Tong, Hongzhi Nonasymptotic analysis of robust regression with modified Huber’s loss. (English) Zbl 07667588 J. Complexity 76, Article ID 101744, 17 p. (2023). MSC: 62G35 62J02 68T05 PDF BibTeX XML Cite \textit{H. Tong}, J. Complexity 76, Article ID 101744, 17 p. (2023; Zbl 07667588) Full Text: DOI OpenURL
Kadankova, Tetyana; Ng, Wing Chun Vincent Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis. (English) Zbl 07664771 Random Oper. Stoch. Equ. 31, No. 1, 47-63 (2023). MSC: 60G22 26A33 82C31 60G05 60H30 91B30 PDF BibTeX XML Cite \textit{T. Kadankova} and \textit{W. C. V. Ng}, Random Oper. Stoch. Equ. 31, No. 1, 47--63 (2023; Zbl 07664771) Full Text: DOI OpenURL
Khatir, Yamina; Benziadi, Fatima; Kandouci, Abdeldjebbar On the stochastic flow generated by the one default model in one-dimensional case. (English) Zbl 07664769 Random Oper. Stoch. Equ. 31, No. 1, 9-23 (2023). MSC: 60G15 60G17 60H07 60J55 PDF BibTeX XML Cite \textit{Y. Khatir} et al., Random Oper. Stoch. Equ. 31, No. 1, 9--23 (2023; Zbl 07664769) Full Text: DOI OpenURL
Baringhaus, Ludwig; Gaigall, Daniel A goodness-of-fit test for the compound Poisson exponential model. (English) Zbl 07664753 J. Multivariate Anal. 195, Article ID 105154, 22 p. (2023). MSC: 62H15 62F40 PDF BibTeX XML Cite \textit{L. Baringhaus} and \textit{D. Gaigall}, J. Multivariate Anal. 195, Article ID 105154, 22 p. (2023; Zbl 07664753) Full Text: DOI OpenURL
Zhao, Pingping; Xiang, Kaili; Chen, Peimin \(N\)-fold compound option pricing with technical risk under fractional jump-diffusion model. (English) Zbl 07664567 Optimization 72, No. 3, 713-735 (2023). MSC: 90Cxx 49-XX PDF BibTeX XML Cite \textit{P. Zhao} et al., Optimization 72, No. 3, 713--735 (2023; Zbl 07664567) Full Text: DOI OpenURL
Branger, Nicole; Chen, An; Mahayni, Antje; Thai Nguyen Optimal collective investment: an analysis of individual welfare. (English) Zbl 07663275 Math. Financ. Econ. 17, No. 1, 101-125 (2023). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{N. Branger} et al., Math. Financ. Econ. 17, No. 1, 101--125 (2023; Zbl 07663275) Full Text: DOI OpenURL
Hurd, T. R. Systemic cascades on inhomogeneous random financial networks. (English) Zbl 07663271 Math. Financ. Econ. 17, No. 1, 1-21 (2023). MSC: 91G45 PDF BibTeX XML Cite \textit{T. R. Hurd}, Math. Financ. Econ. 17, No. 1, 1--21 (2023; Zbl 07663271) Full Text: DOI arXiv OpenURL
Ghosh, Mrinal K.; Golui, Subrata; Pal, Chandan; Pradhan, Somnath Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion. (English) Zbl 07663001 Stochastic Processes Appl. 158, 40-74 (2023). MSC: 91A15 91A50 91A10 60J20 PDF BibTeX XML Cite \textit{M. K. Ghosh} et al., Stochastic Processes Appl. 158, 40--74 (2023; Zbl 07663001) Full Text: DOI arXiv OpenURL
Cheung, Eric C. K.; Lau, Hayden; Willmot, Gordon E.; Woo, Jae-Kyung Finite-time ruin probabilities using bivariate Laguerre series. (English) Zbl 07662329 Scand. Actuar. J. 2023, No. 2, 153-190 (2023). MSC: 91G05 45K05 62P05 PDF BibTeX XML Cite \textit{E. C. K. Cheung} et al., Scand. Actuar. J. 2023, No. 2, 153--190 (2023; Zbl 07662329) Full Text: DOI OpenURL
Surya, Budhi; Wang, Wenyuan; Zhao, Xianghua; Zhou, Xiaowen Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process. (English) Zbl 07662327 Scand. Actuar. J. 2023, No. 2, 97-122 (2023). MSC: 91G05 60G51 60J35 PDF BibTeX XML Cite \textit{B. Surya} et al., Scand. Actuar. J. 2023, No. 2, 97--122 (2023; Zbl 07662327) Full Text: DOI arXiv OpenURL
Zeng, Keyi; Zhuang, Weiwei; Hu, Taizhong Dispersive orderings induced by differences of inter risk measures. (English) Zbl 07661255 J. Appl. Probab. 60, No. 1, 358-365 (2023). MSC: 91G70 60E15 PDF BibTeX XML Cite \textit{K. Zeng} et al., J. Appl. Probab. 60, No. 1, 358--365 (2023; Zbl 07661255) Full Text: DOI OpenURL
Hernández-Bustos, Diego; Hernández-Hernández, Daniel Portfolio management under drawdown constraint in discrete-time financial markets. (English) Zbl 07661242 J. Appl. Probab. 60, No. 1, 127-147 (2023). MSC: 91G10 90C40 PDF BibTeX XML Cite \textit{D. Hernández-Bustos} and \textit{D. Hernández-Hernández}, J. Appl. Probab. 60, No. 1, 127--147 (2023; Zbl 07661242) Full Text: DOI OpenURL
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: 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 OpenURL
