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 07688923 Eng. Anal. Bound. Elem. 150, 364-373 (2023). MSC: 65-XX 91-XX PDF BibTeX XML Cite \textit{D. Damircheli} et al., Eng. Anal. Bound. Elem. 150, 364--373 (2023; Zbl 07688923) Full Text: DOI OpenURL
Bisewski, Krzysztof; Dȩbicki, Krzysztof; Kriukov, Nikolai Simultaneous ruin probability for multivariate Gaussian risk model. (English) Zbl 07686802 Stochastic Processes Appl. 160, 386-408 (2023). MSC: 60G15 60G70 PDF BibTeX XML Cite \textit{K. Bisewski} et al., Stochastic Processes Appl. 160, 386--408 (2023; Zbl 07686802) Full Text: DOI arXiv OpenURL
Yang, Yang; Su, Qi Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims. (English) Zbl 07686696 J. Math. Anal. Appl. 525, No. 2, Article ID 127319, 15 p. (2023). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{Q. Su}, J. Math. Anal. Appl. 525, No. 2, Article ID 127319, 15 p. (2023; Zbl 07686696) Full Text: DOI OpenURL
Behme, Anita; Strietzel, Philipp Lukas On moments of downward passage times for spectrally negative Lévy processes. (English) Zbl 07682992 J. Appl. Probab. 60, No. 2, 452-464 (2023). MSC: 60G51 60G40 91G05 PDF BibTeX XML Cite \textit{A. Behme} and \textit{P. L. Strietzel}, J. Appl. Probab. 60, No. 2, 452--464 (2023; Zbl 07682992) Full Text: DOI arXiv OpenURL
Fontana, Claudio Short communication: caplet pricing in affine models for alternative risk-free rates. (English) Zbl 07671146 SIAM J. Financ. Math. 14, No. 1, SC1-SC16 (2023). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{C. Fontana}, SIAM J. Financ. Math. 14, No. 1, SC1-SC16 (2023; Zbl 07671146) Full Text: DOI OpenURL
Li, Sheng; Yuan, Wei; Chen, Peimin Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market. (English) Zbl 07668862 J. Ind. Manag. Optim. 19, No. 4, 2855-2888 (2023). MSC: 91B30 93E20 62P05 PDF BibTeX XML Cite \textit{S. Li} et al., J. Ind. Manag. Optim. 19, No. 4, 2855--2888 (2023; Zbl 07668862) 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). Reviewer: B. L. S. Prakasa Rao (Hyderabad) MSC: 60G22 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
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). Reviewer: Emilia Di Lorenzo (Napoli) 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
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
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
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
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 PDF BibTeX XML Cite \textit{L. Zou} et al., Japan J. Ind. Appl. Math. 40, No. 1, 603--643 (2023; Zbl 1504.60178) 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
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 PDF BibTeX XML Cite \textit{W. Wang} et al., J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023; Zbl 1505.91137) Full Text: DOI OpenURL
Strietzel, Philipp Lukas; Behme, Anita Moments of the ruin time in a Lévy risk model. (English) Zbl 07655083 Methodol. Comput. Appl. Probab. 24, No. 4, 3075-3099 (2022). MSC: 91G05 60G51 60G40 PDF BibTeX XML Cite \textit{P. L. Strietzel} and \textit{A. Behme}, Methodol. Comput. Appl. Probab. 24, No. 4, 3075--3099 (2022; Zbl 07655083) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{D. Hainaut}, Insur. Math. Econ. 107, 269--287 (2022; Zbl 1507.91181) Full Text: DOI OpenURL
Gao, Lisa; Shi, Peng Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns. (English) Zbl 07648740 Insur. Math. Econ. 107, 161-179 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 60G55 PDF BibTeX XML Cite \textit{L. Gao} and \textit{P. Shi}, Insur. Math. Econ. 107, 161--179 (2022; Zbl 07648740) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{F. Biagini} and \textit{Y. Zhang}, Adv. Appl. Probab. 54, No. 3, 945--973 (2022; Zbl 1505.91321) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{H. Xu} et al., Chin. J. Appl. Probab. Stat. 38, No. 3, 333--343 (2022; Zbl 1499.91025) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{K.-A. Fu} and \textit{Y. Liu}, Probab. Eng. Inf. Sci. 36, No. 3, 799--811 (2022; Zbl 1505.91328) Full Text: DOI OpenURL
