora Optimal strategies in a production inventory control model. (English) Zbl 1520.91211 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 43, 43 p. (2023). MSC: 91B38 90B05 90B30 49L25 PDF BibTeX XML Cite \textit{P. Azcue} et al., Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 43, 43 p. (2023; Zbl 1520.91211) Full Text: DOI arXiv
Gao, Dechen; Sendova, Kristina P. Applications of the classical compound Poisson model with claim sizes following a compound distribution. (English) Zbl 1518.91220 Probab. Eng. Inf. Sci. 37, No. 2, 357-386 (2023). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{D. Gao} and \textit{K. P. Sendova}, Probab. Eng. Inf. Sci. 37, No. 2, 357--386 (2023; Zbl 1518.91220) Full Text: DOI
Uru, Cagin; Dayanik, Savas; Sezer, Semih O. Compound Poisson disorder problem with uniformly distributed disorder time. (English) Zbl 07691581 Bernoulli 29, No. 3, 2272-2294 (2023). MSC: 62Lxx 60Gxx 62Mxx PDF BibTeX XML Cite \textit{C. Uru} et al., Bernoulli 29, No. 3, 2272--2294 (2023; Zbl 07691581) Full Text: DOI Link
Freud, Thomas; Rodriguez, Pablo M. The Bell-Touchard counting process. (English) Zbl 1511.60070 Appl. Math. Comput. 444, Article ID 127741, 16 p. (2023). MSC: 60G55 11B73 PDF BibTeX XML Cite \textit{T. Freud} and \textit{P. M. Rodriguez}, Appl. Math. Comput. 444, Article ID 127741, 16 p. (2023; Zbl 1511.60070) Full Text: DOI arXiv
Tzaninis, Spyridon M.; Macheras, Nikolaos D. A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process. (English) Zbl 1509.60158 ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 1, 225-247 (2023). MSC: 60K05 60A10 60G44 60G55 91G05 PDF BibTeX XML Cite \textit{S. M. Tzaninis} and \textit{N. D. Macheras}, ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 1, 225--247 (2023; Zbl 1509.60158) Full Text: arXiv Link
Beghin, Luisa; Caputo, Michele Stochastic applications of Caputo-type convolution operators with nonsingular kernels. (English) Zbl 07661021 Stochastic Anal. Appl. 41, No. 2, 377-393 (2023). MSC: 47-XX 26A33 47G20 60G51 33B20 PDF BibTeX XML Cite \textit{L. Beghin} and \textit{M. Caputo}, Stochastic Anal. Appl. 41, No. 2, 377--393 (2023; Zbl 07661021) Full Text: DOI arXiv
Bakhtin, Yuri; Li, Liying Strongly mixing smooth planar vector field without asymptotic directions. (English) Zbl 1514.37063 Nonlinearity 36, No. 3, 1789-1798 (2023). Reviewer: Ivan Podvigin (Novosibirsk) MSC: 37H10 37A25 37A50 60K37 34F05 PDF BibTeX XML Cite \textit{Y. Bakhtin} and \textit{L. Li}, Nonlinearity 36, No. 3, 1789--1798 (2023; Zbl 1514.37063) Full Text: DOI arXiv
Hainaut, Donatien Multivariate claim processes with rough intensities: properties and estimation. (English) Zbl 1507.91181 Insur. Math. Econ. 107, 269-287 (2022). MSC: 91G05 60G22 PDF BibTeX XML Cite \textit{D. Hainaut}, Insur. Math. Econ. 107, 269--287 (2022; Zbl 1507.91181) Full Text: DOI
Shi, Jim Optimal continuous production-inventory systems subject to stockout risk. (English) Zbl 1501.90008 Ann. Oper. Res. 317, No. 2, 777-804 (2022). MSC: 90B05 90B30 PDF BibTeX XML Cite \textit{J. Shi}, Ann. Oper. Res. 317, No. 2, 777--804 (2022; Zbl 1501.90008) Full Text: DOI
Boxma, Onno; Perry, David; Stadje, Wolfgang; Zacks, Shelley A compound Poisson EOQ model for perishable items with intermittent high and low demand periods. (English) Zbl 1501.90001 Ann. Oper. Res. 317, No. 2, 439-459 (2022). MSC: 90B05 PDF BibTeX XML Cite \textit{O. Boxma} et al., Ann. Oper. Res. 317, No. 2, 439--459 (2022; Zbl 1501.90001) Full Text: DOI
Rahmati, Maryam; Rezanejad Asl, Parisa; Mikaeli, Javad; Zeraati, Hojjat; Rasekhi, Aliakbar Compound Poisson frailty model with a gamma process prior for the baseline hazard: accounting for a cured fraction. (English) Zbl 07611107 J. Appl. Stat. 49, No. 13, 3377-3391 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Rahmati} et al., J. Appl. Stat. 49, No. 13, 3377--3391 (2022; Zbl 07611107) Full Text: DOI
Zhou, Hong-Bing; Liang, Han-Ying Change point estimation in regression model with response missing at random. (English) Zbl 07585040 Commun. Stat., Theory Methods 51, No. 20, 7101-7119 (2022). MSC: 62G08 62N02 PDF BibTeX XML Cite \textit{H.-B. Zhou} and \textit{H.-Y. Liang}, Commun. Stat., Theory Methods 51, No. 20, 7101--7119 (2022; Zbl 07585040) Full Text: DOI