Golui, Subrata; Pal, Chandan Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion on a general state space. (English) Zbl 07661019 Stochastic Anal. Appl. 41, No. 2, 327-357 (2023). MSC: 91A15 91A10 90C40 PDF BibTeX XML Cite \textit{S. Golui} and \textit{C. Pal}, Stochastic Anal. Appl. 41, No. 2, 327--357 (2023; Zbl 07661019) Full Text: DOI OpenURL
Uğurlu, Kerem A new coherent multivariate average-value-at-risk. (English) Zbl 07661009 Optimization 72, No. 2, 493-519 (2023). MSC: 91G70 91G40 PDF BibTeX XML Cite \textit{K. Uğurlu}, Optimization 72, No. 2, 493--519 (2023; Zbl 07661009) Full Text: DOI OpenURL
Cahan, Ercument; Bai, Jushan; Ng, Serena Factor-based imputation of missing values and covariances in panel data of large dimensions. (English) Zbl 07659414 J. Econom. 233, No. 1, 113-131 (2023). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{E. Cahan} et al., J. Econom. 233, No. 1, 113--131 (2023; Zbl 07659414) Full Text: DOI arXiv OpenURL
Wang, Tong Bear beta or speculative beta? – Reconciling the evidence on downside risk premium. (English) Zbl 07659247 Rev. Finance 27, No. 1, 325-367 (2023). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{T. Wang}, Rev. Finance 27, No. 1, 325--367 (2023; Zbl 07659247) Full Text: DOI OpenURL
Maurer, Thomas A.; Tô, Thuy-Duong; Tran, Ngoc-Khanh Market timing and predictability in FX markets. (English) Zbl 07659244 Rev. Finance 27, No. 1, 223-246 (2023). MSC: 91G15 PDF BibTeX XML Cite \textit{T. A. Maurer} et al., Rev. Finance 27, No. 1, 223--246 (2023; Zbl 07659244) Full Text: DOI OpenURL
Tse, Yu-Kuen Nonlife actuarial models. Theory, methods and evaluation (to appear). 2nd expanded edition. (English) Zbl 07658214 International Series on Actuarial Science. Cambridge: Cambridge University Press (ISBN 978-1-00-931507-4/hbk). (2023). MSC: 91-02 62-02 91G05 62P05 65C05 PDF BibTeX XML OpenURL
Yao, Qianyi; Fan, Ruguo; Chen, Rongkai; Qian, Rourou A model of the enterprise supply chain risk propagation based on partially mapping two-layer complex networks. (English) Zbl 07658118 Physica A 613, Article ID 128506, 18 p. (2023). MSC: 82-XX PDF BibTeX XML Cite \textit{Q. Yao} et al., Physica A 613, Article ID 128506, 18 p. (2023; Zbl 07658118) Full Text: DOI OpenURL
Vernic, Raluca On a fuzzy discretization of continuous distributions with applications to risk models. (English) Zbl 07657530 Comput. Appl. Math. 42, No. 1, Paper No. 61, 26 p. (2023). MSC: 60A86 91B05 91G05 PDF BibTeX XML Cite \textit{R. Vernic}, Comput. Appl. Math. 42, No. 1, Paper No. 61, 26 p. (2023; Zbl 07657530) Full Text: DOI OpenURL
Wilkens, Sascha; Moorhouse, Joe Quantum computing for financial risk measurement. (English) Zbl 07657163 Quantum Inf. Process. 22, No. 1, Paper No. 51, 38 p. (2023). MSC: 81P68 PDF BibTeX XML Cite \textit{S. Wilkens} and \textit{J. Moorhouse}, Quantum Inf. Process. 22, No. 1, Paper No. 51, 38 p. (2023; Zbl 07657163) Full Text: DOI OpenURL
Kuchibhotla, Arun K.; Berk, Richard A. Nested conformal prediction sets for classification with applications to probation data. (English) Zbl 07656997 Ann. Appl. Stat. 17, No. 1, 761-785 (2023). MSC: 62Pxx PDF BibTeX XML Cite \textit{A. K. Kuchibhotla} and \textit{R. A. Berk}, Ann. Appl. Stat. 17, No. 1, 761--785 (2023; Zbl 07656997) Full Text: DOI arXiv OpenURL
Stark, Philip B. ALPHA: audit that learns from previously hand-audited ballots. (English) Zbl 07656993 Ann. Appl. Stat. 17, No. 1, 641-679 (2023). MSC: 62Pxx PDF BibTeX XML Cite \textit{P. B. Stark}, Ann. Appl. Stat. 17, No. 1, 641--679 (2023; Zbl 07656993) Full Text: DOI arXiv OpenURL
Dupuis, Debbie J.; Engelke, Sebastian; Trapin, Luca Modeling panels of extremes. (English) Zbl 07656986 Ann. Appl. Stat. 17, No. 1, 498-517 (2023). MSC: 62Pxx PDF BibTeX XML Cite \textit{D. J. Dupuis} et al., Ann. Appl. Stat. 17, No. 1, 498--517 (2023; Zbl 07656986) Full Text: DOI arXiv OpenURL
Wang, Emily T.; Chiang, Sharon; Haneef, Zulfi; Rao, Vikram R.; Moss, Robert; Vannucci, Marina Bayesian non-homogeneous hidden Markov model with variable selection for investigating drivers of seizure risk cycling. (English) Zbl 07656979 Ann. Appl. Stat. 17, No. 1, 333-356 (2023). MSC: 62Pxx PDF BibTeX XML Cite \textit{E. T. Wang} et al., Ann. Appl. Stat. 17, No. 1, 333--356 (2023; Zbl 07656979) Full Text: DOI arXiv OpenURL
Kpegli, Yao Thibaut; Corgnet, Brice; Zylbersztejn, Adam All at once! A comprehensive and tractable semi-parametric method to elicit prospect theory components. (English) Zbl 07656948 J. Math. Econ. 104, Article ID 102790, 26 p. (2023). MSC: 91B16 PDF BibTeX XML Cite \textit{Y. T. Kpegli} et al., J. Math. Econ. 104, Article ID 102790, 26 p. (2023; Zbl 07656948) Full Text: DOI OpenURL