Kataria, K. K.; Khandakar, M. Generalized fractional counting process. (English) Zbl 07621029 J. Theor. Probab. 35, No. 4, 2784-2805 (2022). MSC: 60G55 60G22 91B05 PDF BibTeX XML Cite \textit{K. K. Kataria} and \textit{M. Khandakar}, J. Theor. Probab. 35, No. 4, 2784--2805 (2022; Zbl 07621029) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{C. Xu}, Transl. Syst. Sci. 27, 181--198 (2022; Zbl 1504.91337) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Shi}, Ann. Oper. Res. 317, No. 2, 777--804 (2022; Zbl 1501.90008) Full Text: DOI OpenURL
Wang, Wei; Shen, Yang; Qian, Linyi; Yang, Zhixin Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering. (English) Zbl 07607730 J. Ind. Manag. Optim. 18, No. 4, 2369-2399 (2022). MSC: 91G05 60G55 PDF BibTeX XML Cite \textit{W. Wang} et al., J. Ind. Manag. Optim. 18, No. 4, 2369--2399 (2022; Zbl 07607730) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Z. Liu} and \textit{L. Jia}, Commun. Stat., Simulation Comput. 51, No. 10, 5539--5555 (2022; Zbl 07603829) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{N. Liu} et al., Commun. Stat., Theory Methods 51, No. 21, 7354--7389 (2022; Zbl 07596334) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{E. Pchelintsev} et al., Stat. Inference Stoch. Process. 25, No. 3, 537--576 (2022; Zbl 07594032) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{N. Bäuerle} and \textit{A. Glauner}, Math. Oper. Res. 47, No. 3, 1757--1780 (2022; Zbl 1501.90107) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{G. C. Nyassoke Titi} et al., Ann. Finance 18, No. 3, 419--428 (2022; Zbl 1496.91090) Full Text: DOI OpenURL
Cheng, Ming; Konstantinides, Dimitrios G.; Wang, Dingcheng Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims. (English) Zbl 07576345 Appl. Math. Comput. 434, Article ID 127436, 18 p. (2022). MSC: 91G05 60K10 62P05 PDF BibTeX XML Cite \textit{M. Cheng} et al., Appl. Math. Comput. 434, Article ID 127436, 18 p. (2022; Zbl 07576345) Full Text: DOI OpenURL
Deng, Zeyu; Kammoun, Abla; Thrampoulidis, Christos A model of double descent for high-dimensional binary linear classification. (English) Zbl 07569160 Inf. Inference 11, No. 2, 435-495 (2022). MSC: 68Txx 94A12 PDF BibTeX XML Cite \textit{Z. Deng} et al., Inf. Inference 11, No. 2, 435--495 (2022; Zbl 07569160) Full Text: DOI arXiv OpenURL
Li, Xiaocheng; Zhong, Huaiyang; Brandeau, Margaret L. Quantile Markov decision processes. (English) Zbl 1496.90106 Oper. Res. 70, No. 3, 1428-1447 (2022). MSC: 90C40 90C39 PDF BibTeX XML Cite \textit{X. Li} et al., Oper. Res. 70, No. 3, 1428--1447 (2022; Zbl 1496.90106) Full Text: DOI arXiv OpenURL
Wang, Wenyuan; Wang, Yuebao; Chen, Ping; Wu, Xueyuan Dividend and capital injection optimization with transaction cost for Lévy risk processes. (English) Zbl 1494.49019 J. Optim. Theory Appl. 194, No. 3, 924-965 (2022). MSC: 49K45 49N25 91B05 91B32 91B70 62P05 PDF BibTeX XML Cite \textit{W. Wang} et al., J. Optim. Theory Appl. 194, No. 3, 924--965 (2022; Zbl 1494.49019) Full Text: DOI OpenURL
Cui, Lirong; Wu, Bei; Yin, Juan Moments for Hawkes processes with gamma decay kernel functions. (English) Zbl 1491.60068 Methodol. Comput. Appl. Probab. 24, No. 3, 1565-1601 (2022). MSC: 60G55 91G40 PDF BibTeX XML Cite \textit{L. Cui} et al., Methodol. Comput. Appl. Probab. 24, No. 3, 1565--1601 (2022; Zbl 1491.60068) Full Text: DOI OpenURL
