Strietzel, Philipp Lukas; Behme, Anita Moments of the ruin time in a Lévy risk model. (English) Zbl 1508.91486 Methodol. Comput. Appl. Probab. 24, No. 4, 3075-3099 (2022). MSC: 91G05 60G51 60G40 PDFBibTeX XMLCite \textit{P. L. Strietzel} and \textit{A. Behme}, Methodol. Comput. Appl. Probab. 24, No. 4, 3075--3099 (2022; Zbl 1508.91486) Full Text: DOI arXiv
Okhli, Kheirolah; Jabbari Nooghabi, Mehdi On the contaminated exponential distribution: a theoretical Bayesian approach for modeling positive-valued insurance claim data with outliers. (English) Zbl 1508.91482 Appl. Math. Comput. 392, Article ID 125712, 11 p. (2021). MSC: 91G05 60E05 62F15 91G70 PDFBibTeX XMLCite \textit{K. Okhli} and \textit{M. Jabbari Nooghabi}, Appl. Math. Comput. 392, Article ID 125712, 11 p. (2021; Zbl 1508.91482) Full Text: DOI
Kentia, Klebert; Kühn, Christoph Nash equilibria for game contingent claims with utility-based hedging. (English) Zbl 1417.91505 SIAM J. Control Optim. 56, No. 6, 3948-3972 (2018). MSC: 91G20 60G40 91A15 91A55 91B16 PDFBibTeX XMLCite \textit{K. Kentia} and \textit{C. Kühn}, SIAM J. Control Optim. 56, No. 6, 3948--3972 (2018; Zbl 1417.91505) Full Text: DOI arXiv Link
Robe-Voinea, Elena-Gratiela; Vernic, Raluca Fast Fourier transform for multivariate aggregate claims. (English) Zbl 1395.62329 Comput. Appl. Math. 37, No. 1, 205-219 (2018). MSC: 62P05 91B30 65T50 91G60 PDFBibTeX XMLCite \textit{E.-G. Robe-Voinea} and \textit{R. Vernic}, Comput. Appl. Math. 37, No. 1, 205--219 (2018; Zbl 1395.62329) Full Text: DOI
Răducan, Anişoara Maria; Vernic, Raluca; Zbăganu, Gheorghiţă On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims. (English) Zbl 1401.91186 Scand. Actuar. J. 2017, No. 5, 441-451 (2017). MSC: 91B30 60E05 PDFBibTeX XMLCite \textit{A. M. Răducan} et al., Scand. Actuar. J. 2017, No. 5, 441--451 (2017; Zbl 1401.91186) Full Text: DOI
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys Polynomial approximations for bivariate aggregate claims amount probability distributions. (English) Zbl 1380.65023 Methodol. Comput. Appl. Probab. 19, No. 1, 151-174 (2017). MSC: 65C50 62E17 33C45 62P05 91B30 PDFBibTeX XMLCite \textit{P.-O. Goffard} et al., Methodol. Comput. Appl. Probab. 19, No. 1, 151--174 (2017; Zbl 1380.65023) Full Text: DOI
Dickson, David C. M.; Qazvini, Marjan Gerber-Shiu analysis of a risk model with capital injections. (English) Zbl 1394.91209 Eur. Actuar. J. 6, No. 2, 409-440 (2016). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{D. C. M. Dickson} and \textit{M. Qazvini}, Eur. Actuar. J. 6, No. 2, 409--440 (2016; Zbl 1394.91209) Full Text: DOI
Garrido, J.; Genest, C.; Schulz, J. Generalized linear models for dependent frequency and severity of insurance claims. (English) Zbl 1373.62515 Insur. Math. Econ. 70, 205-215 (2016). MSC: 62P05 62J12 91B30 PDFBibTeX XMLCite \textit{J. Garrido} et al., Insur. Math. Econ. 70, 205--215 (2016; Zbl 1373.62515) Full Text: DOI
Davis, Mark H. A.; Yoshikawa, Daisuke A note on utility-based pricing in models with transaction costs. (English) Zbl 1319.91140 Math. Financ. Econ. 9, No. 3, 231-245 (2015). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 PDFBibTeX XMLCite \textit{M. H. A. Davis} and \textit{D. Yoshikawa}, Math. Financ. Econ. 9, No. 3, 231--245 (2015; Zbl 1319.91140) Full Text: DOI Link
