Wang, Shuoyang; Shang, Zuofeng; Cao, Guanqun; Liu, Jun S. Optimal classification for functional data. (English) Zbl 07901853 Stat. Sin. 34, No. 3, 1545-1564 (2024). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Wang} et al., Stat. Sin. 34, No. 3, 1545--1564 (2024; Zbl 07901853) Full Text: DOI arXiv
Lu, Yang; Zhang, Jinggong; Zhu, Wenjun Cyber risk modeling: a discrete multivariate count process approach. (English) Zbl 07896852 Scand. Actuar. J. 2024, No. 6, 625-655 (2024). MSC: 91B30 PDFBibTeX XMLCite \textit{Y. Lu} et al., Scand. Actuar. J. 2024, No. 6, 625--655 (2024; Zbl 07896852) Full Text: DOI
van Kreveld, Lucas; Mandjes, Michel; Dorsman, Jan-Pieter Cramér-Lundberg asymptotics for spectrally positive Markov additive processes. (English) Zbl 07896850 Scand. Actuar. J. 2024, No. 6, 561-582 (2024). MSC: 91B30 PDFBibTeX XMLCite \textit{L. van Kreveld} et al., Scand. Actuar. J. 2024, No. 6, 561--582 (2024; Zbl 07896850) Full Text: DOI OA License
Jeong, Sanghun; Kang, Kyungjun; Yang, Hojin Gradient-based kernel variable selection for support vector hazards machine. (English) Zbl 07889416 J. Korean Stat. Soc. 53, No. 2, 509-536 (2024). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Jeong} et al., J. Korean Stat. Soc. 53, No. 2, 509--536 (2024; Zbl 07889416) Full Text: DOI
Li, Jinzhu Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return. (English) Zbl 07887788 Commun. Stat., Theory Methods 53, No. 16, 5773-5784 (2024). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{J. Li}, Commun. Stat., Theory Methods 53, No. 16, 5773--5784 (2024; Zbl 07887788) Full Text: DOI
Fu, Ke-Ang; Liu, Yang; Wang, Jiangfeng Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times. (English) Zbl 07880504 Commun. Stat., Theory Methods 53, No. 11, 4116-4126 (2024). MSC: 60F10 91B30 60K05 PDFBibTeX XMLCite \textit{K.-A. Fu} et al., Commun. Stat., Theory Methods 53, No. 11, 4116--4126 (2024; Zbl 07880504) Full Text: DOI
Hoang, Nguyen Huy; Ly, Tran Thi Hai; Chung, Nguyen Quang Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions. (English) Zbl 07879382 J. Math. Inequal. 18, No. 2, 705-717 (2024). MSC: 91G05 60K10 60G42 PDFBibTeX XMLCite \textit{N. H. Hoang} et al., J. Math. Inequal. 18, No. 2, 705--717 (2024; Zbl 07879382) Full Text: DOI OA License
Stettner, Łukasz Discrete time risk sensitive control problem. (English) Zbl 07878474 Syst. Control Lett. 186, Article ID 105758, 8 p. (2024). MSC: 93C55 93E03 PDFBibTeX XMLCite \textit{Ł. Stettner}, Syst. Control Lett. 186, Article ID 105758, 8 p. (2024; Zbl 07878474) Full Text: DOI arXiv
Huang, Tanhao; Lu, Xiaoyang; Chen, Jinwen A discount vanishing approximation for Markov decision processes with risk sensitivity. (English) Zbl 07878108 J. Dyn. Control Syst. 30, No. 2, Paper No. 23, 21 p. (2024). MSC: 90C40 47J10 93E99 PDFBibTeX XMLCite \textit{T. Huang} et al., J. Dyn. Control Syst. 30, No. 2, Paper No. 23, 21 p. (2024; Zbl 07878108) Full Text: DOI
Kanoria, Yash; Lobel, Ilan; Lu, Jiaqi Managing customer churn via service mode control. (English) Zbl 07872333 Math. Oper. Res. 49, No. 2, 1192-1222 (2024). MSC: 60G07 93E20 PDFBibTeX XMLCite \textit{Y. Kanoria} et al., Math. Oper. Res. 49, No. 2, 1192--1222 (2024; Zbl 07872333) Full Text: DOI
Glover, Kristoffer; Peskir, Goran Quickest detection problems for Ornstein-Uhlenbeck processes. (English) Zbl 07872327 Math. Oper. Res. 49, No. 2, 1045-1064 (2024). MSC: 60G40 60J60 60H30 35K57 45G10 62C10 PDFBibTeX XMLCite \textit{K. Glover} and \textit{G. Peskir}, Math. Oper. Res. 49, No. 2, 1045--1064 (2024; Zbl 07872327) Full Text: DOI
Yang, Ruonan; Peng, Jiangyan; Zou, Lei Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion. (English) Zbl 1539.62313 Stochastics 96, No. 1, 728-765 (2024). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{R. Yang} et al., Stochastics 96, No. 1, 728--765 (2024; Zbl 1539.62313) Full Text: DOI
Guo, Xin Risk-sensitive discounted Markov decision processes with unbounded reward functions and Borel spaces. (English) Zbl 07860051 Stochastics 96, No. 1, 649-666 (2024). MSC: 90C40 90B05 60J05 91B06 PDFBibTeX XMLCite \textit{X. Guo}, Stochastics 96, No. 1, 649--666 (2024; Zbl 07860051) Full Text: DOI