Kim, Hyunjung; Kim, Eungab A hybrid manufacturing system with demand for intermediate goods and controllable make-to-stock production rate. (English) Zbl 07567030 Eur. J. Oper. Res. 303, No. 3, 1244-1257 (2022). MSC: 90B30 90B05 90C40 PDF BibTeX XML Cite \textit{H. Kim} and \textit{E. Kim}, Eur. J. Oper. Res. 303, No. 3, 1244--1257 (2022; Zbl 07567030) Full Text: DOI
Cui, Lirong; Wu, Bei; Yin, Juan Moments for Hawkes processes with gamma decay kernel functions. (English) Zbl 1491.60068 Methodol. Comput. Appl. Probab. 24, No. 3, 1565-1601 (2022). MSC: 60G55 91G40 PDF BibTeX XML Cite \textit{L. Cui} et al., Methodol. Comput. Appl. Probab. 24, No. 3, 1565--1601 (2022; Zbl 1491.60068) Full Text: DOI
Gankhuu, Battulga; Kleinow, Jacob; Lkhamsuren, Altangerel; Horsch, Andreas Dividends and compound Poisson processes: a new stochastic stock price model. (English) Zbl 1496.91099 Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250014, 36 p. (2022). MSC: 91G50 60G55 PDF BibTeX XML Cite \textit{B. Gankhuu} et al., Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250014, 36 p. (2022; Zbl 1496.91099) Full Text: DOI
Akyildirim, Erdinc; Fabozzi, Frank J.; Goncu, Ahmet; Sensoy, Ahmet Statistical arbitrage in jump-diffusion models with compound Poisson processes. (English) Zbl 1494.91166 Ann. Oper. Res. 313, No. 2, 1357-1371 (2022). MSC: 91G30 60J74 60G55 PDF BibTeX XML Cite \textit{E. Akyildirim} et al., Ann. Oper. Res. 313, No. 2, 1357--1371 (2022; Zbl 1494.91166) Full Text: DOI Link
Kaleta, Kamil; Ponikowski, Daniel On directional convolution equivalent densities. (English) Zbl 1498.60058 Electron. J. Probab. 27, Paper No. 65, 19 p. (2022). MSC: 60E05 26B99 60G50 60G51 62H05 PDF BibTeX XML Cite \textit{K. Kaleta} and \textit{D. Ponikowski}, Electron. J. Probab. 27, Paper No. 65, 19 p. (2022; Zbl 1498.60058) Full Text: DOI arXiv
Cheng, Conghua Empirical likelihood ratio for two-sample compound Poisson processes under infinite second moment. (English) Zbl 07533659 Commun. Stat., Theory Methods 51, No. 11, 3787-3798 (2022). MSC: 62G20 62-XX PDF BibTeX XML Cite \textit{C. Cheng}, Commun. Stat., Theory Methods 51, No. 11, 3787--3798 (2022; Zbl 07533659) Full Text: DOI
Jurek, Z. J. Background driving distribution functions and series representations for log-gamma self-decomposable random variables. (English) Zbl 1492.60042 Theory Probab. Appl. 67, No. 1, 105-117 (2022) and Teor. Veroyatn. Primen. 67, No. 1, 134-149 (2022). MSC: 60E07 60E05 60G51 PDF BibTeX XML Cite \textit{Z. J. Jurek}, Theory Probab. Appl. 67, No. 1, 105--117 (2022; Zbl 1492.60042) Full Text: DOI arXiv
Li, Yin; Mao, Xuerong; Song, Yazhi; Tao, Jian Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition. (English) Zbl 1499.90094 J. Ind. Manag. Optim. 18, No. 1, 75-93 (2022). MSC: 90B50 93E20 91G80 62P05 PDF BibTeX XML Cite \textit{Y. Li} et al., J. Ind. Manag. Optim. 18, No. 1, 75--93 (2022; Zbl 1499.90094) Full Text: DOI
Kondratiev, Yuri; Mishura, Yuliya; da Silva, José L. Perpetual integral functionals of multidimensional stochastic processes. (English) Zbl 1492.60221 Stochastics 93, No. 8, 1249-1260 (2021). MSC: 60J25 60J65 60G22 47A30 PDF BibTeX XML Cite \textit{Y. Kondratiev} et al., Stochastics 93, No. 8, 1249--1260 (2021; Zbl 1492.60221) Full Text: DOI arXiv
Ali, Sajid Monitoring time and magnitude based on the renewal reward process with a random failure threshold. (English) Zbl 1521.62237 J. Appl. Stat. 48, No. 2, 247-284 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{S. Ali}, J. Appl. Stat. 48, No. 2, 247--284 (2021; Zbl 1521.62237) Full Text: DOI
Ai, The Jin; Astanti, Ririn Diar; Luong, Huynh Trung A periodic review decision model for an inventory system with two demand types. (English) Zbl 1486.90006 Int. J. Math. Oper. Res. 20, No. 3, 402-417 (2021). MSC: 90B05 PDF BibTeX XML Cite \textit{T. J. Ai} et al., Int. J. Math. Oper. Res. 20, No. 3, 402--417 (2021; Zbl 1486.90006) Full Text: DOI
Behme, Anita; Strietzel, Philipp Lukas A \(2\times 2\) random switching model and its dual risk model. (English) Zbl 1483.90043 Queueing Syst. 99, No. 1-2, 27-64 (2021). MSC: 90B22 60K30 60K10 PDF BibTeX XML Cite \textit{A. Behme} and \textit{P. L. Strietzel}, Queueing Syst. 99, No. 1--2, 27--64 (2021; Zbl 1483.90043) Full Text: DOI arXiv