Mahmoud, Osama H.; El-Dessouky, Eman A. Estimating the number excess of loss claims using the exponentiated-exponential distribution. (English) Zbl 1296.62208 Adv. Appl. Stat. 38, No. 1, 51-69 (2014). MSC: 62P05 PDFBibTeX XMLCite \textit{O. H. Mahmoud} and \textit{E. A. El-Dessouky}, Adv. Appl. Stat. 38, No. 1, 51--69 (2014; Zbl 1296.62208) Full Text: Link
Wei, Li Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims. (English) Zbl 1355.91049 Acta Math. Appl. Sin., Engl. Ser. 28, No. 1, 31-38 (2012). MSC: 91B30 60K05 62E20 PDFBibTeX XMLCite \textit{L. Wei}, Acta Math. Appl. Sin., Engl. Ser. 28, No. 1, 31--38 (2012; Zbl 1355.91049) Full Text: DOI
Lee, David; Li, Wai Keung; Wong, Tony Siu Tung Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach. (English) Zbl 1285.91061 Insur. Math. Econ. 51, No. 3, 538-550 (2012). MSC: 91B30 60E05 62P05 PDFBibTeX XMLCite \textit{D. Lee} et al., Insur. Math. Econ. 51, No. 3, 538--550 (2012; Zbl 1285.91061) Full Text: DOI
Delong, Łukasz Exponential utility optimization, indifference pricing and hedging for a payment process. (English) Zbl 1236.91124 Appl. Math. 39, No. 2, 211-229 (2012). MSC: 91G20 91B16 93E20 PDFBibTeX XMLCite \textit{Ł. Delong}, Appl. Math. 39, No. 2, 211--229 (2012; Zbl 1236.91124) Full Text: DOI Link
Landriault, David; Shi, Tianxiang; Willmot, Gordon E. Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions. (English) Zbl 1229.91161 Insur. Math. Econ. 49, No. 3, 371-379 (2011). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 49, No. 3, 371--379 (2011; Zbl 1229.91161) Full Text: DOI
Yin, G.; Jin, Zhuo; Yang, Hailiang Asymptotically optimal dividend policy for regime-switching compound Poisson models. (English) Zbl 1204.91061 Acta Math. Appl. Sin., Engl. Ser. 26, No. 4, 529-542 (2010). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 91G50 91B70 PDFBibTeX XMLCite \textit{G. Yin} et al., Acta Math. Appl. Sin., Engl. Ser. 26, No. 4, 529--542 (2010; Zbl 1204.91061) Full Text: DOI
Alai, Daniel H.; Wüthrich, Mario V. Taylor approximations for model uncertainty within the Tweedie exponential dispersion family. (English) Zbl 1180.91158 Astin Bull. 39, No. 2, 453-477 (2009). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{D. H. Alai} and \textit{M. V. Wüthrich}, ASTIN Bull. 39, No. 2, 453--477 (2009; Zbl 1180.91158) Full Text: DOI
Ludkovski, Michael; Young, Virginia R. Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates. (English) Zbl 1141.91531 Insur. Math. Econ. 42, No. 1, 14-30 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{M. Ludkovski} and \textit{V. R. Young}, Insur. Math. Econ. 42, No. 1, 14--30 (2008; Zbl 1141.91531) Full Text: DOI
Hürlimann, Werner The normal Laplace approximation to compound distributions. (English) Zbl 1142.62010 Int. J. Pure Appl. Math. 44, No. 3, 415-424 (2008). MSC: 62E17 60J65 62P05 91B30 PDFBibTeX XMLCite \textit{W. Hürlimann}, Int. J. Pure Appl. Math. 44, No. 3, 415--424 (2008; Zbl 1142.62010)