Bäuerle, Nicole; Jaśkiewicz, Anna Markov decision processes with risk-sensitive criteria: an overview. (English) Zbl 07849992 Math. Methods Oper. Res. 99, No. 1-2, 141-178 (2024). MSC: 90C40 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{A. Jaśkiewicz}, Math. Methods Oper. Res. 99, No. 1--2, 141--178 (2024; Zbl 07849992) Full Text: DOI arXiv OA License
Khandakar, M.; Kataria, K. K. On a time-changed variant of the generalized counting process. (English) Zbl 07845414 J. Appl. Probab. 61, No. 2, 716-738 (2024). MSC: 60G22 60G55 PDFBibTeX XMLCite \textit{M. Khandakar} and \textit{K. K. Kataria}, J. Appl. Probab. 61, No. 2, 716--738 (2024; Zbl 07845414) Full Text: DOI
Lin, Ke; Li, Yanjie; Liu, Qi; Li, Duantengchuan; Shi, Xiongtao; Chen, Shiyu Almost surely safe exploration and exploitation for deep reinforcement learning with state safety estimation. (English) Zbl 07840736 Inf. Sci. 662, Article ID 120261, 16 p. (2024). MSC: 68-XX 91-XX PDFBibTeX XMLCite \textit{K. Lin} et al., Inf. Sci. 662, Article ID 120261, 16 p. (2024; Zbl 07840736) Full Text: DOI
Chatterjee, Bihan; Goswami, Anindya; Overbeck, Ludger Locally risk minimizing pricing of Asian option in a semi-Markov modulated market. (English) Zbl 07834392 Stochastic Anal. Appl. 42, No. 2, 451-474 (2024). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G20 35Q91 60K15 PDFBibTeX XMLCite \textit{B. Chatterjee} et al., Stochastic Anal. Appl. 42, No. 2, 451--474 (2024; Zbl 07834392) Full Text: DOI
Syuhada, Khreshna; Tjahjono, Venansius; Hakim, Arief Compound Poisson-Lindley process with sarmanov dependence structure and its application for premium-based spectral risk forecasting. (English) Zbl 07834035 Appl. Math. Comput. 467, Article ID 128492, 18 p. (2024). MSC: 62Pxx 91Bxx 91Gxx PDFBibTeX XMLCite \textit{K. Syuhada} et al., Appl. Math. Comput. 467, Article ID 128492, 18 p. (2024; Zbl 07834035) Full Text: DOI
Palmowski, Zbigniew; Ramsden, Lewis; Papaioannou, Apostolos D. Gerber-Shiu theory for discrete risk processes in a regime switching environment. (English) Zbl 07834034 Appl. Math. Comput. 467, Article ID 128491, 14 p. (2024). MSC: 91Bxx 60Kxx 60Gxx PDFBibTeX XMLCite \textit{Z. Palmowski} et al., Appl. Math. Comput. 467, Article ID 128491, 14 p. (2024; Zbl 07834034) Full Text: DOI arXiv
Hata, Hiroaki; Yasuda, Kazuhiro Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model. (English) Zbl 07831669 Math. Control Relat. Fields 14, No. 1, 16-50 (2024). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G05 60H30 93E20 PDFBibTeX XMLCite \textit{H. Hata} and \textit{K. Yasuda}, Math. Control Relat. Fields 14, No. 1, 16--50 (2024; Zbl 07831669) Full Text: DOI
Protter, Philip E.; Wu, Qianfan; Yang, Shihao Order book queue Hawkes Markovian modeling. (English) Zbl 07822811 SIAM J. Financ. Math. 15, No. 1, 1-25 (2024). MSC: 62P05 60G55 62J07 91G70 PDFBibTeX XMLCite \textit{P. E. Protter} et al., SIAM J. Financ. Math. 15, No. 1, 1--25 (2024; Zbl 07822811) Full Text: DOI arXiv
Boutsikas, M. V.; Economides, D.-J.; Vaggelatou, E. On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model. (English) Zbl 1534.91110 Scand. Actuar. J. 2024, No. 1, 64-88 (2024). MSC: 91G05 91B05 60J74 62P05 PDFBibTeX XMLCite \textit{M. V. Boutsikas} et al., Scand. Actuar. J. 2024, No. 1, 64--88 (2024; Zbl 1534.91110) Full Text: DOI
Huang, Tanhao; Chen, Jinwen Markov decision processes under risk sensitivity: a discount vanishing approach. (English) Zbl 1536.90238 J. Math. Anal. Appl. 533, No. 2, Article ID 128026, 25 p. (2024). MSC: 90C40 49K40 49K45 PDFBibTeX XMLCite \textit{T. Huang} and \textit{J. Chen}, J. Math. Anal. Appl. 533, No. 2, Article ID 128026, 25 p. (2024; Zbl 1536.90238) Full Text: DOI
He, Taoshun; Chen, Yong Pricing European options under stochastic looping contagion risk model. (English) Zbl 1532.35453 Japan J. Ind. Appl. Math. 41, No. 1, 585-608 (2024). Reviewer: Rodica Luca (Iaşi) MSC: 35Q91 35R35 91G20 91G60 91G80 65C05 65M06 65N06 65M12 35R60 PDFBibTeX XMLCite \textit{T. He} and \textit{Y. Chen}, Japan J. Ind. Appl. Math. 41, No. 1, 585--608 (2024; Zbl 1532.35453) Full Text: DOI
Punaluek, Sutipon; Imamura, Yuri Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment. (English) Zbl 1537.91266 Int. J. Math. Ind. 15, No. 1, Article ID 2350010, 7 p. (2023). MSC: 91G05 60K10 45J05 PDFBibTeX XMLCite \textit{S. Punaluek} and \textit{Y. Imamura}, Int. J. Math. Ind. 15, No. 1, Article ID 2350010, 7 p. (2023; Zbl 1537.91266) Full Text: DOI