Bouzas, Paula R.; Ruiz-Fuentes, Nuria; Montes-Gijón, Carmen; Ruiz-Castro, Juan Eloy Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events. (English) Zbl 1477.60066 Stat. Pap. 62, No. 1, 235-265 (2021). MSC: 60G25 60G55 62M20 62N05 62H25 PDF BibTeX XML Cite \textit{P. R. Bouzas} et al., Stat. Pap. 62, No. 1, 235--265 (2021; Zbl 1477.60066) Full Text: DOI Link
Hainaut, Donatien Moment generating function of non-Markov self-excited claims processes. (English) Zbl 1475.91304 Insur. Math. Econ. 101, 406-424 (2021). MSC: 91G05 60G55 PDF BibTeX XML Cite \textit{D. Hainaut}, Insur. Math. Econ. 101, 406--424 (2021; Zbl 1475.91304) Full Text: DOI
Swishchuk, Anatoliy; Zagst, Rudi; Zeller, Gabriela Hawkes processes in insurance: risk model, application to empirical data and optimal investment. (English) Zbl 1475.91317 Insur. Math. Econ. 101, 107-124 (2021). MSC: 91G05 60G55 PDF BibTeX XML Cite \textit{A. Swishchuk} et al., Insur. Math. Econ. 101, 107--124 (2021; Zbl 1475.91317) Full Text: DOI
Borodin, A. N. Limit behavior of a compound Poisson process with switching between multiple values. (English. Russian original) Zbl 1478.60146 J. Math. Sci., New York 258, No. 6, 764-776 (2021); translation from Zap. Nauchn. Semin. POMI 486, 44-62 (2019). Reviewer: Edward Omey (Brussel) MSC: 60G55 60E10 60G51 60J25 60J65 PDF BibTeX XML Cite \textit{A. N. Borodin}, J. Math. Sci., New York 258, No. 6, 764--776 (2021; Zbl 1478.60146); translation from Zap. Nauchn. Semin. POMI 486, 44--62 (2019) Full Text: DOI
Yakubovich, Yuri A simple proof of the Lévy-Khintchine formula for subordinators. (English) Zbl 1482.60063 Stat. Probab. Lett. 176, Article ID 109136, 5 p. (2021). MSC: 60G51 PDF BibTeX XML Cite \textit{Y. Yakubovich}, Stat. Probab. Lett. 176, Article ID 109136, 5 p. (2021; Zbl 1482.60063) Full Text: DOI arXiv
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D. A characterization of martingale-equivalent mixed compound Poisson processes. (English) Zbl 1476.91036 Ann. Appl. Probab. 31, No. 2, 778-805 (2021). MSC: 91B05 60G44 60G51 60G55 PDF BibTeX XML Cite \textit{D. P. Lyberopoulos} and \textit{N. D. Macheras}, Ann. Appl. Probab. 31, No. 2, 778--805 (2021; Zbl 1476.91036) Full Text: DOI arXiv Link
Tao, Xiuli; Shen, Zhaohui On the first passage time density for a class of compound Poisson process. (Chinese. English summary) Zbl 1488.60131 J. Wuhan Univ., Nat. Sci. Ed. 67, No. 3, 256-262 (2021). MSC: 60G55 60J76 PDF BibTeX XML Cite \textit{X. Tao} and \textit{Z. Shen}, J. Wuhan Univ., Nat. Sci. Ed. 67, No. 3, 256--262 (2021; Zbl 1488.60131) Full Text: DOI
Yang, Fan Rare event process and entry times distribution for arbitrary null sets on compact manifolds. (English. French summary) Zbl 1477.37009 Ann. Inst. Henri Poincaré, Probab. Stat. 57, No. 2, 1103-1135 (2021). MSC: 37A50 37A25 37D25 60B10 60G70 PDF BibTeX XML Cite \textit{F. Yang}, Ann. Inst. Henri Poincaré, Probab. Stat. 57, No. 2, 1103--1135 (2021; Zbl 1477.37009) Full Text: DOI arXiv
Azcue, Pablo; Muler, Nora A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme. (English) Zbl 1468.49027 Appl. Math. Optim. 83, No. 3, 1613-1649 (2021). MSC: 49L12 49L25 35F21 91B64 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Appl. Math. Optim. 83, No. 3, 1613--1649 (2021; Zbl 1468.49027) Full Text: DOI arXiv
Basrak, Bojan; Planinić, Hrvoje Compound Poisson approximation for regularly varying fields with application to sequence alignment. (English) Zbl 1480.60136 Bernoulli 27, No. 2, 1371-1408 (2021). MSC: 60G60 60G55 60G70 PDF BibTeX XML Cite \textit{B. Basrak} and \textit{H. Planinić}, Bernoulli 27, No. 2, 1371--1408 (2021; Zbl 1480.60136) Full Text: DOI arXiv
Sun, Zongqi; Yang, Peng The Laplace transform of ruin time with investment and barrier dividend. (Chinese. English summary) Zbl 1474.91034 J. Shenzhen Univ., Sci. Eng. 38, No. 2, 214-220 (2021). MSC: 91B05 44A10 91G05 PDF BibTeX XML Cite \textit{Z. Sun} and \textit{P. Yang}, J. Shenzhen Univ., Sci. Eng. 38, No. 2, 214--220 (2021; Zbl 1474.91034) Full Text: DOI
Zhang, Jiesong A catastrophe shock model and the bond pricing. (Chinese. English summary) Zbl 1474.91165 J. Shenzhen Univ., Sci. Eng. 38, No. 2, 208-213 (2021). MSC: 91G05 91G20 60G22 PDF BibTeX XML Cite \textit{J. Zhang}, J. Shenzhen Univ., Sci. Eng. 38, No. 2, 208--213 (2021; Zbl 1474.91165) Full Text: DOI
