## Found 155 Documents (Results 1–100)

100
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### Normal deviation of synchronization of stochastic coupled systems. (English)Zbl 07461167

MSC:  60H10 34F05
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### Optimal investment strategies with a minimum performance constraint. (English)Zbl 1476.91137

MSC:  91G10 60G44
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### Utility maximization with habit formation of interaction. (English)Zbl 1476.91154

MSC:  91G10 93E03
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### Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk. (English)Zbl 1466.91268

MSC:  91G05 91G10 60G51
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MSC:  91G15
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### Mean-variance dynamic optimality for DC pension schemes. (English)Zbl 1452.91275

MSC:  91G05 91G10 90C39
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### Optimal investment strategies for an insurer with SAHARA utility. (English)Zbl 1463.91141

MSC:  91G10 91B16
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### Optimal behavioral portfolio selection for an individual under inflation risk. (Chinese. English summary)Zbl 1449.91123

MSC:  91G10 60G44
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### General rumor blocking: an efficient random algorithm with martingale approach. (English)Zbl 1436.91095

MSC:  91D30 60G42 68W20
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MSC:  62-XX
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### Optimal retirement planning under partial information. (English)Zbl 1437.91385

MSC:  91G05 91G10 60G44
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### Pricing compound option under Ornstein-Uhlenbeck process and Hull-White rate. (Chinese. English summary)Zbl 1438.91162

MSC:  91G20 91G30 60J60
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### Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. (English)Zbl 1422.91736

MSC:  91G30 60G44 60G51
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### The value of information for optimal portfolio management. (English)Zbl 1397.62522

Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4–6, 2018. Cham: Springer (ISBN 978-3-319-89823-0/hbk; 978-3-319-89824-7/ebook). 225-229 (2018).
MSC:  62P05 62B10 60G44
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### The martingale approach for vulnerable binary option pricing under stochastic interest rate. (English)Zbl 1427.91278

MSC:  91G20 60H30 91G50
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### Optimal investment strategies for participating contracts. (English)Zbl 1416.91205

MSC:  91B30 93E20 60G44
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### Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion. (English)Zbl 1380.91088

MSC:  91B30 91G10 60G51
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### Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (English)Zbl 1396.91307

MSC:  91B30 91G10 93E20
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### The martingale approach for the evaluation of clinical studies in the context of survival analysis. (Der Martingalansatz zur Auswertung klinischer Studien im Rahmen der Survival Analysis.) (German)Zbl 1372.62071

MSC:  62P10 62N05 60G44
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### Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. (English)Zbl 1394.91203

MSC:  91B30 91G10 93E20
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### Optimal stopping with random maturity under nonlinear expectations. (English)Zbl 1373.60078

MSC:  60G40 60H30
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### Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time. (English)Zbl 1414.91338

MSC:  91G10 93E20 91G70
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### Expected utility maximization for exponential Lévy models with option and information processes. (English. Russian original)Zbl 1358.91097

Theory Probab. Appl. 61, No. 1, 107-128 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 26-52 (2016).
MSC:  91G10 60G51 91G20
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### Optimal life insurance with no-borrowing constraints: duality approach and example. (English)Zbl 1401.91211

MSC:  91B30 91G10 60G48
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### Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. (English)Zbl 1346.91204

MSC:  91G10 60H30
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MSC:  91G10
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### On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay. (English)Zbl 1337.60069

MSC:  60G40 60G44 35R35
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### Optimal investment and risk control policies for an insurer: expected utility maximization. (English)Zbl 1304.91141

MSC:  91B30 91G10 60J75
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MSC:  91G20
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### Multitype branching Brownian motion and traveling waves. (English)Zbl 1303.60077

MSC:  60J80 35C07
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MSC:  91G10
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### Evaluating hybrid products: the interplay between financial and insurance markets. (English)Zbl 1281.91098

Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VII. Centro Stefano Franscini, Ascona (Ticino), Switzerland, May 23–27, 2011. Basel: Birkhäuser/Springer (ISBN 978-3-0348-0544-5/hbk; 978-3-0348-0545-2/ebook). Progress in Probability 67, 285-304 (2013).
MSC:  91B30 91G20 91B25 91G10 60G44 60H30
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### Diffusion-based models for financial markets without martingale measures. (English)Zbl 1306.91125