Ali, Mohammad Jamsher; Pärna, Kalev PH approximation of two-barrier ruin probability for Lévy risk having two-sided PH jumps. (English) Zbl 1537.60055 Acta Comment. Univ. Tartu. Math. 27, No. 1, 113-129 (2023). MSC: 60G51 91G05 PDFBibTeX XMLCite \textit{M. J. Ali} and \textit{K. Pärna}, Acta Comment. Univ. Tartu. Math. 27, No. 1, 113--129 (2023; Zbl 1537.60055) Full Text: DOI
Gankhuu, Battulga Rainbow options with MS-VAR process. (English) Zbl 1539.91130 Mong. Math. J. 24, 1-16 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{B. Gankhuu}, Mong. Math. J. 24, 1--16 (2023; Zbl 1539.91130) Full Text: DOI arXiv
Asif Raza, Syed; Madhumohan Govindaluri, Srikrishna Process mean selection and price differentiation in an imperfectly segmented market for a risk-averse firm. (English) Zbl 07809145 IMA J. Manag. Math. 34, No. 4, 745-775 (2023). MSC: 90-XX 91-XX PDFBibTeX XMLCite \textit{S. Asif Raza} and \textit{S. Madhumohan Govindaluri}, IMA J. Manag. Math. 34, No. 4, 745--775 (2023; Zbl 07809145) Full Text: DOI
Khalfallah, Mohammed El-arbi; Hadji, Mohammed Lakhdar; Vives, Josep Pricing cumulative loss derivatives under additive models via Malliavin calculus. (English) Zbl 07805578 Bol. Soc. Parana. Mat. (3) 41, Paper No. 19, 15 p. (2023). MSC: 91G20 91G70 60H07 60G51 PDFBibTeX XMLCite \textit{M. E. a. Khalfallah} et al., Bol. Soc. Parana. Mat. (3) 41, Paper No. 19, 15 p. (2023; Zbl 07805578) Full Text: DOI OA License
Grigutis, Andrius; Jankauskas, Jonas; Šiaulys, Jonas Multiseasonal discrete-time risk model revisited. (English) Zbl 07796573 Lith. Math. J. 63, No. 4, 466-486 (2023). Reviewer: Tak Kuen Siu (Sydney) MSC: 60G50 60J80 91G05 PDFBibTeX XMLCite \textit{A. Grigutis} et al., Lith. Math. J. 63, No. 4, 466--486 (2023; Zbl 07796573) Full Text: DOI arXiv
Wen, Xin; Xu, Xiaoya; Guo, Xianping Nonstationary Markov decision processes with risk probability criteria. (English) Zbl 1538.60131 Chin. J. Appl. Probab. Stat. 39, No. 4, 589-603 (2023). MSC: 60J10 90C40 93E20 PDFBibTeX XMLCite \textit{X. Wen} et al., Chin. J. Appl. Probab. Stat. 39, No. 4, 589--603 (2023; Zbl 1538.60131) Full Text: Link
Dai, Yanan; Chen, Jinwen Risk-sensitivity vanishing limit for controlled Markov processes. (English) Zbl 1538.90184 J. Dyn. Control Syst. 29, No. 4, 1471-1508 (2023). MSC: 90C40 47J10 93E20 PDFBibTeX XMLCite \textit{Y. Dai} and \textit{J. Chen}, J. Dyn. Control Syst. 29, No. 4, 1471--1508 (2023; Zbl 1538.90184) Full Text: DOI
Simon, Thomas; Dulac, Guillaume On cumulative Tsallis entropies. (English) Zbl 1532.94020 Acta Appl. Math. 188, Paper No. 9, 33 p. (2023). MSC: 94A17 94A15 62B10 60E15 62E10 62N05 60E05 PDFBibTeX XMLCite \textit{T. Simon} and \textit{G. Dulac}, Acta Appl. Math. 188, Paper No. 9, 33 p. (2023; Zbl 1532.94020) Full Text: DOI arXiv
Martín-González, Ehyter M.; Kolkovska, Ekaterina T. Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes. (English) Zbl 07767140 Commun. Stat., Theory Methods 52, No. 23, 8566-8583 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{E. M. Martín-González} and \textit{E. T. Kolkovska}, Commun. Stat., Theory Methods 52, No. 23, 8566--8583 (2023; Zbl 07767140) Full Text: DOI
Yoshioka, Hidekazu; Tanaka, Tomohiro; Yoshioka, Yumi; Hashiguchi, Ayumi; Aranishi, Futoshi CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process. (English) Zbl 1533.91375 Optim. Eng. 24, No. 4, 2935-2972 (2023). MSC: 91B76 91G70 90C25 PDFBibTeX XMLCite \textit{H. Yoshioka} et al., Optim. Eng. 24, No. 4, 2935--2972 (2023; Zbl 1533.91375) Full Text: DOI
Stettner, Łukasz Certainty equivalent control of discrete time Markov processes with the average reward functional. (English) Zbl 1530.93251 Syst. Control Lett. 181, Article ID 105627, 7 p. (2023). MSC: 93C55 93E03 PDFBibTeX XMLCite \textit{Ł. Stettner}, Syst. Control Lett. 181, Article ID 105627, 7 p. (2023; Zbl 1530.93251) Full Text: DOI OA License
Liu, Xijun; Gao, Qingwu Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-Stationary arrivals. (English) Zbl 07753898 J. Math. Inequal. 17, No. 3, 849-865 (2023). MSC: 62P05 62E20 91B30 PDFBibTeX XMLCite \textit{X. Liu} and \textit{Q. Gao}, J. Math. Inequal. 17, No. 3, 849--865 (2023; Zbl 07753898) Full Text: DOI
Li, Yingqiu; Wei, Yushao; Hu, Yangli Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time. (English) Zbl 1528.60022 Lith. Math. J. 63, No. 3, 367-381 (2023). Reviewer: Ze-Chun Hu (Chengdu) MSC: 60E10 60G51 91B05 PDFBibTeX XMLCite \textit{Y. Li} et al., Lith. Math. J. 63, No. 3, 367--381 (2023; Zbl 1528.60022) Full Text: DOI