Xu, Ran; Wang, Wenyuan; Garrido, Jose Optimal dividend strategy under Parisian ruin with affine penalty. (English) Zbl 1492.93207 Methodol. Comput. Appl. Probab. 24, No. 3, 1385-1409 (2022). MSC: 93E20 60G51 91B05 PDF BibTeX XML Cite \textit{R. Xu} et al., Methodol. Comput. Appl. Probab. 24, No. 3, 1385--1409 (2022; Zbl 1492.93207) Full Text: DOI OpenURL
Adékambi, Franck; Takouda, Essodina On the discounted penalty function in a perturbed Erlang renewal risk model with dependence. (English) Zbl 1496.60106 Methodol. Comput. Appl. Probab. 24, No. 2, 481-513 (2022). MSC: 60K05 91G05 PDF BibTeX XML Cite \textit{F. Adékambi} and \textit{E. Takouda}, Methodol. Comput. Appl. Probab. 24, No. 2, 481--513 (2022; Zbl 1496.60106) Full Text: DOI OpenURL
Golui, Subrata; Pal, Chandan Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space. (English) Zbl 1494.90125 Math. Methods Oper. Res. 95, No. 2, 219-247 (2022). MSC: 90C40 PDF BibTeX XML Cite \textit{S. Golui} and \textit{C. Pal}, Math. Methods Oper. Res. 95, No. 2, 219--247 (2022; Zbl 1494.90125) Full Text: DOI arXiv OpenURL
Xie, Lin; Xiao, Hongmin; He, Yan The limit property of a risk model based on entrance processes. (English) Zbl 07545787 Commun. Stat., Simulation Comput. 51, No. 3, 955-972 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{L. Xie} et al., Commun. Stat., Simulation Comput. 51, No. 3, 955--972 (2022; Zbl 07545787) Full Text: DOI OpenURL
Ahmad, Jamaal Multivariate higher order moments in multi-state life insurance. (English) Zbl 1492.91267 Scand. Actuar. J. 2022, No. 5, 399-420 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{J. Ahmad}, Scand. Actuar. J. 2022, No. 5, 399--420 (2022; Zbl 1492.91267) Full Text: DOI arXiv OpenURL
Glauner, Alexander Dynamic reinsurance in discrete time minimizing the insurer’s cost of capital. (English) Zbl 1494.91123 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 1494.91123) Full Text: DOI arXiv OpenURL
Xun, Baoyin; Yuen, Kam C.; Wang, Kaiyong The finite-time ruin probability of a risk model with a general counting process and stochastic return. (English) Zbl 1499.91026 J. Ind. Manag. Optim. 18, No. 3, 1541-1556 (2022). MSC: 91B05 62P05 62E10 60F05 60G51 PDF BibTeX XML Cite \textit{B. Xun} et al., J. Ind. Manag. Optim. 18, No. 3, 1541--1556 (2022; Zbl 1499.91026) Full Text: DOI OpenURL
Holý, Vladimír; Černý, Michal Bertram’s pairs trading strategy with bounded risk. (English) Zbl 07538887 CEJOR, Cent. Eur. J. Oper. Res. 30, No. 2, 667-682 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{V. Holý} and \textit{M. Černý}, CEJOR, Cent. Eur. J. Oper. Res. 30, No. 2, 667--682 (2022; Zbl 07538887) Full Text: DOI arXiv OpenURL
Rachdi, Mustapha; Laksaci, Ali; Al-Kandari, Noriah M. Expectile regression for spatial functional data analysis (sFDA). (English) Zbl 07532799 Metrika 85, No. 5, 627-655 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Rachdi} et al., Metrika 85, No. 5, 627--655 (2022; Zbl 07532799) Full Text: DOI OpenURL
Asmussen, Søren; Bladt, Mogens Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. (English) Zbl 1490.91204 Quant. Finance 22, No. 4, 675-689 (2022). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{S. Asmussen} and \textit{M. Bladt}, Quant. Finance 22, No. 4, 675--689 (2022; Zbl 1490.91204) Full Text: DOI OpenURL
Behme, Anita; Sideris, Apostolos Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory. (English) Zbl 1489.60129 Bernoulli 28, No. 2, 1309-1339 (2022). MSC: 60J25 60H25 60G51 PDF BibTeX XML Cite \textit{A. Behme} and \textit{A. Sideris}, Bernoulli 28, No. 2, 1309--1339 (2022; Zbl 1489.60129) Full Text: DOI arXiv Link OpenURL
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea Dam rain and cumulative gain. (English) Zbl 1489.91293 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 65-86 (2022). MSC: 91G40 91G20 91G05 PDF BibTeX XML Cite \textit{D. C. Brody} et al., in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 65--86 (2022; Zbl 1489.91293) Full Text: DOI arXiv OpenURL