Heller, Yuval; Nehama, Ilan Evolutionary foundation for heterogeneity in risk aversion. (English) Zbl 07656701 J. Econ. Theory 208, Article ID 105617, 16 p. (2023). MSC: 91B16 PDF BibTeX XML Cite \textit{Y. Heller} and \textit{I. Nehama}, J. Econ. Theory 208, Article ID 105617, 16 p. (2023; Zbl 07656701) Full Text: DOI arXiv OpenURL
Won, Dong Chul A new approach to the uniqueness of equilibrium with CRRA preferences. (English) Zbl 07656692 J. Econ. Theory 208, Article ID 105607, 26 p. (2023). MSC: 91B16 91B24 PDF BibTeX XML Cite \textit{D. C. Won}, J. Econ. Theory 208, Article ID 105607, 26 p. (2023; Zbl 07656692) Full Text: DOI OpenURL
Barucci, Emilio; Brachetta, Matteo; Marazzina, Daniele Debt redemption fund and fiscal incentives. (English) Zbl 07656600 Commun. Nonlinear Sci. Numer. Simul. 119, Article ID 107094, 18 p. (2023). MSC: 91B64 93E20 91G45 PDF BibTeX XML Cite \textit{E. Barucci} et al., Commun. Nonlinear Sci. Numer. Simul. 119, Article ID 107094, 18 p. (2023; Zbl 07656600) Full Text: DOI OpenURL
Liu, Wenyue; Cadenillas, Abel Optimal insurance contracts for a shot-noise Cox claim process and persistent insured’s actions. (English) Zbl 07656145 Insur. Math. Econ. 109, 69-93 (2023). MSC: 91G05 91B41 93E20 PDF BibTeX XML Cite \textit{W. Liu} and \textit{A. Cadenillas}, Insur. Math. Econ. 109, 69--93 (2023; Zbl 07656145) Full Text: DOI OpenURL
Boado-Penas, M. Carmen; Brinker, Leonie V.; Eisenberg, Julia; Korn, Ralf Managing reputational risk in the decumulation phase of a pension fund. (English) Zbl 07656144 Insur. Math. Econ. 109, 52-68 (2023). MSC: 91G05 PDF BibTeX XML Cite \textit{M. C. Boado-Penas} et al., Insur. Math. Econ. 109, 52--68 (2023; Zbl 07656144) Full Text: DOI OpenURL
Szendrei, Tibor; Varga, Katalin Revisiting vulnerable growth in the Euro Area: identifying the role of financial conditions in the distribution. (English) Zbl 07656080 Econ. Lett. 223, Article ID 110990, 6 p. (2023). MSC: 91B62 91B82 PDF BibTeX XML Cite \textit{T. Szendrei} and \textit{K. Varga}, Econ. Lett. 223, Article ID 110990, 6 p. (2023; Zbl 07656080) Full Text: DOI OpenURL
Christiansen, Marcus C. On the decomposition of an insurer’s profits and losses. (English) Zbl 07656043 Scand. Actuar. J. 2023, No. 1, 51-70 (2023). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{M. C. Christiansen}, Scand. Actuar. J. 2023, No. 1, 51--70 (2023; Zbl 07656043) Full Text: DOI arXiv OpenURL
Liu, Yuxuan; Jiang, Zhengjun; Zhang, Yiwen \(q\)-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump-diffusion risk model. (English) Zbl 07656042 Scand. Actuar. J. 2023, No. 1, 38-50 (2023). MSC: 91G05 60K37 60J74 PDF BibTeX XML Cite \textit{Y. Liu} et al., Scand. Actuar. J. 2023, No. 1, 38--50 (2023; Zbl 07656042) Full Text: DOI OpenURL
Golubin, A. Y.; Gridin, V. N. Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process. (English) Zbl 07656041 Scand. Actuar. J. 2023, No. 1, 20-37 (2023). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Y. Golubin} and \textit{V. N. Gridin}, Scand. Actuar. J. 2023, No. 1, 20--37 (2023; Zbl 07656041) Full Text: DOI OpenURL
Kato, Kensuke; Nakamura, Nobuhiro Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy. (English) Zbl 07655212 Physica A 612, Article ID 128489, 24 p. (2023). MSC: 91G20 91G40 62P05 91G60 65L99 PDF BibTeX XML Cite \textit{K. Kato} and \textit{N. Nakamura}, Physica A 612, Article ID 128489, 24 p. (2023; Zbl 07655212) Full Text: DOI OpenURL
Giansante, Simone; Manfredi, Sabato; Markose, Sheri Fair immunization and network topology of complex financial ecosystems. (English) Zbl 07655195 Physica A 612, Article ID 128456, 13 p. (2023). MSC: 91G45 PDF BibTeX XML Cite \textit{S. Giansante} et al., Physica A 612, Article ID 128456, 13 p. (2023; Zbl 07655195) Full Text: DOI OpenURL
Chen, Yan; Li, Tao; Xin, Zhixian Risk-sensitive mean field games with major and minor players. (English) Zbl 07655159 ESAIM, Control Optim. Calc. Var. 29, Paper No. 6, 71 p. (2023). MSC: 91A16 49N80 PDF BibTeX XML Cite \textit{Y. Chen} et al., ESAIM, Control Optim. Calc. Var. 29, Paper No. 6, 71 p. (2023; Zbl 07655159) Full Text: DOI OpenURL