Borovkov, Konstantin A.; Dickson, David C. M. On the ruin time distribution for a Sparre Andersen process with exponential claim sizes. (English) Zbl 1141.91486 Insur. Math. Econ. 42, No. 3, 1104-1108 (2008). MSC: 91B30 60G40 PDFBibTeX XMLCite \textit{K. A. Borovkov} and \textit{D. C. M. Dickson}, Insur. Math. Econ. 42, No. 3, 1104--1108 (2008; Zbl 1141.91486) Full Text: DOI arXiv
Zhou, Shaowei; Zhao, Mingqing; Zhu, Zheli Multitype-insurance Poisson risk model when claims obey exponential distribution. (Multitype-insurance poisson risk model when claims obey exponential distribution.) (Chinese. English summary) Zbl 1174.91535 J. Shandong Univ., Nat. Sci. 42, No. 1, 28-30, 54 (2007). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{S. Zhou} et al., J. Shandong Univ., Nat. Sci. 42, No. 1, 28--30, 54 (2007; Zbl 1174.91535)
Dickson, David C. M.; Hughes, Barry D.; Lianzeng, Zhang The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims. (English) Zbl 1144.91025 Scand. Actuar. J. 2005, No. 5, 358-376 (2005). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 PDFBibTeX XMLCite \textit{D. C. M. Dickson} et al., Scand. Actuar. J. 2005, No. 5, 358--376 (2005; Zbl 1144.91025) Full Text: DOI Link
Tymko, A. V. On the ruin probability of an insurance company when the claim sizes are distributed as a mixture of exponential distributions. (Russian. English summary) Zbl 1164.62427 Prykl. Stat., Aktuarna Finans. Mat. 2005, No. 1-2, 172-179 (2005). MSC: 62P05 91B30 60K10 PDFBibTeX XMLCite \textit{A. V. Tymko}, Prykl. Stat., Aktuarna Finans. Mat. 2005, No. 1--2, 172--179 (2005; Zbl 1164.62427)
Bratyk, Mykhajlo V. On an estimation of the survival probability for an insurance company, that invests its capital in the case of exponential distribution of claims. (Ukrainian. English summary) Zbl 1101.62374 Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2005, No. 1, 26-30 (2005). MSC: 62P05 91B28 PDFBibTeX XMLCite \textit{M. V. Bratyk}, Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2005, No. 1, 26--30 (2005; Zbl 1101.62374)
Stummer, Wolfgang Exponentials, diffusions, finance, entropy and information. (English) Zbl 1140.91013 Aachen: Shaker Verlag (ISBN 3-8322-3186-2/pbk). viii, 223 p. (2004). Reviewer: Silvia Curteanu (Iaşi) MSC: 91-02 94-02 60-02 62-02 PDFBibTeX XMLCite \textit{W. Stummer}, Exponentials, diffusions, finance, entropy and information. Aachen: Shaker Verlag (2004; Zbl 1140.91013) Full Text: Link
Lokk, Katrin; Pärna, Kalev On risk processes with double barriers. (English) Zbl 1062.91047 Acta Comment. Univ. Tartu. Math. 8, 187-194 (2004). MSC: 91B30 62M99 PDFBibTeX XMLCite \textit{K. Lokk} and \textit{K. Pärna}, Acta Comment. Univ. Tartu. Math. 8, 187--194 (2004; Zbl 1062.91047)
Jasiulewicz, Helena Probability of ruin with variable premium rate in a Markovian environment. (English) Zbl 0999.91048 Insur. Math. Econ. 29, No. 2, 291-296 (2001). Reviewer: Josef Steinebach (Marburg) MSC: 91B30 60J27 60K15 PDFBibTeX XMLCite \textit{H. Jasiulewicz}, Insur. Math. Econ. 29, No. 2, 291--296 (2001; Zbl 0999.91048) Full Text: DOI
De Vylder, F.; Marceau, E. Explicit analytic ruin probabilities for bounded claims. (English) Zbl 0841.62094 Insur. Math. Econ. 16, No. 1, 79-105 (1995). MSC: 62P05 PDFBibTeX XMLCite \textit{F. De Vylder} and \textit{E. Marceau}, Insur. Math. Econ. 16, No. 1, 79--105 (1995; Zbl 0841.62094) Full Text: DOI