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea Beyond hazard rates: a new framework for credit-risk modelling. (English) Zbl 1489.91292 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 1-27 (2022). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{D. C. Brody} et al., in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 1--27 (2022; Zbl 1489.91292) Full Text: DOI OpenURL
Yoshioka, Hidekazu; Tsujimura, Motoh Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty. (English) Zbl 07504623 Comput. Math. Appl. 112, 23-54 (2022). MSC: 93E20 60G51 91B30 49L25 91G20 PDF BibTeX XML Cite \textit{H. Yoshioka} and \textit{M. Tsujimura}, Comput. Math. Appl. 112, 23--54 (2022; Zbl 07504623) Full Text: DOI arXiv OpenURL
Schlosser, Rainer Heuristic mean-variance optimization in Markov decision processes using state-dependent risk aversion. (English) Zbl 07495787 IMA J. Manag. Math. 33, No. 2, 181-199 (2022). MSC: 90-XX 91-XX PDF BibTeX XML Cite \textit{R. Schlosser}, IMA J. Manag. Math. 33, No. 2, 181--199 (2022; Zbl 07495787) Full Text: DOI OpenURL
Dombry, Clément; Tillier, Charles; Wintenberger, Olivier Hidden regular variation for point processes and the single/multiple large point heuristic. (English) Zbl 1492.60145 Ann. Appl. Probab. 32, No. 1, 191-234 (2022). MSC: 60G70 60G55 PDF BibTeX XML Cite \textit{C. Dombry} et al., Ann. Appl. Probab. 32, No. 1, 191--234 (2022; Zbl 1492.60145) Full Text: DOI arXiv OpenURL
Fulop, Andras; Heng, Jeremy; Li, Junye; Liu, Hening Bayesian estimation of long-run risk models using sequential Monte Carlo. (English) Zbl 07491177 J. Econom. 228, No. 1, 62-84 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{A. Fulop} et al., J. Econom. 228, No. 1, 62--84 (2022; Zbl 07491177) Full Text: DOI OpenURL
Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio On a convergent power series method to price defaultable bonds in a Vašíček-CIR model. (English) Zbl 1484.91466 Electron. Commun. Probab. 27, Paper No. 19, 12 p. (2022). MSC: 91G20 91G40 91G30 PDF BibTeX XML Cite \textit{F. Antonelli} et al., Electron. Commun. Probab. 27, Paper No. 19, 12 p. (2022; Zbl 1484.91466) Full Text: DOI OpenURL
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (English) Zbl 1484.91366 Insur. Math. Econ. 103, 96-118 (2022). MSC: 91G05 45K05 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Insur. Math. Econ. 103, 96--118 (2022; Zbl 1484.91366) Full Text: DOI OpenURL
Gomez, Ledys Llasmin Salazar; Torres, Soledad; Kiseľák, Jozef; Fuders, Felix; Ishimura, Naoyuki; Yoshizawa, Yasukazu; Stehlík, Milan Long memory estimation in a non-Gaussian bivariate process. (English) Zbl 07483716 Appl. Math. Comput. 420, Article ID 126871, 16 p. (2022). MSC: 60G18 60G22 91G45 PDF BibTeX XML Cite \textit{L. L. S. Gomez} et al., Appl. Math. Comput. 420, Article ID 126871, 16 p. (2022; Zbl 07483716) Full Text: DOI OpenURL
Bian, Siyu; Serra, Teresa; Garcia, Philip; Irwin, Scott New evidence on market response to public announcements in the presence of microstructure noise. (English) Zbl 1490.91103 Eur. J. Oper. Res. 298, No. 2, 785-800 (2022). MSC: 91B24 62P05 91B84 PDF BibTeX XML Cite \textit{S. Bian} et al., Eur. J. Oper. Res. 298, No. 2, 785--800 (2022; Zbl 1490.91103) Full Text: DOI OpenURL
Pchelintsev, Evgeny; Pergamenshchikov, Serguei; Povzun, Maria Efficient estimation methods for non-Gaussian regression models in continuous time. (English) Zbl 07473257 Ann. Inst. Stat. Math. 74, No. 1, 113-142 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{E. Pchelintsev} et al., Ann. Inst. Stat. Math. 74, No. 1, 113--142 (2022; Zbl 07473257) Full Text: DOI OpenURL
