Ferris, Michael; Philpott, Andy Dynamic risked equilibrium. (English) Zbl 07568787 Oper. Res. 70, No. 3, 1933-1952 (2022). MSC: 90Cxx PDF BibTeX XML Cite \textit{M. Ferris} and \textit{A. Philpott}, Oper. Res. 70, No. 3, 1933--1952 (2022; Zbl 07568787) Full Text: DOI OpenURL
Li, Xiaocheng; Zhong, Huaiyang; Brandeau, Margaret L. Quantile Markov decision processes. (English) Zbl 07568762 Oper. Res. 70, No. 3, 1428-1447 (2022). MSC: 90Cxx PDF BibTeX XML Cite \textit{X. Li} et al., Oper. Res. 70, No. 3, 1428--1447 (2022; Zbl 07568762) Full Text: DOI OpenURL
Tahmasebi, Saeid; Toomaj, Abdolsaeed On negative cumulative extropy with applications. (English) Zbl 07565476 Commun. Stat., Theory Methods 51, No. 15, 5025-5047 (2022). MSC: 62D05 62F07 62G30 PDF BibTeX XML Cite \textit{S. Tahmasebi} and \textit{A. Toomaj}, Commun. Stat., Theory Methods 51, No. 15, 5025--5047 (2022; Zbl 07565476) Full Text: DOI OpenURL
Boonen, Tim J.; Jiang, Wenjun A marginal indemnity function approach to optimal reinsurance under the Vajda condition. (English) Zbl 07562460 Eur. J. Oper. Res. 303, No. 2, 928-944 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{W. Jiang}, Eur. J. Oper. Res. 303, No. 2, 928--944 (2022; Zbl 07562460) Full Text: DOI OpenURL
Luan, Fei; Zhang, Weiguo; Liu, Yongjun Robust international portfolio optimization with worst-case mean-CVaR. (English) Zbl 07562457 Eur. J. Oper. Res. 303, No. 2, 877-890 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{F. Luan} et al., Eur. J. Oper. Res. 303, No. 2, 877--890 (2022; Zbl 07562457) Full Text: DOI OpenURL
Feng, Runhuan; Li, Peng Sample recycling method – a new approach to efficient nested Monte Carlo simulations. (English) Zbl 07557850 Insur. Math. Econ. 105, 336-359 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{R. Feng} and \textit{P. Li}, Insur. Math. Econ. 105, 336--359 (2022; Zbl 07557850) Full Text: DOI OpenURL
Mildenhall, Stephen J. Similar risks have similar prices: a useful and exact quantification. (English) Zbl 07557843 Insur. Math. Econ. 105, 203-210 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{S. J. Mildenhall}, Insur. Math. Econ. 105, 203--210 (2022; Zbl 07557843) Full Text: DOI OpenURL
Huang, Xuan; Zhou, Jieming General draw-down times for refracted spectrally negative Lévy processes. (English) Zbl 07554089 Methodol. Comput. Appl. Probab. 24, No. 2, 875-891 (2022). MSC: 91B05 60G40 60G51 60J25 PDF BibTeX XML Cite \textit{X. Huang} and \textit{J. Zhou}, Methodol. Comput. Appl. Probab. 24, No. 2, 875--891 (2022; Zbl 07554089) Full Text: DOI OpenURL
Dorfleitner, Gregor On the use of the terminal-value approach in risk-value models. (English) Zbl 07553138 Ann. Oper. Res. 313, No. 2, 877-897 (2022). MSC: 91G70 PDF BibTeX XML Cite \textit{G. Dorfleitner}, Ann. Oper. Res. 313, No. 2, 877--897 (2022; Zbl 07553138) Full Text: DOI OpenURL
Chen, Yanhong; Feinstein, Zachary Set-valued dynamic risk measures for processes and for vectors. (English) Zbl 07552979 Finance Stoch. 26, No. 3, 505-533 (2022). MSC: 91G70 91G10 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{Z. Feinstein}, Finance Stoch. 26, No. 3, 505--533 (2022; Zbl 07552979) Full Text: DOI OpenURL
Chen, Likai; Smetanina, Ekaterina; Wu, Wei Biao Estimation of nonstationary nonparametric regression model with multiplicative structure. (English) Zbl 07546425 Econom. J. 25, No. 1, 176-214 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{L. Chen} et al., Econom. J. 25, No. 1, 176--214 (2022; Zbl 07546425) Full Text: DOI OpenURL
Rossello, Damiano Performance measurement with expectiles. (English) Zbl 07544267 Decis. Econ. Finance 45, No. 1, 343-374 (2022). MSC: 91G70 PDF BibTeX XML Cite \textit{D. Rossello}, Decis. Econ. Finance 45, No. 1, 343--374 (2022; Zbl 07544267) Full Text: DOI OpenURL
Kim, Young Shin Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model. (English) Zbl 07541021 Ann. Oper. Res. 312, No. 2, 853-881 (2022). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{Y. S. Kim}, Ann. Oper. Res. 312, No. 2, 853--881 (2022; Zbl 07541021) Full Text: DOI OpenURL
Glauner, Alexander Dynamic reinsurance in discrete time minimizing the insurer’s cost of capital. (English) Zbl 07540567 Scand. Actuar. J. 2022, No. 4, 279-306 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 90C40 PDF BibTeX XML Cite \textit{A. Glauner}, Scand. Actuar. J. 2022, No. 4, 279--306 (2022; Zbl 07540567) Full Text: DOI OpenURL