Jørgensen, Bent; Paes de Souza, Marta C. Fitting Tweedie’s compound Poisson model to insurance claims data. (English) Zbl 0802.62089 Scand. Actuarial J. 1994, No. 1, 69-93 (1994). MSC: 62P05 62J12 62-04 PDFBibTeX XMLCite \textit{B. Jørgensen} and \textit{M. C. Paes de Souza}, Scand. Actuarial J. 1994, No. 1, 69--93 (1994; Zbl 0802.62089) Full Text: DOI
Michel, Reinhard On probabilities of large claims that are compound Poisson distributed. (English) Zbl 0783.62084 Bl., Dtsch. Ges. Versicherungsmath. 21, No. 2, 207-211 (1993). MSC: 62P05 PDFBibTeX XMLCite \textit{R. Michel}, Bl., Dtsch. Ges. Versicherungsmath. 21, No. 2, 207--211 (1993; Zbl 0783.62084) Full Text: DOI
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas A large claim index. (English) Zbl 0766.62061 Mitt., Schweiz. Ver. Versicherungsmath. 1992, No. 2, 143-156 (1992). Reviewer: G.Lord (Princeton) MSC: 62P05 91B82 PDFBibTeX XMLCite \textit{M. Aebi} et al., Mitt., Schweiz. Ver. Versicherungsmath. 1992, No. 2, 143--156 (1992; Zbl 0766.62061)
Willmot, Gordon E. The total claims distribution under inflationary conditions. (English) Zbl 0679.62094 Scand. Actuarial J. 1989, No. 1, 1-12 (1989). MSC: 62P05 62E15 62E99 PDFBibTeX XMLCite \textit{G. E. Willmot}, Scand. Actuarial J. 1989, No. 1, 1--12 (1989; Zbl 0679.62094) Full Text: DOI
Björk, Tomas; Grandell, Jan Exponential inequalities for ruin probabilities in the Cox case. (English) Zbl 0668.62072 Scand. Actuarial J. 1988, No. 1-2, 77-111 (1988). Reviewer: E.Shiu MSC: 62P05 60K20 PDFBibTeX XMLCite \textit{T. Björk} and \textit{J. Grandell}, Scand. Actuarial J. 1988, No. 1--2, 77--111 (1988; Zbl 0668.62072) Full Text: DOI
Jacque, Laurent L.; Tapiero, Charles S. Premium valuation in international insurance. (English) Zbl 0637.62099 Scand. Actuarial J. 1987, 50-61 (1987). Reviewer: G.Lord MSC: 62P05 65C99 90C39 PDFBibTeX XMLCite \textit{L. L. Jacque} and \textit{C. S. Tapiero}, Scand. Actuarial J. 1987, 50--61 (1987; Zbl 0637.62099) Full Text: DOI
Jones, M. C. On the relationship between the Poisson-exponential model and the non- central chi-squared distribution. (English) Zbl 0633.62111 Scand. Actuarial J. 1987, 104-109 (1987). MSC: 62P05 PDFBibTeX XMLCite \textit{M. C. Jones}, Scand. Actuarial J. 1987, 104--109 (1987; Zbl 0633.62111) Full Text: DOI
Kaminsky, Kenneth S. Prediction of IBNR claim counts by modelling the distribution of report lags. (English) Zbl 0614.62134 Insur. Math. Econ. 6, 151-159 (1987). MSC: 62P05 PDFBibTeX XMLCite \textit{K. S. Kaminsky}, Insur. Math. Econ. 6, 151--159 (1987; Zbl 0614.62134) Full Text: DOI
Martin-Löf, Anders Entropy, a useful concept in risk theory. (English) Zbl 0649.62098 Scand. Actuarial J. 1986, No. 3-4, 223-235 (1986). MSC: 62P05 PDFBibTeX XMLCite \textit{A. Martin-Löf}, Scand. Actuarial J. 1986, 223--235 (1986; Zbl 0649.62098) Full Text: DOI
Kremer, E. On robust premium principles. (English) Zbl 0609.62135 Insur. Math. Econ. 5, 271-274 (1986). MSC: 62P05 PDFBibTeX XMLCite \textit{E. Kremer}, Insur. Math. Econ. 5, 271--274 (1986; Zbl 0609.62135) Full Text: DOI