Chen, Mi; Hu, Xiang Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process. (English) Zbl 1511.91036 Commun. Stat., Theory Methods 49, No. 16, 3985-4001 (2020). MSC: 91B05 62M10 62P05 PDF BibTeX XML Cite \textit{M. Chen} and \textit{X. Hu}, Commun. Stat., Theory Methods 49, No. 16, 3985--4001 (2020; Zbl 1511.91036) Full Text: DOI
Li, Yuying; Sendova, Kristina P. A surplus process involving a compound Poisson counting process and applications. (English) Zbl 1511.91039 Commun. Stat., Theory Methods 49, No. 13, 3238-3256 (2020). MSC: 91B05 60G51 60K10 62P05 PDF BibTeX XML Cite \textit{Y. Li} and \textit{K. P. Sendova}, Commun. Stat., Theory Methods 49, No. 13, 3238--3256 (2020; Zbl 1511.91039) Full Text: DOI
Rao, P. Mallikharjuna; Rao, K. Srinivasa On three-graded manpower model with non-homogeneous Poisson recruitment in first and second grades. (English) Zbl 1479.90129 Int. J. Oper. Res., Taichung 17, No. 3, 65-92 (2020). MSC: 90B70 PDF BibTeX XML Cite \textit{P. M. Rao} and \textit{K. S. Rao}, Int. J. Oper. Res., Taichung 17, No. 3, 65--92 (2020; Zbl 1479.90129) Full Text: Link
Sengar, Ayushi Singh; Upadhye, Neelesh S. Subordinated compound Poisson processes of order \(k\). (English) Zbl 1479.60079 Mod. Stoch., Theory Appl. 7, No. 4, 395-413 (2020). MSC: 60G22 60G55 PDF BibTeX XML Cite \textit{A. S. Sengar} and \textit{N. S. Upadhye}, Mod. Stoch., Theory Appl. 7, No. 4, 395--413 (2020; Zbl 1479.60079) Full Text: DOI arXiv
Maes, Christian; Netočný, Karel Nonequilibrium relaxation and pattern formation. (English) Zbl 1479.82050 Mosc. Math. J. 20, No. 4, 741-747 (2020). Reviewer: Bassano Vacchini (Milano) MSC: 82C31 60G55 60J60 35B36 35Q84 PDF BibTeX XML Cite \textit{C. Maes} and \textit{K. Netočný}, Mosc. Math. J. 20, No. 4, 741--747 (2020; Zbl 1479.82050) Full Text: Link
Kondratiev, Yuri; da Silva, José L. Green measures for Markov processes. (English) Zbl 1474.60133 Methods Funct. Anal. Topol. 26, No. 3, 241-248 (2020). Reviewer: Anatoly N. Kochubei (Kyïv) MSC: 60G55 60J65 47D07 PDF BibTeX XML Cite \textit{Y. Kondratiev} and \textit{J. L. da Silva}, Methods Funct. Anal. Topol. 26, No. 3, 241--248 (2020; Zbl 1474.60133) Full Text: DOI arXiv
Behme, Anita; Klüppelberg, Claudia; Reinert, Gesine Ruin probabilities for risk processes in a bipartite network. (English) Zbl 1468.60058 Stoch. Models 36, No. 4, 548-573 (2020). MSC: 60G51 05C80 91B05 PDF BibTeX XML Cite \textit{A. Behme} et al., Stoch. Models 36, No. 4, 548--573 (2020; Zbl 1468.60058) Full Text: DOI arXiv
Zhang, Xiaoyi; Guo, Junyi Optimal defined contribution pension management with salary and risky assets following jump diffusion processes. (English) Zbl 1466.91275 East Asian J. Appl. Math. 10, No. 1, 22-39 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Zhang} and \textit{J. Guo}, East Asian J. Appl. Math. 10, No. 1, 22--39 (2020; Zbl 1466.91275) Full Text: DOI
Zhang, Yanguo; Song, Chunyan; Li, Shilong Net premium reserve in life insurance under Vasicek model with jumps. (Chinese. English summary) Zbl 1474.91169 J. Shandong Univ., Nat. Sci. 55, No. 9, 81-88 (2020). MSC: 91G05 91G30 60G55 60J60 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Shandong Univ., Nat. Sci. 55, No. 9, 81--88 (2020; Zbl 1474.91169)
Kataria, Kuldeep Kumar; Vellaisamy, Palaniappan State dependent versions of the space-time fractional Poisson process. (English) Zbl 1474.60108 Fract. Calc. Appl. Anal. 23, No. 5, 1483-1505 (2020). MSC: 60G22 60G55 PDF BibTeX XML Cite \textit{K. K. Kataria} and \textit{P. Vellaisamy}, Fract. Calc. Appl. Anal. 23, No. 5, 1483--1505 (2020; Zbl 1474.60108) Full Text: DOI
Swishchuk, Anatoliy Stochastic modelling of big data in finance. (English) Zbl 1457.91364 Methodol. Comput. Appl. Probab. 22, No. 4, 1613-1630 (2020). MSC: 91G15 91G80 60F05 60G55 60K15 PDF BibTeX XML Cite \textit{A. Swishchuk}, Methodol. Comput. Appl. Probab. 22, No. 4, 1613--1630 (2020; Zbl 1457.91364) Full Text: DOI