Chateauneuf, Alain; Cornet, Bernard Submodular financial markets with frictions. (English) Zbl 07535182 Econ. Theory 73, No. 2-3, 721-744 (2022). MSC: 91G15 PDF BibTeX XML Cite \textit{A. Chateauneuf} and \textit{B. Cornet}, Econ. Theory 73, No. 2--3, 721--744 (2022; Zbl 07535182) Full Text: DOI OpenURL
Mabitsela, Lesedi; Guambe, Calisto; Kufakunesu, Rodwell A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations. (English) Zbl 07533635 Commun. Stat., Theory Methods 51, No. 6, 1791-1810 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{L. Mabitsela} et al., Commun. Stat., Theory Methods 51, No. 6, 1791--1810 (2022; Zbl 07533635) Full Text: DOI OpenURL
Eini, Esmat Jamshidi; Khaloozadeh, Hamid Tail variance for Generalized Skew-Elliptical distributions. (English) Zbl 07532288 Commun. Stat., Theory Methods 51, No. 2, 519-536 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{E. J. Eini} and \textit{H. Khaloozadeh}, Commun. Stat., Theory Methods 51, No. 2, 519--536 (2022; Zbl 07532288) Full Text: DOI OpenURL
Chen, Yu; Wang, Jiayi; Zhang, Weiping Tail distortion risk measure for portfolio with multivariate regularly variation. (English) Zbl 07531922 Commun. Math. Stat. 10, No. 2, 263-285 (2022). MSC: 62E20 PDF BibTeX XML Cite \textit{Y. Chen} et al., Commun. Math. Stat. 10, No. 2, 263--285 (2022; Zbl 07531922) Full Text: DOI OpenURL
Li, Bo; Sun, Yufei; Teo, Kok Lay An analytic solution for multi-period uncertain portfolio selection problem. (English) Zbl 07531756 Fuzzy Optim. Decis. Mak. 21, No. 2, 319-333 (2022). MSC: 91G10 90C39 PDF BibTeX XML Cite \textit{B. Li} et al., Fuzzy Optim. Decis. Mak. 21, No. 2, 319--333 (2022; Zbl 07531756) Full Text: DOI OpenURL
Heckens, Anton J.; Guhr, Thomas A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures. (English) Zbl 07531149 J. Stat. Mech. Theory Exp. 2022, No. 4, Article ID 043401, 34 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{A. J. Heckens} and \textit{T. Guhr}, J. Stat. Mech. Theory Exp. 2022, No. 4, Article ID 043401, 34 p. (2022; Zbl 07531149) Full Text: DOI OpenURL
Meng, Kaiwen; Yang, Hongyu; Yang, Xiaoqi; Yu, Carisa Kwok Wai Portfolio optimization under a minimax rule revisited. (English) Zbl 07528640 Optimization 71, No. 4, 877-905 (2022). MSC: 90C29 91G10 PDF BibTeX XML Cite \textit{K. Meng} et al., Optimization 71, No. 4, 877--905 (2022; Zbl 07528640) Full Text: DOI OpenURL
Kaya, Davy Cardorel Nzaba; Kulik, Rafal; Banzouzi, Bernédy Nel Messie Kodia Comparison of estimation methods for value-at-risk. (English) Zbl 07526072 Univers. J. Math. Math. Sci. 15, 43-62 (2022). MSC: 62P05 PDF BibTeX XML Cite \textit{D. C. N. Kaya} et al., Univers. J. Math. Math. Sci. 15, 43--62 (2022; Zbl 07526072) Full Text: DOI OpenURL
Liang, Zhihang; Zou, Jushen; Jiang, Wenjun Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation. (English) Zbl 07525958 Insur. Math. Econ. 104, 200-221 (2022). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{Z. Liang} et al., Insur. Math. Econ. 104, 200--221 (2022; Zbl 07525958) Full Text: DOI OpenURL
Cai, Jun; Jia, Huameng; Mao, Tiantian A multivariate CVaR risk measure from the perspective of portfolio risk management. (English) Zbl 07518393 Scand. Actuar. J. 2022, No. 3, 189-215 (2022). MSC: 91G70 PDF BibTeX XML Cite \textit{J. Cai} et al., Scand. Actuar. J. 2022, No. 3, 189--215 (2022; Zbl 07518393) Full Text: DOI OpenURL
Wang, Yi; Sun, Qi; Zhang, Zilu; Chen, Liqing A risk measure of the stock market that is based on multifractality. (English) Zbl 07511882 Physica A 596, Article ID 127203, 13 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{Y. Wang} et al., Physica A 596, Article ID 127203, 13 p. (2022; Zbl 07511882) Full Text: DOI OpenURL
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal Price impact on term structure. (English) Zbl 1484.91494 Quant. Finance 22, No. 1, 171-195 (2022). MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{D. Brigo} et al., Quant. Finance 22, No. 1, 171--195 (2022; Zbl 1484.91494) Full Text: DOI OpenURL
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang Distributionally robust portfolio optimization with linearized STARR performance measure. (English) Zbl 1484.91427 Quant. Finance 22, No. 1, 113-127 (2022). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{R. Ji} et al., Quant. Finance 22, No. 1, 113--127 (2022; Zbl 1484.91427) Full Text: DOI OpenURL