Zhang, Aili; Chen, Ping; Li, Shuanming; Wang, Wenyuan Risk modelling on liquidations with Lévy processes. (English) Zbl 07426988 Appl. Math. Comput. 412, Article ID 126584, 23 p. (2022). MSC: 60G51 91B05 91G05 PDF BibTeX XML Cite \textit{A. Zhang} et al., Appl. Math. Comput. 412, Article ID 126584, 23 p. (2022; Zbl 07426988) Full Text: DOI arXiv OpenURL
Bäuerle, Nicole; Glauner, Alexander Markov decision processes with recursive risk measures. (English) Zbl 1490.90301 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 1490.90301) Full Text: DOI arXiv OpenURL
Takemura, Kazuhisa Behavioral decision theory. Psychological and mathematical descriptions of human choice behavior. 2nd expanded and revised edition. (English) Zbl 07595796 Singapore: Springer (ISBN 978-981-16-5452-7/hbk; 978-981-16-5455-8/pbk; 978-981-16-5453-4/ebook). xvii, 394 p. (2021). Reviewer: Weiping Li (Guanghan) MSC: 91-01 91B06 91B08 91B16 91E10 PDF BibTeX XML Cite \textit{K. Takemura}, Behavioral decision theory. Psychological and mathematical descriptions of human choice behavior. 2nd expanded and revised edition. Singapore: Springer (2021; Zbl 07595796) Full Text: DOI OpenURL
Kemmotsu, Teruo Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests. (English) Zbl 1495.91127 Asia-Pac. Financ. Mark. 28, No. 4, 563-585 (2021). MSC: 91G40 60G55 PDF BibTeX XML Cite \textit{T. Kemmotsu}, Asia-Pac. Financ. Mark. 28, No. 4, 563--585 (2021; Zbl 1495.91127) Full Text: DOI OpenURL
Goel, Anubha; Mehra, Aparna A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling. (English) Zbl 1490.60123 Stochastics 93, No. 4, 555-574 (2021). MSC: 60G55 60J28 60J76 62H05 91G05 91G40 PDF BibTeX XML Cite \textit{A. Goel} and \textit{A. Mehra}, Stochastics 93, No. 4, 555--574 (2021; Zbl 1490.60123) Full Text: DOI OpenURL
Li, Bo; Hua, Yun; Zhou, Xiaowen How long does the surplus stay close to its historical high? (English) Zbl 1500.60048 Stochastics 93, No. 3, 402-427 (2021). Reviewer: Pavel Gapeev (London) MSC: 60J45 60G51 PDF BibTeX XML Cite \textit{B. Li} et al., Stochastics 93, No. 3, 402--427 (2021; Zbl 1500.60048) Full Text: DOI arXiv OpenURL
Elghribi, Moncef Stochastic calculus in a risk model with stochastic return on investments. (English) Zbl 1490.60239 Stochastics 93, No. 1, 110-129 (2021). MSC: 60K10 60G51 60J35 60J55 60J60 91G05 PDF BibTeX XML Cite \textit{M. Elghribi}, Stochastics 93, No. 1, 110--129 (2021; Zbl 1490.60239) Full Text: DOI OpenURL
Sarıtaş, Serkan; Shereen, Ezzeldin; Sandberg, Henrik; Dán, György Continuous authentication security games. (English) Zbl 07526405 Kamhoua, Charles A. (ed.) et al., Game theory and machine learning for cyber security. Piscataway, NJ: IEEE Press; Hoboken, NJ: John Wiley & Sons. 180-203 (2021). MSC: 68M25 68T05 91A80 PDF BibTeX XML Cite \textit{S. Sarıtaş} et al., in: Game theory and machine learning for cyber security. Piscataway, NJ: IEEE Press; Hoboken, NJ: John Wiley \& Sons. 180--203 (2021; Zbl 07526405) Full Text: DOI OpenURL
Jing, Haojie; Peng, Jiangyan; Jiang, Zhiquan Tail asymptotic of discrete-time risk model with compound dependence and numerical simulation. (Chinese. English summary) Zbl 1485.62146 Chin. J. Appl. Probab. Stat. 37, No. 6, 569-584 (2021). MSC: 62P05 62E20 91B05 91G05 PDF BibTeX XML Cite \textit{H. Jing} et al., Chin. J. Appl. Probab. Stat. 37, No. 6, 569--584 (2021; Zbl 1485.62146) Full Text: Link OpenURL
Chai, Jingjing; Guo, Jingjun Mixed Gaussian Heston asset pricing model and statistics simulation analysis. (Chinese. English summary) Zbl 1492.60086 Chin. J. Appl. Probab. Stat. 37, No. 4, 331-345 (2021). MSC: 60G15 91B05 PDF BibTeX XML Cite \textit{J. Chai} and \textit{J. Guo}, Chin. J. Appl. Probab. Stat. 37, No. 4, 331--345 (2021; Zbl 1492.60086) Full Text: Link OpenURL