Khonji, Majid Approximability and efficient algorithms for constrained fixed-horizon POMDPs with durative actions. (English) Zbl 07745365 Artif. Intell. 323, Article ID 103968, 24 p. (2023). MSC: 68Txx PDFBibTeX XMLCite \textit{M. Khonji}, Artif. Intell. 323, Article ID 103968, 24 p. (2023; Zbl 07745365) Full Text: DOI
Ebrahimi-Sadrabadi, Mahnaz; Ostadi, Bakhtiar; Sepehri, Mohammad Mehdi; Kashan, Ali Husseinzadeh Optimal resource allocation model in disaster situations for maximizing the value of operational process resiliency and continuity. (English) Zbl 1522.90294 RAIRO, Oper. Res. 57, No. 3, 1539-1557 (2023). MSC: 90C90 91B32 90C47 PDFBibTeX XMLCite \textit{M. Ebrahimi-Sadrabadi} et al., RAIRO, Oper. Res. 57, No. 3, 1539--1557 (2023; Zbl 1522.90294) Full Text: DOI OA License
Teng, Ye; Zhang, Zhimin On a time-changed Lévy risk model with capital injections and periodic observation. (English) Zbl 07736773 Math. Comput. Simul. 214, 290-314 (2023). MSC: 91B05 60G51 62P05 91G05 91G60 PDFBibTeX XMLCite \textit{Y. Teng} and \textit{Z. Zhang}, Math. Comput. Simul. 214, 290--314 (2023; Zbl 07736773) Full Text: DOI
Bazyari, Abouzar On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance. (English) Zbl 1520.91308 Sankhyā, Ser. A 85, No. 2, 1623-1650 (2023). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{A. Bazyari}, Sankhyā, Ser. A 85, No. 2, 1623--1650 (2023; Zbl 1520.91308) Full Text: DOI
Tang, Zhenyu; Zhong, Bin; Zhou, Liang; Shen, Chuanhe Structural credit risk model driven by Lévy process under knight uncertainty. (English) Zbl 1520.91419 Ann. Oper. Res. 326, No. 1, 281-294 (2023). MSC: 91G40 60G51 PDFBibTeX XMLCite \textit{Z. Tang} et al., Ann. Oper. Res. 326, No. 1, 281--294 (2023; Zbl 1520.91419) Full Text: DOI
Akyildirim, Erdinc; Hekimoglu, Alper A.; Sensoy, Ahmet; Fabozzi, Frank J. Extending the Merton model with applications to credit value adjustment. (English) Zbl 1528.91076 Ann. Oper. Res. 326, No. 1, 27-65 (2023). MSC: 91G40 35Q91 PDFBibTeX XMLCite \textit{E. Akyildirim} et al., Ann. Oper. Res. 326, No. 1, 27--65 (2023; Zbl 1528.91076) Full Text: DOI
Fu, Ke-Ang; Wang, Jiangfeng Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times. (English) Zbl 07720156 Commun. Stat., Theory Methods 52, No. 17, 6266-6274 (2023). MSC: 60F10 91B30 60K05 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{J. Wang}, Commun. Stat., Theory Methods 52, No. 17, 6266--6274 (2023; Zbl 07720156) Full Text: DOI
Madan, Dilip B.; Schoutens, Wim; Wang, King Option returns. (English) Zbl 1520.91405 Front. Math. Finance 2, No. 2, 244-264 (2023). MSC: 91G20 35R60 45K05 60G46 PDFBibTeX XMLCite \textit{D. B. Madan} et al., Front. Math. Finance 2, No. 2, 244--264 (2023; Zbl 1520.91405) Full Text: DOI
Abid, Amira; Abid, Fathi A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes. (English) Zbl 1538.91091 J. Ind. Manag. Optim. 19, No. 10, 7735-7752 (2023). MSC: 91G40 93E20 60J70 49L20 PDFBibTeX XMLCite \textit{A. Abid} and \textit{F. Abid}, J. Ind. Manag. Optim. 19, No. 10, 7735--7752 (2023; Zbl 1538.91091) Full Text: DOI
Fuentes-Santos, I.; González-Manteiga, W.; Mateu, J. Testing similarity between first-order intensities of spatial point processes. A comparative study. (English) Zbl 07714145 Commun. Stat., Simulation Comput. 52, No. 5, 2210-2230 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{I. Fuentes-Santos} et al., Commun. Stat., Simulation Comput. 52, No. 5, 2210--2230 (2023; Zbl 07714145) Full Text: DOI Link
Yu, Han; Zhang, Yu; Wang, Xikui Minimization of ruin probability with joint strategies of investment and reinsurance. (English) Zbl 1532.91109 Commun. Stat., Theory Methods 52, No. 15, 5451-5469 (2023). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{H. Yu} et al., Commun. Stat., Theory Methods 52, No. 15, 5451--5469 (2023; Zbl 1532.91109) Full Text: DOI
Cao, Jingyi; Young, Virginia R. Approximating the classical risk process by stable Lévy motion. (English) Zbl 1520.91098 Scand. Actuar. J. 2023, No. 7, 679-707 (2023). MSC: 91B05 60G51 91G05 PDFBibTeX XMLCite \textit{J. Cao} and \textit{V. R. Young}, Scand. Actuar. J. 2023, No. 7, 679--707 (2023; Zbl 1520.91098) Full Text: DOI