Pichler, Alois; Xu, Huifu Quantitative stability analysis for minimax distributionally robust risk optimization. (English) Zbl 07495382 Math. Program. 191, No. 1 (B), 47-77 (2022). MSC: 90C15 90C17 60B05 62P05 PDF BibTeX XML Cite \textit{A. Pichler} and \textit{H. Xu}, Math. Program. 191, No. 1 (B), 47--77 (2022; Zbl 07495382) Full Text: DOI OpenURL
Sun, Hongfang; Chen, Yu; Hu, Taizhong Statistical inference for tail-based cumulative residual entropy. (English) Zbl 1484.91406 Insur. Math. Econ. 103, 66-95 (2022). MSC: 91G05 62G32 62H05 PDF BibTeX XML Cite \textit{H. Sun} et al., Insur. Math. Econ. 103, 66--95 (2022; Zbl 1484.91406) Full Text: DOI OpenURL
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio Risk transference constraints in optimal reinsurance. (English) Zbl 1484.91370 Insur. Math. Econ. 103, 27-40 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Balbás} et al., Insur. Math. Econ. 103, 27--40 (2022; Zbl 1484.91370) Full Text: DOI OpenURL
Pei, Zhi; Lu, Haimin; Jin, Qingwei; Zhang, Lianmin Target-based distributionally robust optimization for single machine scheduling. (English) Zbl 07479749 Eur. J. Oper. Res. 299, No. 2, 420-431 (2022). MSC: 90B36 90C17 91G70 PDF BibTeX XML Cite \textit{Z. Pei} et al., Eur. J. Oper. Res. 299, No. 2, 420--431 (2022; Zbl 07479749) Full Text: DOI OpenURL
Yang, Hou-Cheng; Xue, Yishu; Geng, Lijiang; Hu, Guanyu Spatial Weibull regression with multivariate log gamma process and its applications to China earthquake economic loss. (English) Zbl 07468428 Stat. Interface 15, No. 1, 29-38 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{H.-C. Yang} et al., Stat. Interface 15, No. 1, 29--38 (2022; Zbl 07468428) Full Text: DOI arXiv OpenURL
Dupuis, Paul; Mao, Yixiang Formulation and properties of a divergence used to compare probability measures without absolute continuity. (English) Zbl 1478.60008 ESAIM, Control Optim. Calc. Var. 28, Paper No. 9, 38 p. (2022). MSC: 60A10 62B10 93E15 94A17 PDF BibTeX XML Cite \textit{P. Dupuis} and \textit{Y. Mao}, ESAIM, Control Optim. Calc. Var. 28, Paper No. 9, 38 p. (2022; Zbl 1478.60008) Full Text: DOI arXiv OpenURL
Bäuerle, Nicole; Glauner, Alexander Markov decision processes with recursive risk measures. (English) Zbl 07422972 Eur. J. Oper. Res. 296, No. 3, 953-966 (2022). MSC: 90C40 90C39 91B05 91G70 93E20 PDF BibTeX XML Cite \textit{N. Bäuerle} and \textit{A. Glauner}, Eur. J. Oper. Res. 296, No. 3, 953--966 (2022; Zbl 07422972) Full Text: DOI arXiv OpenURL
Glynn, Peter W.; Peng, Yijie; Fu, Michael C.; Hu, Jian-Qiang Computing sensitivities for distortion risk measures. (English) Zbl 07549348 INFORMS J. Comput. 33, No. 4, 1520-1532 (2021). MSC: 90-XX PDF BibTeX XML Cite \textit{P. W. Glynn} et al., INFORMS J. Comput. 33, No. 4, 1520--1532 (2021; Zbl 07549348) Full Text: DOI OpenURL
Maillard, Odalric-Ambrym Local Dvoretzky-Kiefer-Wolfowitz confidence bands. (English) Zbl 07535698 Math. Methods Stat. 30, No. 1-2, 16-46 (2021). MSC: 62-XX 60E15 60F10 PDF BibTeX XML Cite \textit{O.-A. Maillard}, Math. Methods Stat. 30, No. 1--2, 16--46 (2021; Zbl 07535698) Full Text: DOI OpenURL
Kang, Yao; Wang, Dehui; Cheng, Jianhua Risk models based on copulas for premiums and claim sizes. (English) Zbl 07533665 Commun. Stat., Theory Methods 50, No. 10, 2250-2269 (2021). MSC: 60J65 62P05 62-XX PDF BibTeX XML Cite \textit{Y. Kang} et al., Commun. Stat., Theory Methods 50, No. 10, 2250--2269 (2021; Zbl 07533665) Full Text: DOI OpenURL
Wei, Shengxue; Gan, Xiaoli; Xing, Guodong Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure. (English) Zbl 07532110 Commun. Stat., Theory Methods 50, No. 1, 132-142 (2021). MSC: 60F05 91B30 62-XX PDF BibTeX XML Cite \textit{S. Wei} et al., Commun. Stat., Theory Methods 50, No. 1, 132--142 (2021; Zbl 07532110) Full Text: DOI OpenURL
Chen, Yanhong; Hu, Yijun Optimal reinsurance from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition. (English) Zbl 07531008 Commun. Stat., Theory Methods 50, No. 15, 3677-3694 (2021). MSC: 91B30 91B32 91B70 62-XX PDF BibTeX XML Cite \textit{Y. Chen} and \textit{Y. Hu}, Commun. Stat., Theory Methods 50, No. 15, 3677--3694 (2021; Zbl 07531008) Full Text: DOI OpenURL