Okhrati, Ramin; Karpathopoulos, Nikolaos Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times. (English) Zbl 1484.91502 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150033, 41 p. (2021). MSC: 91G40 60G51 PDF BibTeX XML Cite \textit{R. Okhrati} and \textit{N. Karpathopoulos}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150033, 41 p. (2021; Zbl 1484.91502) Full Text: DOI OpenURL
Sajjadipanah, Soudabe; Mahmoudi, Eisa; Zamani, Mohammadsadegh Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure. (English) Zbl 1493.62491 Sequential Anal. 40, No. 4, 466-481 (2021). MSC: 62L12 62M10 62L10 62L15 PDF BibTeX XML Cite \textit{S. Sajjadipanah} et al., Sequential Anal. 40, No. 4, 466--481 (2021; Zbl 1493.62491) Full Text: DOI OpenURL
Pengyishi; Helm, Jonathan E.; Deglise-Hawkinson, Jivan; Pan, Julian Timing it right: balancing inpatient congestion vs. readmission risk at discharge. (English) Zbl 1482.90107 Oper. Res. 69, No. 6, 1842-1865 (2021). MSC: 90B50 90C40 90C59 PDF BibTeX XML Cite \textit{Pengyishi} et al., Oper. Res. 69, No. 6, 1842--1865 (2021; Zbl 1482.90107) Full Text: DOI OpenURL
Cui, Yongfang; Wang, Kaiyong Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes. (English) Zbl 1493.62581 J. Math. Inequal. 15, No. 4, 1401-1409 (2021). MSC: 62P05 62E10 60F05 91B05 PDF BibTeX XML Cite \textit{Y. Cui} and \textit{K. Wang}, J. Math. Inequal. 15, No. 4, 1401--1409 (2021; Zbl 1493.62581) Full Text: DOI OpenURL
Shimizu, Yasutaka Asymptotic statistics in insurance risk theory. (English) Zbl 07471659 SpringerBriefs in Statistics. JSS Research Series in Statistics. Singapore: Springer (ISBN 978-981-16-9283-3/pbk; 978-981-16-9284-0/ebook). x, 110 p. (2021). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62-02 60G51 62F12 62G20 62P05 91-02 91G05 91G70 PDF BibTeX XML Cite \textit{Y. Shimizu}, Asymptotic statistics in insurance risk theory. Singapore: Springer (2021; Zbl 07471659) Full Text: DOI OpenURL
Favaro, Stefano; Panero, Francesca; Rigon, Tommaso Bayesian nonparametric disclosure risk assessment. (English) Zbl 1493.62125 Electron. J. Stat. 15, No. 2, 5626-5651 (2021). MSC: 62F15 62G05 PDF BibTeX XML Cite \textit{S. Favaro} et al., Electron. J. Stat. 15, No. 2, 5626--5651 (2021; Zbl 1493.62125) Full Text: DOI Link OpenURL
Hess, Markus A new approach to wind power futures pricing. (English) Zbl 1480.91289 Decis. Econ. Finance 44, No. 2, 1235-1252 (2021). MSC: 91G20 60J74 60G51 PDF BibTeX XML Cite \textit{M. Hess}, Decis. Econ. Finance 44, No. 2, 1235--1252 (2021; Zbl 1480.91289) Full Text: DOI OpenURL
Goegebeur, Yuri; Guillou, Armelle; Ho, Nguyen Khanh Le; Qin, Jing Conditional marginal expected shortfall. (English) Zbl 1482.62105 Extremes 24, No. 4, 797-847 (2021). MSC: 62P05 62G32 62H12 62G20 91G70 PDF BibTeX XML Cite \textit{Y. Goegebeur} et al., Extremes 24, No. 4, 797--847 (2021; Zbl 1482.62105) Full Text: DOI HAL OpenURL
Shapiro, Alexander Distributionally robust optimal control and MDP modeling. (English) Zbl 07442932 Oper. Res. Lett. 49, No. 5, 809-814 (2021). MSC: 90-XX PDF BibTeX XML Cite \textit{A. Shapiro}, Oper. Res. Lett. 49, No. 5, 809--814 (2021; Zbl 07442932) Full Text: DOI OpenURL
Chen, Mi; Hu, Xiang On the evaluation of risk models with bivariate integer-valued time series. (English) Zbl 1480.62174 Lith. Math. J. 61, No. 4, 425-444 (2021). MSC: 62M10 62H12 62P05 91B05 PDF BibTeX XML Cite \textit{M. Chen} and \textit{X. Hu}, Lith. Math. J. 61, No. 4, 425--444 (2021; Zbl 1480.62174) Full Text: DOI OpenURL
Han, Qiyang Set structured global empirical risk minimizers are rate optimal in general dimensions. (English) Zbl 1478.62081 Ann. Stat. 49, No. 5, 2642-2671 (2021). MSC: 62G05 62G07 62G08 62G20 PDF BibTeX XML Cite \textit{Q. Han}, Ann. Stat. 49, No. 5, 2642--2671 (2021; Zbl 1478.62081) Full Text: DOI arXiv Link OpenURL