Casellina, Simone; Landini, Simone; Uberti, Mariacristina Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach. (English) Zbl 07654026 Commun. Nonlinear Sci. Numer. Simul. 118, Article ID 106977, 12 p. (2023). MSC: 91G40 91G70 PDF BibTeX XML Cite \textit{S. Casellina} et al., Commun. Nonlinear Sci. Numer. Simul. 118, Article ID 106977, 12 p. (2023; Zbl 07654026) Full Text: DOI OpenURL
Jiang, Cheng; Sun, Qian; Ye, Tanglin; Wang, Qingyun Identification of systemically important financial institutions in a multiplex financial network: a multi-attribute decision-based approach. (English) Zbl 07652850 Physica A 611, Article ID 128446, 14 p. (2023). MSC: 91G45 90B50 PDF BibTeX XML Cite \textit{C. Jiang} et al., Physica A 611, Article ID 128446, 14 p. (2023; Zbl 07652850) Full Text: DOI OpenURL
Gashi, Bujar; Zhang, Moyu Indefinite risk-sensitive control. (English) Zbl 07650681 Eur. J. Control 69, Article ID 100741, 7 p. (2023). MSC: 93E20 91G10 91G30 PDF BibTeX XML Cite \textit{B. Gashi} and \textit{M. Zhang}, Eur. J. Control 69, Article ID 100741, 7 p. (2023; Zbl 07650681) Full Text: DOI OpenURL
Liu, Shanshan; Liu, Zhaoyang; Liu, Guoxin Optimal dividend strategy for the dual model with surplus-dependent expense. (English) Zbl 07649627 Commun. Stat., Theory Methods 52, No. 3, 543-566 (2023). MSC: 60J25 91B30 93E20 PDF BibTeX XML Cite \textit{S. Liu} et al., Commun. Stat., Theory Methods 52, No. 3, 543--566 (2023; Zbl 07649627) Full Text: DOI OpenURL
Lambert, Philippe Nonparametric density estimation and risk quantification from tabulated sample moments. (English) Zbl 07649591 Insur. Math. Econ. 108, 177-189 (2023). MSC: 91G70 62G05 PDF BibTeX XML Cite \textit{P. Lambert}, Insur. Math. Econ. 108, 177--189 (2023; Zbl 07649591) Full Text: DOI OpenURL
Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong Inf-convolution and optimal allocations for mixed-VaRs. (English) Zbl 07649589 Insur. Math. Econ. 108, 156-164 (2023). MSC: 91G70 PDF BibTeX XML Cite \textit{Z. Xia} et al., Insur. Math. Econ. 108, 156--164 (2023; Zbl 07649589) Full Text: DOI OpenURL
Barczy, Mátyás; K. Nedényi, Fanni; Sütő, László Probability equivalent level of value at risk and higher-order expected shortfalls. (English) Zbl 07649587 Insur. Math. Econ. 108, 107-128 (2023). MSC: 91G70 PDF BibTeX XML Cite \textit{M. Barczy} et al., Insur. Math. Econ. 108, 107--128 (2023; Zbl 07649587) Full Text: DOI arXiv OpenURL
Li, Han; Liu, Haibo; Tang, Qihe; Yuan, Zhongyi Pricing extreme mortality risk in the wake of the COVID-19 pandemic. (English) Zbl 07649586 Insur. Math. Econ. 108, 84-106 (2023). MSC: 91G05 60J74 PDF BibTeX XML Cite \textit{H. Li} et al., Insur. Math. Econ. 108, 84--106 (2023; Zbl 07649586) Full Text: DOI OpenURL
Denuit, Michel; Robert, Christian Y. From risk reduction to risk elimination by conditional mean risk sharing of independent losses. (English) Zbl 07649584 Insur. Math. Econ. 108, 46-59 (2023). MSC: 91G05 PDF BibTeX XML Cite \textit{M. Denuit} and \textit{C. Y. Robert}, Insur. Math. Econ. 108, 46--59 (2023; Zbl 07649584) Full Text: DOI OpenURL
Dang, Ou; Feng, Mingbin; Hardy, Mary R. Two-stage nested simulation of tail risk measurement: a likelihood ratio approach. (English) Zbl 07649582 Insur. Math. Econ. 108, 1-24 (2023). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{O. Dang} et al., Insur. Math. Econ. 108, 1--24 (2023; Zbl 07649582) Full Text: DOI OpenURL
Augustyniak, Maciej; Badescu, Alexandru; Bégin, Jean-François A discrete-time hedging framework with multiple factors and fat tails: on what matters. (English) Zbl 07648720 J. Econom. 232, No. 2, 416-444 (2023). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{M. Augustyniak} et al., J. Econom. 232, No. 2, 416--444 (2023; Zbl 07648720) Full Text: DOI OpenURL
Wasinrat, Sirithip; Choopradit, Boonyarit The Poisson inverse Pareto distribution and its application. (English) Zbl 07647988 Thail. Stat. 21, No. 1, 110-124 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{S. Wasinrat} and \textit{B. Choopradit}, Thail. Stat. 21, No. 1, 110--124 (2023; Zbl 07647988) Full Text: Link OpenURL
Kumar, Ramesh; Gupta, Rahul Bayesian analysis of inverse Rayleigh distribution under non-informative prior for different loss functions. (English) Zbl 07647986 Thail. Stat. 21, No. 1, 76-92 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{R. Kumar} and \textit{R. Gupta}, Thail. Stat. 21, No. 1, 76--92 (2023; Zbl 07647986) Full Text: Link OpenURL