Jena, Adarsha Kumar; Tripathy, Manas Ranjan; Pal, Nabendu Alternative estimation of the common mean of two normal populations with order restricted variances. (English) Zbl 1483.62060 REVSTAT 19, No. 3, 327-362 (2021). MSC: 62F10 62F30 62C15 PDF BibTeX XML Cite \textit{A. K. Jena} et al., REVSTAT 19, No. 3, 327--362 (2021; Zbl 1483.62060) Full Text: Link OpenURL
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana Dynamic probabilistic forecasting with uncertainty. (English) Zbl 1484.91445 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150034, 18 p. (2021). MSC: 91G15 91G20 60J60 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150034, 18 p. (2021; Zbl 1484.91445) Full Text: DOI OpenURL
Sang, Peijun; Begen, Mehmet A.; Cao, Jiguo Appointment scheduling with a quantile objective. (English) Zbl 07485327 Comput. Oper. Res. 132, Article ID 105295, 20 p. (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{P. Sang} et al., Comput. Oper. Res. 132, Article ID 105295, 20 p. (2021; Zbl 07485327) Full Text: DOI OpenURL
Eini, Esmat Jamshidi; Khaloozadeh, Hamid Tail conditional moment for generalized skew-elliptical distributions. (English) Zbl 07484655 J. Appl. Stat. 48, No. 13-15, 2285-2305 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{E. J. Eini} and \textit{H. Khaloozadeh}, J. Appl. Stat. 48, No. 13--15, 2285--2305 (2021; Zbl 07484655) Full Text: DOI OpenURL
Gardes, Laurent; Girard, Stéphane On the estimation of the variability in the distribution tail. (English) Zbl 1478.62107 Test 30, No. 4, 884-907 (2021). MSC: 62G32 62G20 PDF BibTeX XML Cite \textit{L. Gardes} and \textit{S. Girard}, Test 30, No. 4, 884--907 (2021; Zbl 1478.62107) Full Text: DOI OpenURL
Frongillo, Rafael M.; Kash, Ian A. Elicitation complexity of statistical properties. (English) Zbl 07459737 Biometrika 108, No. 4, 857-879 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{R. M. Frongillo} and \textit{I. A. Kash}, Biometrika 108, No. 4, 857--879 (2021; Zbl 07459737) Full Text: DOI arXiv OpenURL
Li, Tiantian; Kim, Young Shin; Fan, Qi; Zhu, Fumin Aumann-Serrano index of risk in portfolio optimization. (English) Zbl 1481.91197 Math. Methods Oper. Res. 94, No. 2, 197-217 (2021). MSC: 91G10 93E20 91G70 PDF BibTeX XML Cite \textit{T. Li} et al., Math. Methods Oper. Res. 94, No. 2, 197--217 (2021; Zbl 1481.91197) Full Text: DOI OpenURL
Berninger, Christoph; Pfeiffer, Julian The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration. (English) Zbl 1480.91186 Eur. Actuar. J. 11, No. 2, 677-705 (2021); correction ibid. 11, No. 2, 707 (2021). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{C. Berninger} and \textit{J. Pfeiffer}, Eur. Actuar. J. 11, No. 2, 677--705 (2021; Zbl 1480.91186) Full Text: DOI arXiv OpenURL
James, Nick; Menzies, Max A new measure between sets of probability distributions with applications to erratic financial behavior. (English) Zbl 07451709 J. Stat. Mech. Theory Exp. 2021, No. 12, Article ID 123404, 31 p. (2021). MSC: 82-XX PDF BibTeX XML Cite \textit{N. James} and \textit{M. Menzies}, J. Stat. Mech. Theory Exp. 2021, No. 12, Article ID 123404, 31 p. (2021; Zbl 07451709) Full Text: DOI arXiv OpenURL
Bottone, Marco; Petrella, Lea; Bernardi, Mauro Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution. (English) Zbl 1480.91324 Stat. Methods Appl. 30, No. 3, 1079-1107 (2021). MSC: 91G70 62F15 62G08 62M10 PDF BibTeX XML Cite \textit{M. Bottone} et al., Stat. Methods Appl. 30, No. 3, 1079--1107 (2021; Zbl 1480.91324) Full Text: DOI arXiv OpenURL
Wen, Limin; Li, Junxue; Wang, Zhengwu; Li, Wei The statistical analysis of risk measure in Pareto risk model. (Chinese. English summary) Zbl 07448421 J. Jiangxi Norm. Univ., Nat. Sci. Ed. 45, No. 2, 211-216 (2021). MSC: 62P05 91G70 91B05 62F10 62F12 PDF BibTeX XML Cite \textit{L. Wen} et al., J. Jiangxi Norm. Univ., Nat. Sci. Ed. 45, No. 2, 211--216 (2021; Zbl 07448421) Full Text: DOI OpenURL
Wang, Gang-Jin; Zhu, Chun-Long BP-CVaR: a novel model of estimating CVaR with back propagation algorithm. (English) Zbl 1479.91450 Econ. Lett. 209, Article ID 110125, 4 p. (2021). MSC: 91G70 PDF BibTeX XML Cite \textit{G.-J. Wang} and \textit{C.-L. Zhu}, Econ. Lett. 209, Article ID 110125, 4 p. (2021; Zbl 1479.91450) Full Text: DOI OpenURL