Biagini, Francesca (ed.) et al., Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer (ISBN 978-1-4471-4925-5/pbk; 978-1-4471-4926-2/ebook). EAA Series, 45-81 (2013).
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### Pricing of unemployment insurance products with doubly stochastic Markov chains. (English)Zbl 1246.91050

MSC:  91B30 91B25 60J10
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### Pricing defaultable bonds in a Markov modulated market. (English)Zbl 1248.91039

MSC:  91B24 91G20 91B70
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### A martingale approach to optimal portfolios with jump-diffusions. (English)Zbl 1251.91055

MSC:  91G10 60G40 60G44 91B16 60J75 60J60
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### Fluctuations in Markov processes. Time symmetry and martingale approximation. (English)Zbl 1396.60002

Grundlehren der Mathematischen Wissenschaften 345. Berlin: Springer (ISBN 978-3-642-29879-0/hbk; 978-3-642-29880-6/ebook). xvii, 491 p. (2012).
MSC:  60-02 60J25 60J60
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### Ruin probabilities for the perturbed compound Poisson risk process with investment. (English)Zbl 1315.91034

MSC:  91B30 60J25 60J65 60J75 60K10
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### On the structure of discounted optimal stopping problems for one-dimensional diffusions. (English)Zbl 1250.60020

Reviewer: Jan Kallsen (Kiel)
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### Optimal investment for the insurer in the Lévy market under the mean-variance criterion. (English)Zbl 1291.91196

MSC:  91G10 91B30 60H10 93E20

### Pricing without equivalent martingale measures under complete and incomplete observation. (English)Zbl 1229.91132

Chiarella, Carl (ed.) et al., Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference “Quantitative methods in finance”, Sydney, Australia, December 2009. Berlin: Springer (ISBN 978-3-642-03478-7/hbk). 99-121 (2010).
MSC:  91B25 91B24 91G80
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### The martingale pricing for convertible bonds with risk in a jump-diffusion model. (Chinese. English summary)Zbl 1224.91032

MSC:  91B25 91G40 60J70 60J75

### On minimax duality in optimal stopping. (English)Zbl 1319.60085

MSC:  60G40 62L15
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### Coupling methods for multivalued stochastic differential equations and applications to Harnack’s inequality. (Chinese. English summary)Zbl 1212.60109

MSC:  60H10 60H35

### The numeraire portfolio in discrete time: existence, related concepts and applications. (English)Zbl 1181.91294

Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 303-326 (2009).
MSC:  91G10 91B30 91-02 91G80 60G44

### Optimal consumption and portfolio selection with portfolio constraints. (English)Zbl 1180.91269

MSC:  91G10 91G80
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### Ruin probabilities of a dual Markov-modulated risk model. (English)Zbl 1292.91100

MSC:  91B30 60K30
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### Portfolio selection at proportional transaction costs. (Chinese. English summary)Zbl 1199.91191

MSC:  91G10 91G60 65C05

### Optimal statistical inference in financial engineering. (English)Zbl 1152.62074

Boca Raton, FL: Chapman & Hall/CRC (ISBN 978-1-58488-591-7/hbk; 978-1-4200-1103-6/ebook). xii, 366 p. (2008).
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### Quadratic hedging methods for defaultable claims. (English)Zbl 1142.91028

MSC:  91B24 60H30 60G48
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### Testing dynamic rules of animal cognitive processing with longitudinal distribution data. (English)Zbl 1140.62087

MSC:  62P12 92D50 62G10

### Optimal investment for an insurer: the martingale approach. (English)Zbl 1141.91470

MSC:  91G10 91B30 60G44 60H10 60H30
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### A Bayesian-martingale approach to the general disorder problem. (English)Zbl 1121.60045

MSC:  60G44 60H15 62L15
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### Multidimensional diffusion processes. Reprint of the 2nd correted printing (1997). (English)Zbl 1103.60005

Classics in Mathematics. Berlin: Springer (ISBN 3-540-28998-4/hbk). xii, 338 p. (2006).

### A continuous time model for election timing. (English)Zbl 1183.91044

MSC:  91B12 91F10 60H30

### On arbitrage and Markovian short rates in fractional bond markets. (English)Zbl 1060.60083

MSC:  60J65 91B28
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### A pregenerator for Burgers equation forced by conservative noise. (English)Zbl 0992.35087

MSC:  35Q53 35R60 76F20
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MSC:  60F05

MSC:  60G40
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### Derivative pricing and logarithmic portfolio optimization in incomplete markets. (English)Zbl 0990.91024

Freiburg i.Br.: Univ. Freiburg, Mathematische Fakultät, vi, 93 p. (2001).