Soma, Tasuku; Yoshida, Yuichi Online risk-averse submodular maximization. (English) Zbl 07644979 Ann. Oper. Res. 320, No. 1, 393-414 (2023). MSC: 90Cxx 68Wxx 68Qxx PDF BibTeX XML Cite \textit{T. Soma} and \textit{Y. Yoshida}, Ann. Oper. Res. 320, No. 1, 393--414 (2023; Zbl 07644979) Full Text: DOI arXiv OpenURL
Eeckhoudt, Louis; Pagani, Elisa; Peluso, Eugenio Multidimensional risk aversion: the cardinal sin. (English) Zbl 07644966 Ann. Oper. Res. 320, No. 1, 15-31 (2023). Reviewer: Karel Zimmermann (Praha) MSC: 91B16 PDF BibTeX XML Cite \textit{L. Eeckhoudt} et al., Ann. Oper. Res. 320, No. 1, 15--31 (2023; Zbl 07644966) Full Text: DOI OpenURL
Feng, Yichen; Fouque, Jean-Pierre; Hu, Ruimeng; Ichiba, Tomoyuki Systemic risk models for disjoint and overlapping groups with equilibrium strategies. (English) Zbl 07643815 Stat. Risk. Model. 40, No. 1-2, 21-51 (2023). MSC: 60A99 91A06 91B50 91G99 PDF BibTeX XML Cite \textit{Y. Feng} et al., Stat. Risk. Model. 40, No. 1--2, 21--51 (2023; Zbl 07643815) Full Text: DOI arXiv OpenURL
Moresco, Marlon; Righi, Marcelo Brutti; Horta, Eduardo Minkowski deviation measures. (English) Zbl 1503.91159 Stat. Risk. Model. 40, No. 1-2, 1-19 (2023). MSC: 91G70 PDF BibTeX XML Cite \textit{M. Moresco} et al., Stat. Risk. Model. 40, No. 1--2, 1--19 (2023; Zbl 1503.91159) Full Text: DOI OpenURL
Zou, Lei; Peng, Jiangyan; Yang, Ruonan Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations. (English) Zbl 07642737 Japan J. Ind. Appl. Math. 40, No. 1, 603-643 (2023). MSC: 60K10 91B05 91G40 PDF BibTeX XML Cite \textit{L. Zou} et al., Japan J. Ind. Appl. Math. 40, No. 1, 603--643 (2023; Zbl 07642737) Full Text: DOI OpenURL
Hmedi, Hassan; Arapostathis, Ari; Pang, Guodong On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions. (English) Zbl 07638944 Syst. Control Lett. 171, Article ID 105413, 7 p. (2023). MSC: 93E03 60J60 PDF BibTeX XML Cite \textit{H. Hmedi} et al., Syst. Control Lett. 171, Article ID 105413, 7 p. (2023; Zbl 07638944) Full Text: DOI OpenURL
Renganathan, Venkatraman; Safaoui, Sleiman; Kothari, Aadi; Gravell, Benjamin; Shames, Iman; Summers, Tyler Risk bounded nonlinear robot motion planning with integrated perception & control. (English) Zbl 07638290 Artif. Intell. 314, Article ID 103812, 20 p. (2023). MSC: 68Txx PDF BibTeX XML Cite \textit{V. Renganathan} et al., Artif. Intell. 314, Article ID 103812, 20 p. (2023; Zbl 07638290) Full Text: DOI arXiv OpenURL
Biagini, Francesca; Mazzon, Andrea; Oberpriller, Katharina Reduced-form framework for multiple ordered default times under model uncertainty. (English) Zbl 1502.60081 Stochastic Processes Appl. 156, 1-43 (2023). MSC: 60G65 91G40 91G80 PDF BibTeX XML Cite \textit{F. Biagini} et al., Stochastic Processes Appl. 156, 1--43 (2023; Zbl 1502.60081) Full Text: DOI arXiv OpenURL
Pal, Ayan; Prajapati, Deepak Mixture model for dependent competing risks data and application for diabetic retinopathy treatment. (English) Zbl 07636524 Appl. Math. Modelling 113, 514-527 (2023). MSC: 92C50 91B05 62F10 62F25 PDF BibTeX XML Cite \textit{A. Pal} and \textit{D. Prajapati}, Appl. Math. Modelling 113, 514--527 (2023; Zbl 07636524) Full Text: DOI OpenURL
Iwasa, Yoh; Hayashi, Rena Waves of infection emerging from coupled social and epidemiological dynamics. (English) Zbl 07635213 J. Theor. Biol. 558, Article ID 111366, 12 p. (2023). MSC: 92D30 34C23 PDF BibTeX XML Cite \textit{Y. Iwasa} and \textit{R. Hayashi}, J. Theor. Biol. 558, Article ID 111366, 12 p. (2023; Zbl 07635213) Full Text: DOI OpenURL
Torri, Gabriele; Giacometti, Rosella Financial contagion in banking networks with community structure. (English) Zbl 07634563 Commun. Nonlinear Sci. Numer. Simul. 117, Article ID 106924, 17 p. (2023). MSC: 91G45 PDF BibTeX XML Cite \textit{G. Torri} and \textit{R. Giacometti}, Commun. Nonlinear Sci. Numer. Simul. 117, Article ID 106924, 17 p. (2023; Zbl 07634563) Full Text: DOI OpenURL
Ekin, Tahir; Naveiro, Roi; Ríos Insua, David; Torres-Barrán, Alberto Augmented probability simulation methods for sequential games. (English) Zbl 07633842 Eur. J. Oper. Res. 306, No. 1, 418-430 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{T. Ekin} et al., Eur. J. Oper. Res. 306, No. 1, 418--430 (2023; Zbl 07633842) Full Text: DOI OpenURL
Wang, Wei; Xu, Huifu; Ma, Tiejun Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (English) Zbl 07633836 Eur. J. Oper. Res. 306, No. 1, 322-347 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{W. Wang} et al., Eur. J. Oper. Res. 306, No. 1, 322--347 (2023; Zbl 07633836) Full Text: DOI OpenURL