Borodin, A. N. Limit behavior of a compound Poisson process with switching and dominated summands. (English. Russian original) Zbl 1460.60018 J. Math. Sci., New York 251, No. 1, 27-37 (2020); translation from Zap. Nauchn. Semin. POMI 474, 46-62 (2018). MSC: 60F17 60J76 60G55 PDF BibTeX XML Cite \textit{A. N. Borodin}, J. Math. Sci., New York 251, No. 1, 27--37 (2020; Zbl 1460.60018); translation from Zap. Nauchn. Semin. POMI 474, 46--62 (2018) Full Text: DOI
Borodin, A. N. Limit behavior of a compound Poisson process with switching. (English. Russian original) Zbl 1459.60076 J. Math. Sci., New York 244, No. 5, 733-742 (2020); translation from Zap. Nauchn. Semin. POMI 466, 54-66 (2017). MSC: 60F17 60J76 60G55 PDF BibTeX XML Cite \textit{A. N. Borodin}, J. Math. Sci., New York 244, No. 5, 733--742 (2020; Zbl 1459.60076); translation from Zap. Nauchn. Semin. POMI 466, 54--66 (2017) Full Text: DOI
Gugushvili, Shota; Mariucci, Ester; van der Meulen, Frank Decompounding discrete distributions: a nonparametric Bayesian approach. (English) Zbl 1450.62029 Scand. J. Stat. 47, No. 2, 464-492 (2020). MSC: 62G07 60G55 PDF BibTeX XML Cite \textit{S. Gugushvili} et al., Scand. J. Stat. 47, No. 2, 464--492 (2020; Zbl 1450.62029) Full Text: DOI arXiv
Reiss, Markus; Schmidt-Hieber, Johannes Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery. (English) Zbl 1452.62155 Ann. Stat. 48, No. 3, 1432-1451 (2020). Reviewer: Doina Carp (Bucureşti) MSC: 62C10 62G05 60G55 PDF BibTeX XML Cite \textit{M. Reiss} and \textit{J. Schmidt-Hieber}, Ann. Stat. 48, No. 3, 1432--1451 (2020; Zbl 1452.62155) Full Text: DOI arXiv Euclid
Landriault, David; Willmot, Gordon E. On series expansions for scale functions and other ruin-related quantities. (English) Zbl 1447.91142 Scand. Actuar. J. 2020, No. 4, 292-306 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{D. Landriault} and \textit{G. E. Willmot}, Scand. Actuar. J. 2020, No. 4, 292--306 (2020; Zbl 1447.91142) Full Text: DOI
Klebaner, F. C.; Logachov, A. V.; Mogulskii, A. A. Extended large deviation principle for trajectories of processes with independent and stationary increments on the half-line. (English. Russian original) Zbl 1447.60056 Probl. Inf. Transm. 56, No. 1, 56-72 (2020); translation from Probl. Peredachi Inf. 56, No. 1, 63-79 (2020). MSC: 60F10 PDF BibTeX XML Cite \textit{F. C. Klebaner} et al., Probl. Inf. Transm. 56, No. 1, 56--72 (2020; Zbl 1447.60056); translation from Probl. Peredachi Inf. 56, No. 1, 63--79 (2020) 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 PDF BibTeX XML Cite \textit{W. Sun} et al., J. Comput. Appl. Math. 377, Article ID 112889, 16 p. (2020; Zbl 1437.91400) Full Text: DOI
Gatto, Riccardo The stability of the probability of ruin. (English) Zbl 1437.91460 Stoch. Models 36, No. 1, 112-133 (2020). MSC: 91G70 65C05 60K10 PDF BibTeX XML Cite \textit{R. Gatto}, Stoch. Models 36, No. 1, 112--133 (2020; Zbl 1437.91460) Full Text: DOI
Macheras, Nikolaos D.; Tzaninis, Spyridon M. A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. (English) Zbl 1435.60039 Mod. Stoch., Theory Appl. 7, No. 1, 43-60 (2020). MSC: 60G55 91G40 28A35 60G44 60K05 PDF BibTeX XML Cite \textit{N. D. Macheras} and \textit{S. M. Tzaninis}, Mod. Stoch., Theory Appl. 7, No. 1, 43--60 (2020; Zbl 1435.60039) Full Text: DOI arXiv
Glanzer, Martin; Pflug, Georg Ch. Multiscale stochastic optimization: modeling aspects and scenario generation. (English) Zbl 1432.90094 Comput. Optim. Appl. 75, No. 1, 1-34 (2020). MSC: 90C15 90-10 PDF BibTeX XML Cite \textit{M. Glanzer} and \textit{G. Ch. Pflug}, Comput. Optim. Appl. 75, No. 1, 1--34 (2020; Zbl 1432.90094) Full Text: DOI
Guo, Feifei; Ling, Shiqing Quasi-likelihood estimation of structure-changed threshold double autoregressive models. (English) Zbl 1437.62331 J. Stat. Plann. Inference 205, 138-155 (2020). MSC: 62M10 62E20 62F12 PDF BibTeX XML Cite \textit{F. Guo} and \textit{S. Ling}, J. Stat. Plann. Inference 205, 138--155 (2020; Zbl 1437.62331) Full Text: DOI
Mosyagin, Vyacheslav Evgen’evich Exact asymptotics for the distribution of the time of attaining the maximum for a trajectory of a compound Poisson process with linear drift. (Russian) Zbl 1492.60092 Mat. Tr. 22, No. 2, 134-156 (2019). MSC: 60G17 60G51 PDF BibTeX XML Cite \textit{V. E. Mosyagin}, Mat. Tr. 22, No. 2, 134--156 (2019; Zbl 1492.60092) Full Text: DOI MNR