Schlosser, Rainer; Gönsch, Jochen Risk-averse dynamic pricing using mean-semivariance optimization. (English) Zbl 07709907 Eur. J. Oper. Res. 310, No. 3, 1151-1163 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{R. Schlosser} and \textit{J. Gönsch}, Eur. J. Oper. Res. 310, No. 3, 1151--1163 (2023; Zbl 07709907) Full Text: DOI OA License
Sajjadipanah, Soudabe; Mirjalili, Sayyed Mahmoud; Mousavialiabadi, Sayyedeh Maryam Class of modified two-stage procedure in a autoregressive process. (English) Zbl 1524.62383 J. Math. Ext. 17, No. 3, Paper No. 3, 32 p. (2023). MSC: 62L12 62M10 62L10 62L15 PDFBibTeX XMLCite \textit{S. Sajjadipanah} et al., J. Math. Ext. 17, No. 3, Paper No. 3, 32 p. (2023; Zbl 1524.62383) Full Text: DOI
Jelito, Damian; Stettner, Łukasz Asymptotics of impulse control problem with multiplicative reward. (English) Zbl 1520.93230 Appl. Math. Optim. 88, No. 1, Paper No. 24, 33 p. (2023). MSC: 93C27 93E20 60J25 60G40 PDFBibTeX XMLCite \textit{D. Jelito} and \textit{Ł. Stettner}, Appl. Math. Optim. 88, No. 1, Paper No. 24, 33 p. (2023; Zbl 1520.93230) Full Text: DOI arXiv OA License
Song, Zhan-Jie; Sun, Fu-Yun The dual risk model under a mixed ratcheting and periodic dividend strategy. (English) Zbl 07706253 Commun. Stat., Theory Methods 52, No. 10, 3526-3540 (2023). MSC: 91B30 97M30 60J75 PDFBibTeX XMLCite \textit{Z.-J. Song} and \textit{F.-Y. Sun}, Commun. Stat., Theory Methods 52, No. 10, 3526--3540 (2023; Zbl 07706253) Full Text: DOI
Dai, Yanan; Chen, Jinwen Duality between large deviation control and risk-sensitive control for Markov decision processes. (English) Zbl 1522.90247 Syst. Control Lett. 174, Article ID 105490, 13 p. (2023). MSC: 90C40 PDFBibTeX XMLCite \textit{Y. Dai} and \textit{J. Chen}, Syst. Control Lett. 174, Article ID 105490, 13 p. (2023; Zbl 1522.90247) Full Text: DOI
Szabó, Dávid Zoltán; Bihary, Zsolt The riskiness of stock versus money market investment with stochastic rates. (English) Zbl 07702729 CEJOR, Cent. Eur. J. Oper. Res. 31, No. 2, 393-415 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{D. Z. Szabó} and \textit{Z. Bihary}, CEJOR, Cent. Eur. J. Oper. Res. 31, No. 2, 393--415 (2023; Zbl 07702729) Full Text: DOI OA License
Yuan, Haili; Hu, Yijun Optimal investment strategies for an insurer with liquid constraint. (English) Zbl 07702502 Commun. Stat., Theory Methods 52, No. 7, 2198-2214 (2023). MSC: 91G10 93E20 60J75 60G46 PDFBibTeX XMLCite \textit{H. Yuan} and \textit{Y. Hu}, Commun. Stat., Theory Methods 52, No. 7, 2198--2214 (2023; Zbl 07702502) Full Text: DOI
Costa, Eliardo G.; Paulino, Carlos Daniel; Singer, Julio M. Optimal sample size for estimating the mean concentration of invasive organisms in ballast water via a semiparametric Bayesian analysis. (English) Zbl 07702206 Stat. Methods Appl. 32, No. 1, 57-74 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{E. G. Costa} et al., Stat. Methods Appl. 32, No. 1, 57--74 (2023; Zbl 07702206) Full Text: DOI
Pasricha, Puneet; Selvamuthu, Dharmaraja; Natarajan, Selvaraju A contagion process with self-exciting jumps in credit risk applications. (English) Zbl 1528.91077 Stochastics 95, No. 1, 79-98 (2023). MSC: 91G40 91G45 91G20 60G55 60J74 PDFBibTeX XMLCite \textit{P. Pasricha} et al., Stochastics 95, No. 1, 79--98 (2023; Zbl 1528.91077) Full Text: DOI arXiv
Zhang, Aili; Li, Shuanming; Wang, Wenyuan A scale function based approach for solving integral-differential equations in insurance risk models. (English) Zbl 07701061 Appl. Math. Comput. 450, Article ID 127965, 12 p. (2023). MSC: 91G05 91B05 97M30 PDFBibTeX XMLCite \textit{A. Zhang} et al., Appl. Math. Comput. 450, Article ID 127965, 12 p. (2023; Zbl 07701061) Full Text: DOI
Gao, Dechen; Sendova, Kristina P. Applications of the classical compound Poisson model with claim sizes following a compound distribution. (English) Zbl 1518.91220 Probab. Eng. Inf. Sci. 37, No. 2, 357-386 (2023). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{D. Gao} and \textit{K. P. Sendova}, Probab. Eng. Inf. Sci. 37, No. 2, 357--386 (2023; Zbl 1518.91220) Full Text: DOI
Jang, Jiwook; Qu, Yan; Zhao, Hongbiao; Dassios, Angelos A Cox model for gradually disappearing events. (English) Zbl 1518.91042 Probab. Eng. Inf. Sci. 37, No. 1, 214-231 (2023). MSC: 91B05 60G55 91G05 PDFBibTeX XMLCite \textit{J. Jang} et al., Probab. Eng. Inf. Sci. 37, No. 1, 214--231 (2023; Zbl 1518.91042) Full Text: DOI