Zou, Zhenfeng; Wu, Qinyu; Xia, Zichao; Hu, Taizhong Adjusted Rényi entropic value-at-risk. (English) Zbl 07633832 Eur. J. Oper. Res. 306, No. 1, 255-268 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{Z. Zou} et al., Eur. J. Oper. Res. 306, No. 1, 255--268 (2023; Zbl 07633832) Full Text: DOI OpenURL
Cheng, Chunli; Hilpert, Christian; Miri Lavasani, Aidin; Schaefer, Mick Surrender contagion in life insurance. (English) Zbl 07632179 Eur. J. Oper. Res. 305, No. 3, 1465-1479 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{C. Cheng} et al., Eur. J. Oper. Res. 305, No. 3, 1465--1479 (2023; Zbl 07632179) Full Text: DOI OpenURL
Sigrist, Fabio; Leuenberger, Nicola Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities. (English) Zbl 07632174 Eur. J. Oper. Res. 305, No. 3, 1390-1406 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{F. Sigrist} and \textit{N. Leuenberger}, Eur. J. Oper. Res. 305, No. 3, 1390--1406 (2023; Zbl 07632174) Full Text: DOI OpenURL
Wang, Tianxiang; Xu, Jie; Hu, Jian-Qiang; Chen, Chun-Hung Efficient estimation of a risk measure requiring two-stage simulation optimization. (English) Zbl 07632172 Eur. J. Oper. Res. 305, No. 3, 1355-1365 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{T. Wang} et al., Eur. J. Oper. Res. 305, No. 3, 1355--1365 (2023; Zbl 07632172) Full Text: DOI OpenURL
Zhang, Xiaoyu; Xu, Maochao; Su, Jianxi; Zhao, Peng Structural models for fog computing based Internet of things architectures with insurance and risk management applications. (English) Zbl 07632167 Eur. J. Oper. Res. 305, No. 3, 1273-1291 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{X. Zhang} et al., Eur. J. Oper. Res. 305, No. 3, 1273--1291 (2023; Zbl 07632167) Full Text: DOI OpenURL
Choi, Tsan-Ming; Zhang, Ting Will being an angel bring more harm than good? Altruistic newsvendors with different risk attitudes. (English) Zbl 07632160 Eur. J. Oper. Res. 305, No. 3, 1153-1165 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{T.-M. Choi} and \textit{T. Zhang}, Eur. J. Oper. Res. 305, No. 3, 1153--1165 (2023; Zbl 07632160) Full Text: DOI OpenURL
Zhong, Wei; Cui, Zhenyu; Zhang, Zhimin Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk. (English) Zbl 07630795 J. Comput. Appl. Math. 422, Article ID 114914, 26 p. (2023). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 91G05 60G40 PDF BibTeX XML Cite \textit{W. Zhong} et al., J. Comput. Appl. Math. 422, Article ID 114914, 26 p. (2023; Zbl 07630795) Full Text: DOI OpenURL
Wang, Wenyuan; Wang, Ning; Chen, Mi On a doubly reflected risk process with running maximum dependent reflecting barriers. (English) Zbl 07630775 J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023). MSC: 91B05 91G50 60G51 PDF BibTeX XML Cite \textit{W. Wang} et al., J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023; Zbl 07630775) Full Text: DOI OpenURL
Ge, Jing; Lin, Zhigui; Tarboush, Abdelrazig K.; Zhu, Huaiping Dynamics of West Nile virus driven by seasonal fluctuations in a spatially variable habitat. (English) Zbl 1502.35179 Discrete Contin. Dyn. Syst., Ser. B 28, No. 3, 2081-2103 (2023). MSC: 35Q92 92D30 35K51 35R35 35B40 35P15 PDF BibTeX XML Cite \textit{J. Ge} et al., Discrete Contin. Dyn. Syst., Ser. B 28, No. 3, 2081--2103 (2023; Zbl 1502.35179) Full Text: DOI OpenURL
Guan, Guohui; Liang, Zongxia; Xia, Yi Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (English) Zbl 07619290 Eur. J. Oper. Res. 305, No. 2, 868-886 (2023). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{G. Guan} et al., Eur. J. Oper. Res. 305, No. 2, 868--886 (2023; Zbl 07619290) Full Text: DOI arXiv OpenURL
Osatakul, Dhiti; Li, Shuanming; Wu, Xueyuan Discrete-time risk models with surplus-dependent premium corrections. (English) Zbl 07617922 Appl. Math. Comput. 437, Article ID 127495, 19 p. (2023). MSC: 91Bxx 60Gxx 60Jxx PDF BibTeX XML Cite \textit{D. Osatakul} et al., Appl. Math. Comput. 437, Article ID 127495, 19 p. (2023; Zbl 07617922) Full Text: DOI OpenURL
Ji, Xinru; Wang, Bingjie; Yan, Jigao; Cheng, Dongya Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations. (English) Zbl 07616048 J. Ind. Manag. Optim. 19, No. 3, 2140-2155 (2023). MSC: 62P05 62E10 PDF BibTeX XML Cite \textit{X. Ji} et al., J. Ind. Manag. Optim. 19, No. 3, 2140--2155 (2023; Zbl 07616048) Full Text: DOI OpenURL