Ma, Hanmin; Tian, Dejian Generalized entropic risk measures and related BSDEs. (English) Zbl 1482.60091 Stat. Probab. Lett. 174, Article ID 109110, 7 p. (2021). MSC: 60H30 60H10 62B10 62P05 91G05 PDF BibTeX XML Cite \textit{H. Ma} and \textit{D. Tian}, Stat. Probab. Lett. 174, Article ID 109110, 7 p. (2021; Zbl 1482.60091) Full Text: DOI OpenURL
Tadese, Mekonnen; Drapeau, Samuel Dual representation of expectile-based expected shortfall and its properties. (English) Zbl 1473.62354 Probab. Uncertain. Quant. Risk 6, No. 2, 99-116 (2021). MSC: 62P05 91B05 91B16 91G70 PDF BibTeX XML Cite \textit{M. Tadese} and \textit{S. Drapeau}, Probab. Uncertain. Quant. Risk 6, No. 2, 99--116 (2021; Zbl 1473.62354) Full Text: DOI arXiv OpenURL
Lassance, Nathan; Vrins, Frédéric Minimum Rényi entropy portfolios. (English) Zbl 1476.91153 Ann. Oper. Res. 299, No. 1-2, 23-46 (2021). MSC: 91G10 94A17 91G70 PDF BibTeX XML Cite \textit{N. Lassance} and \textit{F. Vrins}, Ann. Oper. Res. 299, No. 1--2, 23--46 (2021; Zbl 1476.91153) Full Text: DOI arXiv OpenURL
Bäuerle, Nicole; Glauner, Alexander Minimizing spectral risk measures applied to Markov decision processes. (English) Zbl 1479.90209 Math. Methods Oper. Res. 94, No. 1, 35-69 (2021). MSC: 90C40 91G70 91G05 PDF BibTeX XML Cite \textit{N. Bäuerle} and \textit{A. Glauner}, Math. Methods Oper. Res. 94, No. 1, 35--69 (2021; Zbl 1479.90209) Full Text: DOI arXiv OpenURL
Assa, Hirbod; Zimper, Alexander When a combination of convexity and continuity forces monotonicity of preferences. (English) Zbl 07415291 Int. J. Approx. Reasoning 136, 86-109 (2021). MSC: 68T37 PDF BibTeX XML Cite \textit{H. Assa} and \textit{A. Zimper}, Int. J. Approx. Reasoning 136, 86--109 (2021; Zbl 07415291) Full Text: DOI OpenURL
Cai, Jun; Wang, Ying Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (English) Zbl 1471.91451 Insur. Math. Econ. 100, 329-349 (2021). MSC: 91G05 91B32 PDF BibTeX XML Cite \textit{J. Cai} and \textit{Y. Wang}, Insur. Math. Econ. 100, 329--349 (2021; Zbl 1471.91451) Full Text: DOI OpenURL
Nendel, Max; Riedel, Frank; Schmeck, Maren Diane A decomposition of general premium principles into risk and deviation. (English) Zbl 1471.91477 Insur. Math. Econ. 100, 193-209 (2021). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{M. Nendel} et al., Insur. Math. Econ. 100, 193--209 (2021; Zbl 1471.91477) Full Text: DOI arXiv OpenURL
Molchanov, Ilya; Turin, Riccardo Convex bodies generated by sublinear expectations of random vectors. (English) Zbl 1479.52011 Adv. Appl. Math. 131, Article ID 102251, 31 p. (2021). Reviewer: Maria A. Hernández Cifre (Murcia) MSC: 52A22 60D05 52A27 62G30 91G70 PDF BibTeX XML Cite \textit{I. Molchanov} and \textit{R. Turin}, Adv. Appl. Math. 131, Article ID 102251, 31 p. (2021; Zbl 1479.52011) Full Text: DOI arXiv OpenURL
Wei, Pengyu Risk management with expected shortfall. (English) Zbl 1471.91518 Math. Financ. Econ. 15, No. 4, 847-883 (2021). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{P. Wei}, Math. Financ. Econ. 15, No. 4, 847--883 (2021; Zbl 1471.91518) Full Text: DOI OpenURL
Chen, Yanhong Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition. (English) Zbl 1479.91313 ASTIN Bull. 51, No. 2, 631-659 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91B05 91B32 91B70 PDF BibTeX XML Cite \textit{Y. Chen}, ASTIN Bull. 51, No. 2, 631--659 (2021; Zbl 1479.91313) Full Text: DOI OpenURL
Boonen, Tim J.; Zhang, Yiying Optimal reinsurance design with distortion risk measures and asymmetric information. (English) Zbl 1478.91161 ASTIN Bull. 51, No. 2, 607-629 (2021). Reviewer: Alexandra Rodkina (College Station) MSC: 91G05 PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{Y. Zhang}, ASTIN Bull. 51, No. 2, 607--629 (2021; Zbl 1478.91161) Full Text: DOI OpenURL
Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying Bowley reinsurance with asymmetric information on the insurer’s risk preferences. (English) Zbl 1471.91448 Scand. Actuar. J. 2021, No. 7, 623-644 (2021). Reviewer: Weiping Li (Stillwater) MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{T. J. Boonen} et al., Scand. Actuar. J. 2021, No. 7, 623--644 (2021; Zbl 1471.91448) Full Text: DOI OpenURL
Zhao, Yanchun; Mao, Tiantian; Yang, Fan Estimation of the Haezendonck-Goovaerts risk measure for extreme risks. (English) Zbl 1471.91492 Scand. Actuar. J. 2021, No. 7, 599-622 (2021). Reviewer: Weiping Li (Stillwater) MSC: 91G05 62P05 62G32 PDF BibTeX XML Cite \textit{Y. Zhao} et al., Scand. Actuar. J. 2021, No. 7, 599--622 (2021; Zbl 1471.91492) Full Text: DOI OpenURL