Zhang, Yumo Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (English) Zbl 1526.91025 Decis. Econ. Finance 46, No. 1, 97-128 (2023). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 91G10 91G30 60H30 93E20 PDFBibTeX XMLCite \textit{Y. Zhang}, Decis. Econ. Finance 46, No. 1, 97--128 (2023; Zbl 1526.91025) Full Text: DOI
Damircheli, Davood; Razzaghi, Mohsen; Kazemi, Seyed-Mohammad-Mahdi; Bastani, Ali Foroush A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model. (English) Zbl 1521.91385 Eng. Anal. Bound. Elem. 150, 364-373 (2023). MSC: 91G60 60G51 62P05 65D12 91G40 PDFBibTeX XMLCite \textit{D. Damircheli} et al., Eng. Anal. Bound. Elem. 150, 364--373 (2023; Zbl 1521.91385) Full Text: DOI
Bisewski, Krzysztof; Dȩbicki, Krzysztof; Kriukov, Nikolai Simultaneous ruin probability for multivariate Gaussian risk model. (English) Zbl 1511.60061 Stochastic Processes Appl. 160, 386-408 (2023). MSC: 60G15 60G70 PDFBibTeX XMLCite \textit{K. Bisewski} et al., Stochastic Processes Appl. 160, 386--408 (2023; Zbl 1511.60061) Full Text: DOI arXiv
Yang, Yang; Su, Qi Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims. (English) Zbl 1515.91139 J. Math. Anal. Appl. 525, No. 2, Article ID 127319, 15 p. (2023). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{Y. Yang} and \textit{Q. Su}, J. Math. Anal. Appl. 525, No. 2, Article ID 127319, 15 p. (2023; Zbl 1515.91139) Full Text: DOI
Behme, Anita; Strietzel, Philipp Lukas On moments of downward passage times for spectrally negative Lévy processes. (English) Zbl 1516.60028 J. Appl. Probab. 60, No. 2, 452-464 (2023). MSC: 60G51 60G40 91G05 PDFBibTeX XMLCite \textit{A. Behme} and \textit{P. L. Strietzel}, J. Appl. Probab. 60, No. 2, 452--464 (2023; Zbl 1516.60028) Full Text: DOI arXiv
Fontana, Claudio Short communication: caplet pricing in affine models for alternative risk-free rates. (English) Zbl 1511.91149 SIAM J. Financ. Math. 14, No. 1, SC1-SC16 (2023). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{C. Fontana}, SIAM J. Financ. Math. 14, No. 1, SC1-SC16 (2023; Zbl 1511.91149) Full Text: DOI
Kadankova, Tetyana; Ng, Wing Chun Vincent Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis. (English) Zbl 1515.60099 Random Oper. Stoch. Equ. 31, No. 1, 47-63 (2023). Reviewer: B. L. S. Prakasa Rao (Hyderabad) MSC: 60G22 PDFBibTeX XMLCite \textit{T. Kadankova} and \textit{W. C. V. Ng}, Random Oper. Stoch. Equ. 31, No. 1, 47--63 (2023; Zbl 1515.60099) Full Text: DOI
Surya, Budhi; Wang, Wenyuan; Zhao, Xianghua; Zhou, Xiaowen Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process. (English) Zbl 1511.91119 Scand. Actuar. J. 2023, No. 2, 97-122 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60G51 60J35 PDFBibTeX XMLCite \textit{B. Surya} et al., Scand. Actuar. J. 2023, No. 2, 97--122 (2023; Zbl 1511.91119) Full Text: DOI arXiv
Beghin, Luisa; Caputo, Michele Stochastic applications of Caputo-type convolution operators with nonsingular kernels. (English) Zbl 1528.47003 Stochastic Anal. Appl. 41, No. 2, 377-393 (2023). MSC: 47G20 26A33 60G51 33B20 PDFBibTeX XMLCite \textit{L. Beghin} and \textit{M. Caputo}, Stochastic Anal. Appl. 41, No. 2, 377--393 (2023; Zbl 1528.47003) Full Text: DOI arXiv
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 1521.91025 Stochastic Anal. Appl. 41, No. 2, 327-357 (2023). Reviewer: Catherine Rainer (Brest) MSC: 91A15 91A10 90C40 PDFBibTeX XMLCite \textit{S. Golui} and \textit{C. Pal}, Stochastic Anal. Appl. 41, No. 2, 327--357 (2023; Zbl 1521.91025) Full Text: DOI
Liu, Wenyue; Cadenillas, Abel Optimal insurance contracts for a shot-noise Cox claim process and persistent insured’s actions. (English) Zbl 1508.91479 Insur. Math. Econ. 109, 69-93 (2023). MSC: 91G05 91B41 93E20 PDFBibTeX XMLCite \textit{W. Liu} and \textit{A. Cadenillas}, Insur. Math. Econ. 109, 69--93 (2023; Zbl 1508.91479) Full Text: DOI OA License
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 1508.91472 Scand. Actuar. J. 2023, No. 1, 20-37 (2023). MSC: 91G05 PDFBibTeX XMLCite \textit{A. Y. Golubin} and \textit{V. N. Gridin}, Scand. Actuar. J. 2023, No. 1, 20--37 (2023; Zbl 1508.91472) Full Text: DOI