Sun, Zhongyang Upper bounds for ruin probabilities under model uncertainty. (English) Zbl 1508.91131 Commun. Stat., Theory Methods 48, No. 18, 4511-4527 (2019). MSC: 91B05 60H10 60H30 62P05 PDF BibTeX XML Cite \textit{Z. Sun}, Commun. Stat., Theory Methods 48, No. 18, 4511--4527 (2019; Zbl 1508.91131) Full Text: DOI
Coen, Arrigo; Godínez-Chaparro, Beatriz Compound Dirichlet processes. (English) Zbl 1436.60034 Antoniano-Villalobos, Isadora (ed.) et al., Selected contributions on statistics and data science in Latin America. 33rd “Foro nacional de estadística” (FNE) and 13th “Congreso Latinoamericano de Sociedades de Estadística” (CLATSE), Guadalajara, Mexico, October 1–5, 2018. Cham: Springer. Springer Proc. Math. Stat. 301, 43-58 (2019). MSC: 60G07 60K05 62P10 PDF BibTeX XML Cite \textit{A. Coen} and \textit{B. Godínez-Chaparro}, Springer Proc. Math. Stat. 301, 43--58 (2019; Zbl 1436.60034) Full Text: DOI arXiv
Mayster, Penka; Tchorbadjieff, Assen Logarithmic Lévy process directed by Poisson subordinator. (English) Zbl 1474.60129 Mod. Stoch., Theory Appl. 6, No. 4, 419-441 (2019). MSC: 60G51 60E07 11B73 33C05 PDF BibTeX XML Cite \textit{P. Mayster} and \textit{A. Tchorbadjieff}, Mod. Stoch., Theory Appl. 6, No. 4, 419--441 (2019; Zbl 1474.60129) Full Text: DOI arXiv
Cheng, Conghua Empirical likelihood ratio for two-sample compound Poisson process problems. (English) Zbl 07193881 J. Stat. Comput. Simulation 89, No. 16, 3035-3045 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{C. Cheng}, J. Stat. Comput. Simulation 89, No. 16, 3035--3045 (2019; Zbl 07193881) Full Text: DOI
Shokrollahi, Foad Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (English) Zbl 1432.91125 Axioms 8, No. 2, Paper No. 39, 12 p. (2019). MSC: 91G20 60G22 60H30 PDF BibTeX XML Cite \textit{F. Shokrollahi}, Axioms 8, No. 2, Paper No. 39, 12 p. (2019; Zbl 1432.91125) Full Text: DOI arXiv
Hongler, Max-Olivier; Filliger, Roger On jump-diffusive driving noise sources. Some explicit results and applications. (English) Zbl 1439.60078 Methodol. Comput. Appl. Probab. 21, No. 3, 753-764 (2019). MSC: 60J74 60H10 82C31 60K35 PDF BibTeX XML Cite \textit{M.-O. Hongler} and \textit{R. Filliger}, Methodol. Comput. Appl. Probab. 21, No. 3, 753--764 (2019; Zbl 1439.60078) Full Text: DOI arXiv
Azcue, Pablo; Muler, Nora Optimal cash management problem for compound Poisson processes with two-sided jumps. (English) Zbl 1429.49040 Appl. Math. Optim. 80, No. 2, 331-368 (2019). MSC: 49N25 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Appl. Math. Optim. 80, No. 2, 331--368 (2019; Zbl 1429.49040) Full Text: DOI
Gao, Zhaoxing; Ling, Shiqing Statistical inference for structurally changed threshold autoregressive models. (English) Zbl 1441.62233 Stat. Sin. 29, No. 4, 1803-1829 (2019). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M10 62G05 60J65 93E24 PDF BibTeX XML Cite \textit{Z. Gao} and \textit{S. Ling}, Stat. Sin. 29, No. 4, 1803--1829 (2019; Zbl 1441.62233) Full Text: DOI Link
Burnecki, Krzysztof; Giuricich, Mario Nicoló; Palmowski, Zbigniew Valuation of contingent convertible catastrophe bonds – the case for equity conversion. (English) Zbl 1425.91215 Insur. Math. Econ. 88, 238-254 (2019). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{K. Burnecki} et al., Insur. Math. Econ. 88, 238--254 (2019; Zbl 1425.91215) Full Text: DOI arXiv
Novak, S. Y. Poisson approximation. (English) Zbl 1422.60028 Probab. Surv. 16, 228-276 (2019). MSC: 60E15 60F05 60G50 60G51 60G55 60G70 60J75 62E17 62E20 PDF BibTeX XML Cite \textit{S. Y. Novak}, Probab. Surv. 16, 228--276 (2019; Zbl 1422.60028) Full Text: DOI arXiv Euclid
Giuliano, Rita; Macci, Claudio; Pacchiarotti, Barbara Large deviations for weighted means of random vectors defined in terms of suitable Lévy processes. (English) Zbl 1458.60037 Stat. Probab. Lett. 150, 13-22 (2019). MSC: 60F10 60E07 60G51 PDF BibTeX XML Cite \textit{R. Giuliano} et al., Stat. Probab. Lett. 150, 13--22 (2019; Zbl 1458.60037) Full Text: DOI
Kurisu, Daisuke Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations. (English) Zbl 1426.62244 Electron. J. Stat. 13, No. 2, 2521-2565 (2019). MSC: 62M05 62M15 60G51 62G20 62G15 60F05 PDF BibTeX XML Cite \textit{D. Kurisu}, Electron. J. Stat. 13, No. 2, 2521--2565 (2019; Zbl 1426.62244) Full Text: DOI arXiv Euclid