Wang, Liyuan; Chen, Zhiping; Yang, Peng Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion. (English) Zbl 1476.90163 J. Ind. Manag. Optim. 17, No. 3, 1203-1233 (2021). MSC: 90B50 93E20 91G80 91A10 PDF BibTeX XML Cite \textit{L. Wang} et al., J. Ind. Manag. Optim. 17, No. 3, 1203--1233 (2021; Zbl 1476.90163) Full Text: DOI OpenURL
Shi, Xiang; Kim, Young Shin Coherent risk measures and normal mixture distributions with applications in portfolio optimization. (English) Zbl 1470.91334 Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150019, 18 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G70 91G10 90C20 PDF BibTeX XML Cite \textit{X. Shi} and \textit{Y. S. Kim}, Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150019, 18 p. (2021; Zbl 1470.91334) Full Text: DOI OpenURL
Guambe, Calisto; Mabitsela, Lesedi; Kufakunesu, Rodwell An ergodic BSDE risk representation in a jump-diffusion framework. (English) Zbl 1470.91330 Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150015, 28 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G70 60J74 60H30 PDF BibTeX XML Cite \textit{C. Guambe} et al., Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150015, 28 p. (2021; Zbl 1470.91330) Full Text: DOI OpenURL
Wang, Hanxiao; Sun, Jingrui; Yong, Jiongmin Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations. (English) Zbl 1470.60144 Appl. Math. Optim. 84, No. 1, 145-190 (2021). MSC: 60H07 60H10 91B70 91G80 PDF BibTeX XML Cite \textit{H. Wang} et al., Appl. Math. Optim. 84, No. 1, 145--190 (2021; Zbl 1470.60144) Full Text: DOI arXiv OpenURL
Pitera, Marcin; Stettner, Łukasz Long-run risk sensitive dyadic impulse control. (English) Zbl 1470.93074 Appl. Math. Optim. 84, No. 1, 19-47 (2021). MSC: 93C27 93E20 91B05 PDF BibTeX XML Cite \textit{M. Pitera} and \textit{Ł. Stettner}, Appl. Math. Optim. 84, No. 1, 19--47 (2021; Zbl 1470.93074) Full Text: DOI arXiv OpenURL
Kirilyuk, V. S. Risk measures in the form of infimal convolution. (English. Russian original) Zbl 1470.91331 Cybern. Syst. Anal. 57, No. 1, 30-46 (2021); translation from Kibern. Sist. Anal. 57, No. 1, 35-54 (2021). MSC: 91G70 90C25 PDF BibTeX XML Cite \textit{V. S. Kirilyuk}, Cybern. Syst. Anal. 57, No. 1, 30--46 (2021; Zbl 1470.91331); translation from Kibern. Sist. Anal. 57, No. 1, 35--54 (2021) Full Text: DOI OpenURL
Bouzianis, George; Hughston, Lane P.; Jaimungal, Sebastian; Sánchez-Betancourt, Leandro Lévy-Ito models in finance. (English) Zbl 1480.91286 Probab. Surv. 18, 132-178 (2021). MSC: 91G20 60H30 60G51 PDF BibTeX XML Cite \textit{G. Bouzianis} et al., Probab. Surv. 18, 132--178 (2021; Zbl 1480.91286) Full Text: DOI arXiv OpenURL
Yu, Haodong; Sun, Jie Robust stochastic optimization with convex risk measures: a discretized subgradient scheme. (English) Zbl 1474.90308 J. Ind. Manag. Optim. 17, No. 1, 81-99 (2021). MSC: 90C15 90C47 90C17 PDF BibTeX XML Cite \textit{H. Yu} and \textit{J. Sun}, J. Ind. Manag. Optim. 17, No. 1, 81--99 (2021; Zbl 1474.90308) Full Text: DOI OpenURL
Xu, Jianyu; Chen, Lujie; Tang, Ou An online algorithm for the risk-aware restless bandit. (English) Zbl 1487.90634 Eur. J. Oper. Res. 290, No. 2, 622-639 (2021). MSC: 90C40 91G70 PDF BibTeX XML Cite \textit{J. Xu} et al., Eur. J. Oper. Res. 290, No. 2, 622--639 (2021; Zbl 1487.90634) Full Text: DOI OpenURL
Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints. (English) Zbl 1466.91287 Quant. Finance 21, No. 2, 263-270 (2021). MSC: 91G10 PDF BibTeX XML Cite \textit{J.-W. Gu} et al., Quant. Finance 21, No. 2, 263--270 (2021; Zbl 1466.91287) Full Text: DOI OpenURL
Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G. Change of drift in one-dimensional diffusions. (English) Zbl 1461.91365 Finance Stoch. 25, No. 2, 359-381 (2021). MSC: 91G70 60G44 91B70 PDF BibTeX XML Cite \textit{S. Desmettre} et al., Finance Stoch. 25, No. 2, 359--381 (2021; Zbl 1461.91365) Full Text: DOI arXiv OpenURL
Lépinette, Emmanuel; Molchanov, Ilya Risk arbitrage and hedging to acceptability under transaction costs. (English) Zbl 1461.91317 Finance Stoch. 25, No. 1, 101-132 (2021). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{E. Lépinette} and \textit{I. Molchanov}, Finance Stoch. 25, No. 1, 101--132 (2021; Zbl 1461.91317) Full Text: DOI arXiv OpenURL