Wang, Xingchun Pricing path-dependent options under the Hawkes jump diffusion process. (English) Zbl 07616036 J. Ind. Manag. Optim. 19, No. 3, 1911-1930 (2023). MSC: 91G20 60G55 60J70 PDF BibTeX XML Cite \textit{X. Wang}, J. Ind. Manag. Optim. 19, No. 3, 1911--1930 (2023; Zbl 07616036) Full Text: DOI OpenURL
Hironaka, Tomohiko; Goda, Takashi An efficient estimation of nested expectations without conditional sampling. (English) Zbl 07614129 J. Comput. Appl. Math. 421, Article ID 114811, 12 p. (2023). MSC: 65C05 91G10 91G70 62P05 91G60 PDF BibTeX XML Cite \textit{T. Hironaka} and \textit{T. Goda}, J. Comput. Appl. Math. 421, Article ID 114811, 12 p. (2023; Zbl 07614129) Full Text: DOI arXiv OpenURL
Mroz, Thomas; Fernández Sánchez, Juan; Fuchs, Sebastian; Trutschnig, Wolfgang On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results. (English) Zbl 1501.60015 J. Stat. Plann. Inference 223, 33-52 (2023). MSC: 60E05 28A50 91G70 PDF BibTeX XML Cite \textit{T. Mroz} et al., J. Stat. Plann. Inference 223, 33--52 (2023; Zbl 1501.60015) Full Text: DOI arXiv OpenURL
Cafferata, Alessia; Casellina, Simone; Landini, Simone; Uberti, Mariacristina Financial fragility and credit risk: a simulation model. (English) Zbl 1501.91171 Commun. Nonlinear Sci. Numer. Simul. 116, Article ID 106879, 14 p. (2023). MSC: 91G40 PDF BibTeX XML Cite \textit{A. Cafferata} et al., Commun. Nonlinear Sci. Numer. Simul. 116, Article ID 106879, 14 p. (2023; Zbl 1501.91171) Full Text: DOI OpenURL
Cressie, Noel; Pearse, Alan R.; Gunawan, David Optimal spatial prediction for non-negative spatial processes using a phi-divergence loss function. (English) Zbl 1497.62252 Balakrishnan, Narayanaswamy (ed.) et al., Trends in mathematical, information and data sciences. A tribute to Leandro Pardo. Based on the presentations at the symposium on information theory with applications to statistical inference, Madrid, Spain, December 2, 2019. Cham: Springer. Stud. Syst. Decis. Control 445, 181-197 (2023). MSC: 62M30 62P12 86A32 PDF BibTeX XML Cite \textit{N. Cressie} et al., Stud. Syst. Decis. Control 445, 181--197 (2023; Zbl 1497.62252) Full Text: DOI OpenURL
Grechuk, Bogdan Extended gradient of convex function and capital allocation. (English) Zbl 07602404 Eur. J. Oper. Res. 305, No. 1, 429-437 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{B. Grechuk}, Eur. J. Oper. Res. 305, No. 1, 429--437 (2023; Zbl 07602404) Full Text: DOI OpenURL
Bhattacharjee, Atanu; Vishwakarma, Gajendra K.; Banerjee, Souvik; Ong, Seng Huat A modified risk detection approach of biomarkers by frailty effect on multiple time to event data. (English) Zbl 07596874 J. Comput. Appl. Math. 419, Article ID 114681, 14 p. (2023). MSC: 62P10 62N02 62N05 62-01 62N99 PDF BibTeX XML Cite \textit{A. Bhattacharjee} et al., J. Comput. Appl. Math. 419, Article ID 114681, 14 p. (2023; Zbl 07596874) Full Text: DOI arXiv OpenURL
Atkins, Philip J.; Cummins, Mark Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (English) Zbl 07594704 Eur. J. Oper. Res. 304, No. 3, 1331-1348 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{P. J. Atkins} and \textit{M. Cummins}, Eur. J. Oper. Res. 304, No. 3, 1331--1348 (2023; Zbl 07594704) Full Text: DOI OpenURL
Berger, Niklas; Schulze-Schwering, Stefan; Long, Elisa; Spinler, Stefan Risk management of supply chain disruptions: an epidemic modeling approach. (English) Zbl 07594684 Eur. J. Oper. Res. 304, No. 3, 1036-1051 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{N. Berger} et al., Eur. J. Oper. Res. 304, No. 3, 1036--1051 (2023; Zbl 07594684) Full Text: DOI OpenURL
Deprez, Laurens; Antonio, Katrien; Boute, Robert Empirical risk assessment of maintenance costs under full-service contracts. (English) Zbl 07594670 Eur. J. Oper. Res. 304, No. 2, 476-493 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{L. Deprez} et al., Eur. J. Oper. Res. 304, No. 2, 476--493 (2023; Zbl 07594670) Full Text: DOI OpenURL
Yfanti, Stavroula; Karanasos, Menelaos; Zopounidis, Constantin; Christopoulos, Apostolos Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics. (English) Zbl 07583204 Eur. J. Oper. Res. 304, No. 2, 813-831 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{S. Yfanti} et al., Eur. J. Oper. Res. 304, No. 2, 813--831 (2023; Zbl 07583204) Full Text: DOI OpenURL