Benth, Fred E.; Christensen, Troels S.; Rohde, Victor Multivariate continuous-time modeling of wind indexes and hedging of wind risk. (English) Zbl 1479.91390 Quant. Finance 21, No. 1, 165-183 (2021). MSC: 91G20 60J60 91G10 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Quant. Finance 21, No. 1, 165--183 (2021; Zbl 1479.91390) Full Text: DOI OpenURL
Kim, Bara; Kim, Jeongsim; Kim, Jerim De Vylder and Goovaerts’ conjecture on homogeneous risk models with equalized claim amounts. (English) Zbl 1475.91308 Insur. Math. Econ. 101, 186-201 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{B. Kim} et al., Insur. Math. Econ. 101, 186--201 (2021; Zbl 1475.91308) Full Text: DOI OpenURL
Swishchuk, Anatoliy; Zagst, Rudi; Zeller, Gabriela Hawkes processes in insurance: risk model, application to empirical data and optimal investment. (English) Zbl 1475.91317 Insur. Math. Econ. 101, 107-124 (2021). MSC: 91G05 60G55 PDF BibTeX XML Cite \textit{A. Swishchuk} et al., Insur. Math. Econ. 101, 107--124 (2021; Zbl 1475.91317) Full Text: DOI OpenURL
Hagspiel, Verena; Nunes, Cláudia; Oliveira, Carlos; Portela, Manuel Green investment under time-dependent subsidy retraction risk. (English) Zbl 1475.91234 J. Econ. Dyn. Control 126, Article ID 103936, 30 p. (2021). MSC: 91B76 91G50 PDF BibTeX XML Cite \textit{V. Hagspiel} et al., J. Econ. Dyn. Control 126, Article ID 103936, 30 p. (2021; Zbl 1475.91234) Full Text: DOI OpenURL
Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor A structural approach to default modelling with pure jump processes. (English) Zbl 1475.91381 Appl. Math. Finance 28, No. 1, 48-78 (2021). MSC: 91G40 60J74 60G51 PDF BibTeX XML Cite \textit{J.-P. Aguilar} et al., Appl. Math. Finance 28, No. 1, 48--78 (2021; Zbl 1475.91381) Full Text: DOI arXiv OpenURL
Hess, Markus Explicit representations for utility indifference prices. (English) Zbl 1475.91328 Appl. Math. Finance 28, No. 1, 23-47 (2021). MSC: 91G10 91B16 93E20 PDF BibTeX XML Cite \textit{M. Hess}, Appl. Math. Finance 28, No. 1, 23--47 (2021; Zbl 1475.91328) Full Text: DOI OpenURL
Ramírez-Cobo, Pepa; Carrizosa, Emilio; Lillo, Rosa E. Analysis of an aggregate loss model in a Markov renewal regime. (English) Zbl 07422803 Appl. Math. Comput. 396, Article ID 125869, 21 p. (2021). MSC: 91B05 60K05 62F10 PDF BibTeX XML Cite \textit{P. Ramírez-Cobo} et al., Appl. Math. Comput. 396, Article ID 125869, 21 p. (2021; Zbl 07422803) Full Text: DOI Link OpenURL
Dibu, A. S.; Jacob, M. J.; Papaioannou, Apostolos D.; Ramsden, Lewis Delayed capital injections for a risk process with Markovian arrivals. (English) Zbl 1476.60127 Methodol. Comput. Appl. Probab. 23, No. 3, 1057-1076 (2021). MSC: 60J25 91B05 45B05 PDF BibTeX XML Cite \textit{A. S. Dibu} et al., Methodol. Comput. Appl. Probab. 23, No. 3, 1057--1076 (2021; Zbl 1476.60127) Full Text: DOI OpenURL
Martín-González, Ehyter Matías; Kolkovska, Ekaterina Todorova; Murillo-Salas, Antonio Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk. (English) Zbl 1474.62035 Methodol. Comput. Appl. Probab. 23, No. 3, 753-766 (2021). MSC: 62E20 62P05 PDF BibTeX XML Cite \textit{E. M. Martín-González} et al., Methodol. Comput. Appl. Probab. 23, No. 3, 753--766 (2021; Zbl 1474.62035) Full Text: DOI OpenURL
Fallahgoul, Hasan; Loeper, Gregoire Modelling tail risk with tempered stable distributions: an overview. (English) Zbl 1480.60039 Ann. Oper. Res. 299, No. 1-2, 1253-1280 (2021). MSC: 60E07 60G51 60G52 62F10 PDF BibTeX XML Cite \textit{H. Fallahgoul} and \textit{G. Loeper}, Ann. Oper. Res. 299, No. 1--2, 1253--1280 (2021; Zbl 1480.60039) Full Text: DOI OpenURL