Ararat, Çağın; Feinstein, Zachary Set-valued risk measures as backward stochastic difference inclusions and equations. (English) Zbl 1461.91363 Finance Stoch. 25, No. 1, 43-76 (2021). MSC: 91G70 26E25 28B20 39A50 PDF BibTeX XML Cite \textit{Ç. Ararat} and \textit{Z. Feinstein}, Finance Stoch. 25, No. 1, 43--76 (2021; Zbl 1461.91363) Full Text: DOI arXiv OpenURL
Leipus, Remigijus; Paukštys, Saulius; Šiaulys, Jonas Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure. (English) Zbl 1460.91298 Stat. Probab. Lett. 170, Article ID 108998, 12 p. (2021). MSC: 91G70 60G70 PDF BibTeX XML Cite \textit{R. Leipus} et al., Stat. Probab. Lett. 170, Article ID 108998, 12 p. (2021; Zbl 1460.91298) Full Text: DOI OpenURL
Koike, Takaaki; Hofert, Marius Modality for scenario analysis and maximum likelihood allocation. (English) Zbl 1460.91227 Insur. Math. Econ. 97, 24-43 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{T. Koike} and \textit{M. Hofert}, Insur. Math. Econ. 97, 24--43 (2021; Zbl 1460.91227) Full Text: DOI arXiv OpenURL
Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A. Stochastic orders and multivariate measures of risk contagion. (English) Zbl 1460.91252 Insur. Math. Econ. 96, 199-207 (2021). MSC: 91G10 91G70 60E15 PDF BibTeX XML Cite \textit{P. Ortega-Jiménez} et al., Insur. Math. Econ. 96, 199--207 (2021; Zbl 1460.91252) Full Text: DOI OpenURL
Kunz, Andreas; Popp, Markus Economic neutral position: how to best replicate not fully replicable liabilities? (English) Zbl 1459.91161 Insur. Math. Econ. 96, 53-67 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Kunz} and \textit{M. Popp}, Insur. Math. Econ. 96, 53--67 (2021; Zbl 1459.91161) Full Text: DOI arXiv OpenURL
Mohammedi, Mustapha; Bouzebda, Salim; Laksaci, Ali The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data. (English) Zbl 1461.62239 J. Multivariate Anal. 181, Article ID 104673, 24 p. (2021). MSC: 62R10 62E20 62G08 62G10 62G20 62M10 62P05 PDF BibTeX XML Cite \textit{M. Mohammedi} et al., J. Multivariate Anal. 181, Article ID 104673, 24 p. (2021; Zbl 1461.62239) Full Text: DOI OpenURL
Obłój, Jan; Wiesel, Johannes Robust estimation of superhedging prices. (English) Zbl 1459.91200 Ann. Stat. 49, No. 1, 508-530 (2021). MSC: 91G20 62P05 62G20 62G35 PDF BibTeX XML Cite \textit{J. Obłój} and \textit{J. Wiesel}, Ann. Stat. 49, No. 1, 508--530 (2021; Zbl 1459.91200) Full Text: DOI arXiv Euclid OpenURL
Derennes, Pierre; Morio, Jérôme; Simatos, Florian Simultaneous estimation of complementary moment independent and reliability-oriented sensitivity measures. (English) Zbl 07318279 Math. Comput. Simul. 182, 721-737 (2021). MSC: 90Cxx PDF BibTeX XML Cite \textit{P. Derennes} et al., Math. Comput. Simul. 182, 721--737 (2021; Zbl 07318279) Full Text: DOI arXiv OpenURL
Wang, Wenyuan; Zhou, Xiaowen A drawdown reflected spectrally negative Lévy process. (English) Zbl 1469.60151 J. Theor. Probab. 34, No. 1, 283-306 (2021). MSC: 60G51 60E10 60J35 PDF BibTeX XML Cite \textit{W. Wang} and \textit{X. Zhou}, J. Theor. Probab. 34, No. 1, 283--306 (2021; Zbl 1469.60151) Full Text: DOI arXiv OpenURL
Xun, Li; Jiang, Renqiao; Guo, Jianhua The conditional Haezendonck-Goovaerts risk measure. (English) Zbl 1457.91421 Stat. Probab. Lett. 169, Article ID 108968, 10 p. (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G70 91G45 PDF BibTeX XML Cite \textit{L. Xun} et al., Stat. Probab. Lett. 169, Article ID 108968, 10 p. (2021; Zbl 1457.91421) Full Text: DOI OpenURL
Chiou, Paul; Lee, Cheng Few Sharpe performance measure and Treynor performance measure approach to portfolio analysis. (English) Zbl 1454.91216 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2801-2838 (2021). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{P. Chiou} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2801--2838 (2021; Zbl 1454.91216) Full Text: DOI OpenURL
Lee, Cheng Few; Jen, Frank C. Effects of measurement errors on systematic risk and performance measure of a portfolio. (English) Zbl 1454.91226 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2251-2263 (2021). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{F. C. Jen}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2251--2263 (2021; Zbl 1454.91226) Full Text: DOI OpenURL