Zou, Lei; Peng, Jiangyan; Yang, Ruonan Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations. (English) Zbl 1504.60178 Japan J. Ind. Appl. Math. 40, No. 1, 603-643 (2023). MSC: 60K10 91B05 91G40 PDFBibTeX XMLCite \textit{L. Zou} et al., Japan J. Ind. Appl. Math. 40, No. 1, 603--643 (2023; Zbl 1504.60178) Full Text: DOI
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: 91G05 62P05 60G55 91G45 PDFBibTeX XMLCite \textit{C. Cheng} et al., Eur. J. Oper. Res. 305, No. 3, 1465--1479 (2023; Zbl 07632179) Full Text: DOI
Wang, Wenyuan; Wang, Ning; Chen, Mi On a doubly reflected risk process with running maximum dependent reflecting barriers. (English) Zbl 1505.91137 J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023). MSC: 91B05 91G50 60G51 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023; Zbl 1505.91137) Full Text: DOI
Ali, Mohammad Jamsher; Pärna, Kalev Ruin probability for merged risk processes with correlated arrivals. (English) Zbl 1533.60067 Malyarenko, Anatoliy (ed.) et al., Stochastic processes, statistical methods, and engineering mathematics. SPAS 2019, Västerås, Sweden, September 30 – October 2, 2019. Cham: Springer. Springer Proc. Math. Stat. 408, 15-32 (2022). MSC: 60G55 91B05 PDFBibTeX XMLCite \textit{M. J. Ali} and \textit{K. Pärna}, Springer Proc. Math. Stat. 408, 15--32 (2022; Zbl 1533.60067) Full Text: DOI
Jiang, Wuyuan; Yang, Zhaojun The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model. (Chinese. English summary) Zbl 07801237 Acta Math. Appl. Sin. 45, No. 6, 905-920 (2022). MSC: 91G05 91A23 60G10 49L20 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{Z. Yang}, Acta Math. Appl. Sin. 45, No. 6, 905--920 (2022; Zbl 07801237) Full Text: Link
Carota, Cinzia; Filippone, Maurizio; Polettini, Silvia Assessing Bayesian semi-parametric log-linear models: an application to disclosure risk estimation. (English) Zbl 07777983 Int. Stat. Rev. 90, No. 1, 165-183 (2022). MSC: 62Fxx 62Gxx 65Cxx PDFBibTeX XMLCite \textit{C. Carota} et al., Int. Stat. Rev. 90, No. 1, 165--183 (2022; Zbl 07777983) Full Text: DOI OA License
Redhouane, Frihi; Abdelaziz, Rassoul; Ouldrouis, Hamid POT-based estimator of the ruin probability in infinite time for loss models: an application to insurance risk. (English) Zbl 1527.62080 Chil. J. Stat. 13, No. 2, 201-220 (2022). MSC: 62P05 62G32 62E20 62F12 91G05 PDFBibTeX XMLCite \textit{F. Redhouane} et al., Chil. J. Stat. 13, No. 2, 201--220 (2022; Zbl 1527.62080) Full Text: DOI
Caballero, William N.; Banks, David; Wu, Keru Defense and security planning under resource uncertainty and multi-period commitments. (English) Zbl 1527.91042 Nav. Res. Logist. 69, No. 7, 1009-1026 (2022). MSC: 91B05 91A15 90C40 PDFBibTeX XMLCite \textit{W. N. Caballero} et al., Nav. Res. Logist. 69, No. 7, 1009--1026 (2022; Zbl 1527.91042) Full Text: DOI
Xie, Wei; Wang, Bo; Li, Cheng; Xie, Dongming; Auclair, Jared Interpretable biomanufacturing process risk and sensitivity analyses for quality-by-design and stability control. (English) Zbl 1528.90261 Nav. Res. Logist. 69, No. 3, 461-483 (2022). MSC: 90C31 90B30 91B05 91A12 PDFBibTeX XMLCite \textit{W. Xie} et al., Nav. Res. Logist. 69, No. 3, 461--483 (2022; Zbl 1528.90261) Full Text: DOI arXiv
Wen, Xin; Guo, Xianping; Xia, Li Optimal dividend problems with a risk probability criterion. (English) Zbl 1528.91064 Nav. Res. Logist. 69, No. 3, 421-430 (2022). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 90C40 PDFBibTeX XMLCite \textit{X. Wen} et al., Nav. Res. Logist. 69, No. 3, 421--430 (2022; Zbl 1528.91064) Full Text: DOI
Deng, Guohe; Wang, Jiaqin Measuring credit risk under multidimensional affine jump-diffusion model. (Chinese) Zbl 1519.91274 Chin. J. Appl. Probab. Stat. 38, No. 5, 706-722 (2022). MSC: 91G40 91G60 60J74 PDFBibTeX XMLCite \textit{G. Deng} and \textit{J. Wang}, Chin. J. Appl. Probab. Stat. 38, No. 5, 706--722 (2022; Zbl 1519.91274) Full Text: Link
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 OA License
Hainaut, Donatien Multivariate claim processes with rough intensities: properties and estimation. (English) Zbl 1507.91181 Insur. Math. Econ. 107, 269-287 (2022). MSC: 91G05 60G22 PDFBibTeX XMLCite \textit{D. Hainaut}, Insur. Math. Econ. 107, 269--287 (2022; Zbl 1507.91181) Full Text: DOI
Gao, Lisa; Shi, Peng Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns. (English) Zbl 1511.91115 Insur. Math. Econ. 107, 161-179 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 60G55 PDFBibTeX XMLCite \textit{L. Gao} and \textit{P. Shi}, Insur. Math. Econ. 107, 161--179 (2022; Zbl 1511.91115) Full Text: DOI