Archibald, Thomas W.; Possani, Edgar Investment and operational decisions for start-up companies: a game theory and Markov decision process approach. (English) Zbl 1480.91303 Ann. Oper. Res. 299, No. 1-2, 317-330 (2021). MSC: 91G50 91B41 91A80 90C40 PDF BibTeX XML Cite \textit{T. W. Archibald} and \textit{E. Possani}, Ann. Oper. Res. 299, No. 1--2, 317--330 (2021; Zbl 1480.91303) Full Text: DOI OpenURL
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D. A characterization of martingale-equivalent mixed compound Poisson processes. (English) Zbl 1476.91036 Ann. Appl. Probab. 31, No. 2, 778-805 (2021). MSC: 91B05 60G44 60G51 60G55 PDF BibTeX XML Cite \textit{D. P. Lyberopoulos} and \textit{N. D. Macheras}, Ann. Appl. Probab. 31, No. 2, 778--805 (2021; Zbl 1476.91036) Full Text: DOI arXiv Link 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
Landriault, David; Li, Bin; Lkabous, Mohamed Amine On the analysis of deep drawdowns for the Lévy insurance risk model. (English) Zbl 1478.91165 Insur. Math. Econ. 100, 147-155 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{D. Landriault} et al., Insur. Math. Econ. 100, 147--155 (2021; Zbl 1478.91165) Full Text: DOI Link OpenURL
Maciak, Matúš; Okhrin, Ostap; Pešta, Michal Infinitely stochastic micro reserving. (English) Zbl 1471.91474 Insur. Math. Econ. 100, 30-58 (2021). MSC: 91G05 60G25 60G55 62M20 62P05 PDF BibTeX XML Cite \textit{M. Maciak} et al., Insur. Math. Econ. 100, 30--58 (2021; Zbl 1471.91474) Full Text: DOI OpenURL
Clémençon, Stephan; Limnios, Myrto; Vayatis, Nicolas Concentration inequalities for two-sample rank processes with application to bipartite ranking. (English) Zbl 1471.62356 Electron. J. Stat. 15, No. 2, 4659-4717 (2021). MSC: 62G99 68T05 60E15 62C12 PDF BibTeX XML Cite \textit{S. Clémençon} et al., Electron. J. Stat. 15, No. 2, 4659--4717 (2021; Zbl 1471.62356) Full Text: DOI arXiv Link OpenURL
Yang, Xiaofeng; Dong, Hua; Dai, Hongshuai Parisian ruin for spectrally negative Lévy processes under a hybrid observation scheme. (Chinese. English summary) Zbl 1488.91023 Acta Math. Sci., Ser. A, Chin. Ed. 41, No. 2, 548-561 (2021). MSC: 91B05 60G51 44A10 PDF BibTeX XML Cite \textit{X. Yang} et al., Acta Math. Sci., Ser. A, Chin. Ed. 41, No. 2, 548--561 (2021; Zbl 1488.91023) OpenURL
Becerril-Borja, Rubén; Montes-de-Oca, Raúl Incomplete information and risk sensitive analysis of sequential games without a predetermined order of turns. (English) Zbl 1488.91015 Kybernetika 57, No. 2, 312-331 (2021). MSC: 91A20 91A05 91A27 PDF BibTeX XML Cite \textit{R. Becerril-Borja} and \textit{R. Montes-de-Oca}, Kybernetika 57, No. 2, 312--331 (2021; Zbl 1488.91015) Full Text: DOI OpenURL
Li, Juan; Li, Wenqiang; Liang, Gechun A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. (English) Zbl 1471.91504 SIAM J. Financ. Math. 12, No. 3, 867-897 (2021). MSC: 91G10 91G80 91A15 91A80 PDF BibTeX XML Cite \textit{J. Li} et al., SIAM J. Financ. Math. 12, No. 3, 867--897 (2021; Zbl 1471.91504) Full Text: DOI arXiv OpenURL
Grindel, Ria; Hinderks, Wieger; Wagner, Andreas Application of continuous stochastic processes in energy market models. (English) Zbl 1471.91348 Göttlich, Simone (ed.) et al., Mathematical modeling, simulation and optimization for power engineering and management. Cham: Springer. Math. Ind. 34, 25-50 (2021). Reviewer: Alexandra Rodkina (College Station) MSC: 91B70 91B74 PDF BibTeX XML Cite \textit{R. Grindel} et al., Math. Ind. 34, 25--50 (2021; Zbl 1471.91348) Full Text: DOI OpenURL
Kataria, K. K.; Khandakar, M. Mixed fractional risk process. (English) Zbl 1470.60112 J. Math. Anal. Appl. 504, No. 1, Article ID 125379, 18 p. (2021). MSC: 60G22 60G50 91G05 PDF BibTeX XML Cite \textit{K. K. Kataria} and \textit{M. Khandakar}, J. Math. Anal. Appl. 504, No. 1, Article ID 125379, 18 p. (2021; Zbl 1470.60112) Full Text: DOI arXiv 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