Khanjani Shiraz, Rashed; Tavana, Madjid; Fukuyama, Hirofumi A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk. (English) Zbl 07559687 Soft Comput. 24, No. 22, 17167-17186 (2020). MSC: 91G10 PDF BibTeX XML Cite \textit{R. Khanjani Shiraz} et al., Soft Comput. 24, No. 22, 17167--17186 (2020; Zbl 07559687) Full Text: DOI OpenURL
Xing, Guo-dong; Li, Xiaohu; Yang, Shanchao Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model. (English) Zbl 07552588 Commun. Stat., Simulation Comput. 49, No. 2, 491-503 (2020). MSC: 60F05 91B30 PDF BibTeX XML Cite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 2, 491--503 (2020; Zbl 07552588) Full Text: DOI OpenURL
Xing, Guo-dong; Gan, Xiaoli Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation. (English) Zbl 07528718 Commun. Stat., Theory Methods 49, No. 12, 2931-2941 (2020). MSC: 62E20 62-XX PDF BibTeX XML Cite \textit{G.-d. Xing} and \textit{X. Gan}, Commun. Stat., Theory Methods 49, No. 12, 2931--2941 (2020; Zbl 07528718) Full Text: DOI OpenURL
Goel, Anubha; Sharma, Amita Mixed value-at-risk and its numerical investigation. (English) Zbl 07527056 Physica A 541, Article ID 123524, 25 p. (2020). MSC: 82-XX PDF BibTeX XML Cite \textit{A. Goel} and \textit{A. Sharma}, Physica A 541, Article ID 123524, 25 p. (2020; Zbl 07527056) Full Text: DOI OpenURL
Szajowski, Krzysztof J.; Średnicka, Małgorzata Operation comfort vs. the importance of system components. (English) Zbl 07490578 Math. Appl. (Warsaw) 48, No. 2, 191-226 (2020). MSC: 90B25 91B12 62G10 62N05 PDF BibTeX XML Cite \textit{K. J. Szajowski} and \textit{M. Średnicka}, Math. Appl. (Warsaw) 48, No. 2, 191--226 (2020; Zbl 07490578) Full Text: DOI arXiv OpenURL
Liang, Jin; Zou, Hongchun Valuation of credit contingent interest rate swap with credit rating migration. (English) Zbl 1483.91254 Int. J. Comput. Math. 97, No. 12, 2546-2560 (2020). MSC: 91G60 65M06 91G20 91G30 91G40 PDF BibTeX XML Cite \textit{J. Liang} and \textit{H. Zou}, Int. J. Comput. Math. 97, No. 12, 2546--2560 (2020; Zbl 1483.91254) Full Text: DOI OpenURL
Burtscheidt, Johanna; Claus, Matthias Bilevel linear optimization under uncertainty. (English) Zbl 1481.90234 Dempe, Stephan (ed.) et al., Bilevel optimization. Advances and next challenges. Cham: Springer. Springer Optim. Appl. 161, 485-511 (2020). MSC: 90C15 90C05 PDF BibTeX XML Cite \textit{J. Burtscheidt} and \textit{M. Claus}, Springer Optim. Appl. 161, 485--511 (2020; Zbl 1481.90234) Full Text: DOI arXiv OpenURL
Alon, Tzvi; Haviv, Moshe Pooling risk games. (English) Zbl 1479.91021 Int. Game Theory Rev. 22, No. 3, Article ID 1950015, 28 p. (2020). MSC: 91A12 91A80 91B32 PDF BibTeX XML Cite \textit{T. Alon} and \textit{M. Haviv}, Int. Game Theory Rev. 22, No. 3, Article ID 1950015, 28 p. (2020; Zbl 1479.91021) Full Text: DOI OpenURL
D’Auria, Bernardo; Salmerón, José Antonio Insider information and its relation with the arbitrage condition and the utility maximization problem. (English) Zbl 1470.91238 Math. Biosci. Eng. 17, No. 2, 998-1019 (2020). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{B. D'Auria} and \textit{J. A. Salmerón}, Math. Biosci. Eng. 17, No. 2, 998--1019 (2020; Zbl 1470.91238) Full Text: DOI arXiv OpenURL
Wang, Wenyuan; Zhou, Xiaowen Draw-down Parisian ruin for spectrally negative Lévy processes. (English) Zbl 1473.60079 Adv. Appl. Probab. 52, No. 4, 1164-1196 (2020). MSC: 60G51 60E10 60J35 PDF BibTeX XML Cite \textit{W. Wang} and \textit{X. Zhou}, Adv. Appl. Probab. 52, No. 4, 1164--1196 (2020; Zbl 1473.60079) Full Text: DOI arXiv OpenURL
Ren, Haiping; Luo, Laijun A novel distance of intuitionistic trapezoidal fuzzy numbers and its-based prospect theory algorithm in multi-attribute decision making model. (English) Zbl 1468.91039 Math. Biosci. Eng. 17, No. 4, 2905-2922 (2020). MSC: 91B06 91B16 91B86 PDF BibTeX XML Cite \textit{H. Ren} and \textit{L. Luo}, Math. Biosci. Eng. 17, No. 4, 2905--2922 (2020; Zbl 1468.91039) Full Text: DOI OpenURL
Wang, Xinyue; Li, Cuixiang Pricing chooser options under Lévy jump-diffusion processes. (Chinese. English summary) Zbl 1474.91214 Math. Pract. Theory 50, No. 22, 95-102 (2020). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{X. Wang} and \textit{C. Li}, Math. Pract. Theory 50, No. 22, 95--102 (2020; Zbl 1474.91214) OpenURL