Li, Yuanbo; Zheng, Xunze; Yau, Chun Yip Generalized threshold latent variable model. (English) Zbl 1427.62100 Electron. J. Stat. 13, No. 1, 2043-2092 (2019). Reviewer: Alessandro Selvitella (Fort Wayne) MSC: 62M10 62P05 PDF BibTeX XML Cite \textit{Y. Li} et al., Electron. J. Stat. 13, No. 1, 2043--2092 (2019; Zbl 1427.62100) Full Text: DOI Euclid
Gouriéroux, Christian; Lu, Yang Negative binomial autoregressive process with stochastic intensity. (English) Zbl 1425.62125 J. Time Ser. Anal. 40, No. 2, 225-247 (2019). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M10 62M05 62P10 62H12 PDF BibTeX XML Cite \textit{C. Gouriéroux} and \textit{Y. Lu}, J. Time Ser. Anal. 40, No. 2, 225--247 (2019; Zbl 1425.62125) Full Text: DOI
Bi, Junna; Chen, Kailing Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles. (English) Zbl 1418.62373 RAIRO, Oper. Res. 53, No. 1, 179-206 (2019). MSC: 62P05 91B30 93E20 62P20 60J70 PDF BibTeX XML Cite \textit{J. Bi} and \textit{K. Chen}, RAIRO, Oper. Res. 53, No. 1, 179--206 (2019; Zbl 1418.62373) Full Text: DOI
Klebaner, Fima C.; Mogulskiĭ, Anatoliĭ Al’fredovich Large deviations for processes on half-line: random walk and compound Poisson. (English) Zbl 1420.60039 Sib. Èlektron. Mat. Izv. 16, 1-20 (2019). MSC: 60F10 60G50 60H10 60J60 PDF BibTeX XML Cite \textit{F. C. Klebaner} and \textit{A. A. Mogulskiĭ}, Sib. Èlektron. Mat. Izv. 16, 1--20 (2019; Zbl 1420.60039) Full Text: DOI arXiv
Arapostathis, Ari; Caffarelli, Luis; Pang, Guodong; Zheng, Yi Ergodic control of a class of jump diffusions with finite Lévy measures and rough kernels. (English) Zbl 1415.93288 SIAM J. Control Optim. 57, No. 2, 1516-1540 (2019). MSC: 93E20 60J75 35Q93 60J60 93E15 PDF BibTeX XML Cite \textit{A. Arapostathis} et al., SIAM J. Control Optim. 57, No. 2, 1516--1540 (2019; Zbl 1415.93288) Full Text: DOI arXiv
Steffensen, Mogens; Thøgersen, Julie Personal non-life insurance decisions and the welfare loss from flat deductibles. (English) Zbl 1419.91384 ASTIN Bull. 49, No. 1, 85-116 (2019). MSC: 91B30 91B16 PDF BibTeX XML Cite \textit{M. Steffensen} and \textit{J. Thøgersen}, ASTIN Bull. 49, No. 1, 85--116 (2019; Zbl 1419.91384) Full Text: DOI Link
Luo, Ming; Wu, Shaomin A comprehensive analysis of warranty claims and optimal policies. (English) Zbl 1430.90215 Eur. J. Oper. Res. 276, No. 1, 144-159 (2019). MSC: 90B25 90B30 PDF BibTeX XML Cite \textit{M. Luo} and \textit{S. Wu}, Eur. J. Oper. Res. 276, No. 1, 144--159 (2019; Zbl 1430.90215) Full Text: DOI Link
Kamphorst, Bart; Zwart, Bert Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift. (English) Zbl 1403.60038 Stochastic Processes Appl. 129, No. 2, 572-603 (2019). MSC: 60G51 60K25 PDF BibTeX XML Cite \textit{B. Kamphorst} and \textit{B. Zwart}, Stochastic Processes Appl. 129, No. 2, 572--603 (2019; Zbl 1403.60038) Full Text: DOI arXiv Link
Nguyen, Michele; Veraart, Almut E. D. Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein-Uhlenbeck processes. (English) Zbl 1498.60139 Stochastics 90, No. 7, 1023-1052 (2018). MSC: 60G10 60G60 62M10 PDF BibTeX XML Cite \textit{M. Nguyen} and \textit{A. E. D. Veraart}, Stochastics 90, No. 7, 1023--1052 (2018; Zbl 1498.60139) Full Text: DOI arXiv
Matsuda, Yasumasa; Yajima, Yoshihiro Locally stationary spatio-temporal processes. (English) Zbl 1430.62202 Jpn. J. Stat. Data Sci. 1, No. 1, 41-57 (2018). MSC: 62M10 62M15 62M30 62P12 PDF BibTeX XML Cite \textit{Y. Matsuda} and \textit{Y. Yajima}, Jpn. J. Stat. Data Sci. 1, No. 1, 41--57 (2018; Zbl 1430.62202) Full Text: DOI Link
Ivanov, Roman V.; Ano, Katsunori Option pricing in time-changed Lévy models with compound Poisson jumps. (English) Zbl 1457.91380 Mod. Stoch., Theory Appl. 6, No. 1, 81-107 (2019). MSC: 91G20 60G51 60J74 PDF BibTeX XML Cite \textit{R. V. Ivanov} and \textit{K. Ano}, Mod. Stoch., Theory Appl. 6, No. 1, 81--107 (2018; Zbl 1457.91380) Full Text: DOI arXiv
Hess, Markus Cliquet option pricing in a jump-diffusion Lévy model. (English) Zbl 1412.60055 Mod. Stoch., Theory Appl. 5, No. 3, 317-336 (2018). MSC: 60G10 60G51 60H10 91B30 91B70 PDF BibTeX XML Cite \textit{M. Hess}, Mod. Stoch., Theory Appl. 5, No. 3, 317--336 (2018; Zbl 1412.60055) Full Text: DOI arXiv