Biagini, Francesca; Zhang, Yinglin Extended reduced-form framework for non-life insurance. (English) Zbl 1505.91321 Adv. Appl. Probab. 54, No. 3, 945-973 (2022). MSC: 91G05 91G40 60H30 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{Y. Zhang}, Adv. Appl. Probab. 54, No. 3, 945--973 (2022; Zbl 1505.91321) Full Text: DOI arXiv
Xu, Hao; Wei, Zhiya; Peng, Xuhui A research on bidimensional compound Poisson-geometric processes risk model with interference. (Chinese. English summary) Zbl 1499.91025 Chin. J. Appl. Probab. Stat. 38, No. 3, 333-343 (2022). MSC: 91B05 62P05 91G05 PDFBibTeX XMLCite \textit{H. Xu} et al., Chin. J. Appl. Probab. Stat. 38, No. 3, 333--343 (2022; Zbl 1499.91025) Full Text: Link
Fu, Ke-Ang; Liu, Yang Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims. (English) Zbl 1505.91328 Probab. Eng. Inf. Sci. 36, No. 3, 799-811 (2022). MSC: 91G05 60G55 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{Y. Liu}, Probab. Eng. Inf. Sci. 36, No. 3, 799--811 (2022; Zbl 1505.91328) Full Text: DOI
Kataria, K. K.; Khandakar, M. Generalized fractional counting process. (English) Zbl 1509.60107 J. Theor. Probab. 35, No. 4, 2784-2805 (2022). MSC: 60G55 60G22 91B05 PDFBibTeX XMLCite \textit{K. K. Kataria} and \textit{M. Khandakar}, J. Theor. Probab. 35, No. 4, 2784--2805 (2022; Zbl 1509.60107) Full Text: DOI arXiv
Xu, Chunhui PVaR: a new risk measure for financial investments. (English) Zbl 1504.91337 Kijima, Kyoichi (ed.) et al., Systems research II. Essays in honor of Yasuhiko Takahara on systems management theory and practice. Singapore: Springer. Transl. Syst. Sci. 27, 181-198 (2022). MSC: 91G70 PDFBibTeX XMLCite \textit{C. Xu}, Transl. Syst. Sci. 27, 181--198 (2022; Zbl 1504.91337) Full Text: DOI
Shi, Jim Optimal continuous production-inventory systems subject to stockout risk. (English) Zbl 1501.90008 Ann. Oper. Res. 317, No. 2, 777-804 (2022). MSC: 90B05 90B30 PDFBibTeX XMLCite \textit{J. Shi}, Ann. Oper. Res. 317, No. 2, 777--804 (2022; Zbl 1501.90008) Full Text: DOI
Wang, Wei; Shen, Yang; Qian, Linyi; Yang, Zhixin Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering. (English) Zbl 1513.91064 J. Ind. Manag. Optim. 18, No. 4, 2369-2399 (2022). MSC: 91G05 60G55 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Ind. Manag. Optim. 18, No. 4, 2369--2399 (2022; Zbl 1513.91064) Full Text: DOI
Liu, Zhe; Jia, Lifen First hitting time for renewal process with uncertain interarrival times and random rewards. (English) Zbl 07603829 Commun. Stat., Simulation Comput. 51, No. 10, 5539-5555 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{Z. Liu} and \textit{L. Jia}, Commun. Stat., Simulation Comput. 51, No. 10, 5539--5555 (2022; Zbl 07603829) Full Text: DOI
Liu, Naiqi; Song, Kunyang; Song, Yuping; Wang, Xiaochen Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models. (English) Zbl 07596334 Commun. Stat., Theory Methods 51, No. 21, 7354-7389 (2022). MSC: 62G20 62M05 60J75 62P20 PDFBibTeX XMLCite \textit{N. Liu} et al., Commun. Stat., Theory Methods 51, No. 21, 7354--7389 (2022; Zbl 07596334) Full Text: DOI
Pchelintsev, Evgeny; Pergamenshchikov, Serguei; Leshchinskaya, Maria Improved estimation method for high dimension semimartingale regression models based on discrete data. (English) Zbl 07594032 Stat. Inference Stoch. Process. 25, No. 3, 537-576 (2022). MSC: 62G08 62G05 PDFBibTeX XMLCite \textit{E. Pchelintsev} et al., Stat. Inference Stoch. Process. 25, No. 3, 537--576 (2022; Zbl 07594032) Full Text: DOI
Bäuerle, Nicole; Glauner, Alexander Distributionally robust Markov decision processes and their connection to risk measures. (English) Zbl 1501.90107 Math. Oper. Res. 47, No. 3, 1757-1780 (2022). MSC: 90C40 90C17 91G70 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{A. Glauner}, Math. Oper. Res. 47, No. 3, 1757--1780 (2022; Zbl 1501.90107) Full Text: DOI arXiv
Nyassoke Titi, Gaston Clément; Sadefo Kamdem, Jules; Fono, Louis Aimé Dynamic optimal hedge ratio design when price and production are stochastic with jump. (English) Zbl 1496.91090 Ann. Finance 18, No. 3, 419-428 (2022). MSC: 91G20 60J74 PDFBibTeX XMLCite \textit{G. C. Nyassoke Titi} et al., Ann. Finance 18, No. 3, 419--428 (2022; Zbl 1496.91090) Full Text: DOI HAL