### A guided tour through quadratic hedging approaches. (English)Zbl 0992.91036

Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. Handbooks in Mathematical Finance. 538-574 (2001).

### The phase diagram of a spin glass model. (English)Zbl 0989.82034

MSC:  82D30 82B20 82B44
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### On optimal portfolio choice under stochastic interest rates. (English)Zbl 0979.91032

MSC:  91B28 91B30
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MSC:  91B28
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### Martingales versus PDEs in finance: an equivalence result with examples. (English)Zbl 0996.91069

MSC:  91G20 60H30 62P05
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### Convergence of singularly perturbed diffusion with 1-dimension reflecting boundary. (Chinese. English summary)Zbl 0971.60067

MSC:  60H10 60J60

### Lundberg approximations for compound distributions with insurance applications. (English)Zbl 0962.62099

Lecture Notes in Statistics. 156. New York, NY: Springer. x, 250 p. (2000).
MSC:  62P05 62-02 91B30 91-02

### Actuarial versus financial pricing of insurance. (Russian)Zbl 1063.91520

MSC:  91B30 62P20 60G46

MSC:  91B28
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### Logarithmic Sobolev inequality for some models of random walks. (English)Zbl 0943.60062

MSC:  60H30 60G50
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### The pricing of the preferred hedging contingent claims under transaction costs. (Chinese. English summary)Zbl 0929.91033

MSC:  91B28 60G48

### A convergence theorem for a special class of stochastic processes. (English)Zbl 0929.60030

MSC:  60G42 60F15
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### A transfer theorem for multitype processes and applications. (English)Zbl 0899.60072

Ahsanullah, M. (ed.), Applied statistical science, II. International workshop on Recent development in applied statistics, August 21–23, 1996, Brawijawa Univ., Malang, Indonesia. Commack, NY: Nova Science Publishers. 37-56 (1997).
MSC:  60J80 60G70

### Estimation for rainfall-runoff modeled as a partially observed Markov process. (English)Zbl 0892.76072

MSC:  76M35 86A05 60J20
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### Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth. (English)Zbl 0875.90026

MSC:  91B28 91B62
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### General equilibrium with constant relative risk aversion and Vasicek interest rates. (English)Zbl 0915.90018

MSC:  91B28 60J70 91B30
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### Martingale approach to pricing perpetual American options on two stocks. (English)Zbl 0919.90009

MSC:  91G20 60G40
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### Equilibrium state prices in a stochastic volatility model. (English)Zbl 0915.90027

MSC:  91G20 93E20
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### Managing a value-preserving portfolio over time. (English)Zbl 0924.90028

MSC:  91B28 91B42
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### The ASTA property. (English)Zbl 0845.60098

Dshalalow, Jewgeni H. (ed.), Advances in queueing. Theory, methods, and open problems. Boca Raton, FL: CRC Press. Probability and Stochastics Series. 195-224 (1995).
MSC:  60K25 60K20

### Four concepts in decision theory based on order completeness of $$L_ 1$$. (English)Zbl 0841.62002

Mammitzsch, Volker (ed.) et al., Proceedings of the 2nd Gauss symposium. Conference B: Statistical sciences, Munich, Germany, August 2-7, 1993. Berlin: Walter de Gruyter. Symposia Gaussiana. 197-203 (1995).
MSC:  62C05 62B99

### Marked point processes on the real line. The dynamic approach. (English)Zbl 0829.60038

Probability and Its Applications. New York, NY: Springer-Verlag. xiv, 490 p. (1995).
Reviewer: V.Schmidt (Ulm)
MSC:  60G55 60-02

### Continuous-time portfolio optimization under terminal wealth constraints. (English)Zbl 0836.90011

MSC:  91G10 91B62
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### Risk, time, and financial decision. (English)Zbl 0866.90022

Munier, Bertrand (ed.) et al., Models and experiments in risk and rationality. Dordrecht: Kluwer Academic Publishers. Theory Decis. Libr., Ser. B. 29, 307-321 (1994).
MSC:  91B28

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