D’Onofrio, Giuseppe; Macci, Claudio; Pirozzi, Enrica Asymptotic results for first-passage times of some exponential processes. (English) Zbl 1422.60041 Methodol. Comput. Appl. Probab. 20, No. 4, 1453-1476 (2018). MSC: 60F10 60G51 60K20 PDF BibTeX XML Cite \textit{G. D'Onofrio} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1453--1476 (2018; Zbl 1422.60041) Full Text: DOI
Liu, Yang; Li, Deru; Li, Yingqiu; Zhang, Haiping Modeling vehicle traffic loads by the 2D compound Poisson process. (English) Zbl 1409.90053 Appl. Stoch. Models Bus. Ind. 34, No. 5, 607-617 (2018). MSC: 90B20 60G15 PDF BibTeX XML Cite \textit{Y. Liu} et al., Appl. Stoch. Models Bus. Ind. 34, No. 5, 607--617 (2018; Zbl 1409.90053) Full Text: DOI
Hambuckers, J.; Kneib, T.; Langrock, R.; Silbersdorff, A. A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models. (English) Zbl 1406.91499 Quant. Finance 18, No. 10, 1679-1698 (2018). MSC: 91G80 PDF BibTeX XML Cite \textit{J. Hambuckers} et al., Quant. Finance 18, No. 10, 1679--1698 (2018; Zbl 1406.91499) Full Text: DOI
Yu, Ping; Phillips, Peter C. B. Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion. (English) Zbl 1407.62254 Econ. Lett. 172, 123-126 (2018). MSC: 62J02 62F12 62M10 60J65 60G44 PDF BibTeX XML Cite \textit{P. Yu} and \textit{P. C. B. Phillips}, Econ. Lett. 172, 123--126 (2018; Zbl 1407.62254) Full Text: DOI Link
Putyatina, Oleksandra; Sass, Jörn Approximation for portfolio optimization in a financial market with shot-noise jumps. (English) Zbl 1417.91478 Comput. Manag. Sci. 15, No. 2, 161-186 (2018). MSC: 91G10 60J75 93E20 PDF BibTeX XML Cite \textit{O. Putyatina} and \textit{J. Sass}, Comput. Manag. Sci. 15, No. 2, 161--186 (2018; Zbl 1417.91478) Full Text: DOI
Cheng, Conghua Empirical likelihood for compound Poisson vector processes. (English) Zbl 1413.62043 Math. Appl. 31, No. 2, 408-416 (2018). MSC: 62G05 60G55 PDF BibTeX XML Cite \textit{C. Cheng}, Math. Appl. 31, No. 2, 408--416 (2018; Zbl 1413.62043)
Hu, Xiang; Zhang, Lianzeng; Sun, Weiwei Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations. (English) Zbl 1416.91190 Scand. Actuar. J. 2018, No. 5, 412-425 (2018). MSC: 91B30 62P05 62M10 PDF BibTeX XML Cite \textit{X. Hu} et al., Scand. Actuar. J. 2018, No. 5, 412--425 (2018; Zbl 1416.91190) Full Text: DOI
Reis, Matthias; Kromer, Justus A.; Klipp, Edda General solution of the chemical master equation and modality of marginal distributions for hierarchic first-order reaction networks. (English) Zbl 1397.92784 J. Math. Biol. 77, No. 2, 377-419 (2018). MSC: 92E20 62E10 34A30 PDF BibTeX XML Cite \textit{M. Reis} et al., J. Math. Biol. 77, No. 2, 377--419 (2018; Zbl 1397.92784) Full Text: DOI
Mohammadpour, M.; Bakouch, Hassan S.; Shirozhan, M. Poisson-Lindley INAR(1) model with applications. (English) Zbl 1395.62278 Braz. J. Probab. Stat. 32, No. 2, 262-280 (2018). MSC: 62M10 62P10 PDF BibTeX XML Cite \textit{M. Mohammadpour} et al., Braz. J. Probab. Stat. 32, No. 2, 262--280 (2018; Zbl 1395.62278) Full Text: DOI Euclid
Iacus, Stefano M.; Yoshida, Nakahiro Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. (English) Zbl 1458.60004 Use R!. Cham: Springer (ISBN 978-3-319-55567-6/pbk; 978-3-319-55569-0/ebook). xiii, 268 p. (2018). Reviewer: Irina Ioana Mohorianu (Oxford) MSC: 60-02 60-04 60G05 68N15 PDF BibTeX XML Cite \textit{S. M. Iacus} and \textit{N. Yoshida}, Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. Cham: Springer (2018; Zbl 1458.60004) Full Text: DOI
Wang, Wenyuan; Wu, Xueyuan; Peng, Xingchun; Yuen, Kam C. A note on joint occupation times of spectrally negative Lévy risk processes with tax. (English) Zbl 1392.60044 Stat. Probab. Lett. 140, 13-22 (2018). MSC: 60G51 60E10 PDF BibTeX XML Cite \textit{W. Wang} et al., Stat. Probab. Lett. 140, 13--22 (2018; Zbl 1392.60044) Full Text: DOI
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter A non-parametric Bayesian approach to decompounding from high frequency data. (English) Zbl 1395.62079 Stat. Inference Stoch. Process. 21, No. 1, 53-79 (2018). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 62G07 62F15 62G20 PDF BibTeX XML Cite \textit{S. Gugushvili} et al., Stat. Inference Stoch. Process. 21, No. 1, 53--79 (2018; Zbl 1395.62079) Full Text: DOI arXiv