Yin, Xuecheng; Büyüktahtakın, İ. Esra; Patel, Bhumi P. COVID-19: data-driven optimal allocation of ventilator supply under uncertainty and risk. (English) Zbl 07583171 Eur. J. Oper. Res. 304, No. 1, 255-275 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{X. Yin} et al., Eur. J. Oper. Res. 304, No. 1, 255--275 (2023; Zbl 07583171) Full Text: DOI arXiv OpenURL
Xiao, Helu; Liu, Xin; Ren, Tiantian; Zhou, Zhongbao Measuring the dynamic efficiency of socially responsible investment funds: evidence from dynamic network DEA with diversification. (English) Zbl 07666707 INFOR: Inf. Syst. Oper. Res. 60, No. 4, 531-557 (2022). MSC: 90Cxx PDF BibTeX XML Cite \textit{H. Xiao} et al., INFOR: Inf. Syst. Oper. Res. 60, No. 4, 531--557 (2022; Zbl 07666707) Full Text: DOI OpenURL
Aslam, Bilal; Zhang, Changyong A strengthened solution to option manipulation. (English) Zbl 07666700 INFOR: Inf. Syst. Oper. Res. 60, No. 3, 407-427 (2022). MSC: 91-XX PDF BibTeX XML Cite \textit{B. Aslam} and \textit{C. Zhang}, INFOR: Inf. Syst. Oper. Res. 60, No. 3, 407--427 (2022; Zbl 07666700) Full Text: DOI OpenURL
Wang, Shijie; Gao, Yu Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times. (English) Zbl 07666335 Lith. Math. J. 62, No. 4, 542-552 (2022). MSC: 91B05 60F10 60K10 PDF BibTeX XML Cite \textit{S. Wang} and \textit{Y. Gao}, Lith. Math. J. 62, No. 4, 542--552 (2022; Zbl 07666335) Full Text: DOI OpenURL
Guerra, Alice; Parisi, Francesco Injurers versus victims: (a)symmetric reactions to symmetric risks. (English) Zbl 07663745 B. E. J. Theor. Econ. 22, No. 2, 603-620 (2022). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91B05 91A90 PDF BibTeX XML Cite \textit{A. Guerra} and \textit{F. Parisi}, B. E. J. Theor. Econ. 22, No. 2, 603--620 (2022; Zbl 07663745) Full Text: DOI OpenURL
Liu, Qiuli; Ching, Wai-Ki; Zhang, Junyu; Wang, Hongchu An average-value-at-risk criterion for Markov decision processes with unbounded costs. (English) Zbl 07662720 Front. Math. China 17, No. 4, 673-687 (2022). MSC: 90C40 93E20 PDF BibTeX XML Cite \textit{Q. Liu} et al., Front. Math. China 17, No. 4, 673--687 (2022; Zbl 07662720) Full Text: DOI OpenURL
Smirnov, S. N. Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem. (English. Russian original) Zbl 07662534 Autom. Remote Control 83, No. 11, 1820-1842 (2022); translation from Mat. Teor. Igr Prilozh. 12, No. 3, 50-88 (2020). MSC: 91G20 91A80 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Autom. Remote Control 83, No. 11, 1820--1842 (2022; Zbl 07662534); translation from Mat. Teor. Igr Prilozh. 12, No. 3, 50--88 (2020) Full Text: DOI OpenURL
Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Yue, Yuan Earthquake risk embedded in property prices: evidence from five Japanese cities. (English) Zbl 07661365 J. Am. Stat. Assoc. 117, No. 537, 82-93 (2022). MSC: 62H05 62H12 62P20 86A15 PDF BibTeX XML Cite \textit{M. Ikefuji} et al., J. Am. Stat. Assoc. 117, No. 537, 82--93 (2022; Zbl 07661365) Full Text: DOI OpenURL
Zhao, Bingxin; Zhu, Hongtu On genetic correlation estimation with summary statistics from genome-wide association studies. (English) Zbl 07661360 J. Am. Stat. Assoc. 117, No. 537, 1-11 (2022). MSC: 62P10 PDF BibTeX XML Cite \textit{B. Zhao} and \textit{H. Zhu}, J. Am. Stat. Assoc. 117, No. 537, 1--11 (2022; Zbl 07661360) Full Text: DOI arXiv OpenURL
Wang, Zhigao; Wu, Xianyi; Qiu, Chunjuan Stochastic loss reserving using individual information model with over-dispersed Poisson. (English) Zbl 07660298 Stat. Theory Relat. Fields 6, No. 2, 114-128 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{Z. Wang} et al., Stat. Theory Relat. Fields 6, No. 2, 114--128 (2022; Zbl 07660298) Full Text: DOI OpenURL
Zou, Zilong; Kouri, Drew P.; Aquino, Wilkins A locally adapted reduced-basis method for solving risk-averse PDE-constrained optimization problems. (English) Zbl 07659399 SIAM/ASA J. Uncertain. Quantif. 10, 1629-1651 (2022). MSC: 65K05 65N35 90C15 PDF BibTeX XML Cite \textit{Z. Zou} et al., SIAM/ASA J. Uncertain. Quantif. 10, 1629--1651 (2022; Zbl 07659399) Full Text: DOI OpenURL
D’Souza, Gavin; Osborn, Jenna; Berman, Shayna; Myers, Matthew Comparison of effectiveness of enhanced infection countermeasures in different scenarios, using a dynamic-spread-function model. (English) Zbl 07659320 Math. Biosci. Eng. 19, No. 9, 9571-9589 (2022). MSC: 92D30 PDF BibTeX XML Cite \textit{G. D'Souza} et al., Math. Biosci. Eng. 19, No. 9, 9571--9589 (2022; Zbl 07659320) Full Text: DOI OpenURL