Found 85 Documents (Results 1–85)
Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models. (English) Zbl 1542.91414
Reviewer: Claudio Fontana (Paris)
On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property. (English) Zbl 07808593
On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance. (English) Zbl 1520.91308
The Gerber-Shiu discounted penalty function: a review from practical perspectives. (English) Zbl 1508.91474
Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations. (English) Zbl 1504.60178
Variable annuity pricing, valuation, and risk management: a survey. (English) Zbl 1510.91144
Reviewer: Tak Kuen Siu (Sydney)
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (English) Zbl 1484.91387
MSC:
91G05
Asymptotics for value at risk and conditional tail expectation of a portfolio loss. (English) Zbl 07887595
MSC:
62-XX
Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes. (English) Zbl 1479.91343
Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks. (English) Zbl 1467.62070
Modeling the effect of spending on cyber security by using surplus process. (English) Zbl 1459.94162
The product distribution of dependent random variables with applications to a discrete-time risk model. (English) Zbl 07539715
On corrected phase-type approximations of the time value of ruin with heavy tails. (English) Zbl 1436.62069
Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time. (English) Zbl 1427.60084
Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times. (English) Zbl 1411.91271
MSC:
91B30
60G51
Wealth investment strategies for insurance companies and the probability of ruin. (English) Zbl 1397.91286
MSC:
91B30
91G10
The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks. (English) Zbl 1401.62217
The distribution of refracted Lévy processes with jumps having rational Laplace transforms. (English) Zbl 1400.60070
MSC:
60G51
91B30
An asymptotic characterization of hidden tail credit risk with actuarial applications. (English) Zbl 1394.91241
A limit distribution of credit portfolio losses with low default probabilities. (English) Zbl 1416.91393
A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks. (English) Zbl 1422.91335
Some comparison results for finite-time ruin probabilities in the classical risk model. (English) Zbl 1397.91289
Confidence sets and confidence bands for a beta distribution with applications to credit risk management. (English) Zbl 1394.62057
A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches. (English) Zbl 1394.91335
On maximizing expected discounted taxation in a risk process with interest. (English) Zbl 1415.91158
Asymptotic results for a Markov-modulated risk process with stochastic investment. (English) Zbl 1410.91285
The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks. (English) Zbl 1342.91018
Valuing equity-linked death benefits in a regime-switching framework. (English) Zbl 1390.91211
MSC:
91B30
91G20
On the Markov-dependent risk model with tax. (English) Zbl 1340.91052
MSC:
91B30
60J20
Interplay of insurance and financial risks in a discrete-time model with strongly regular variation. (English) Zbl 1336.91048
Reviewer: Tak Kuen Siu (Sydney)
MSC:
91B30
The time of deducting fees for variable annuities under the state-dependent fee structure. (English) Zbl 1314.91149
MSC:
91B30
Valuing equity-linked death benefits with a threshold expense strategy. (English) Zbl 1318.91128
MSC:
91B30
60H30
Power and exponential moments of the number of visits and related quantities for perturbed random walks. (English) Zbl 1318.60048
A note on deficit analysis in dependency models involving Coxian claim amounts. (English) Zbl 1401.91157
Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy. (English) Zbl 1321.60167
Finite time ruin probabilities for tempered stable insurance risk processes. (English) Zbl 1304.91106
Application of data clustering and machine learning in variable annuity valuation. (English) Zbl 1290.91086
On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process. (English) Zbl 1408.91109
Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments. (English) Zbl 1292.60053
On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy. (English) Zbl 1289.91089
The uniform asymptotics of the overshoot of a random walk with light-tailed increments. (English) Zbl 1272.60025
On the expected discounted penalty function in a delayed-claims risk model. (English) Zbl 1355.60111
Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims. (English) Zbl 1355.91049
Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims. (English) Zbl 1307.91095
MSC:
91B30
60K10
Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims. (English) Zbl 1296.91147
Joint distributions of some actuarial random vectors for the Cox risk model. (English) Zbl 1286.91069
MSC:
91B30
62P05
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases. (English) Zbl 1284.62119
Valuing equity-linked death benefits and other contingent options: a discounted density approach. (English) Zbl 1284.91233
On a risk model with Markovian arrivals and tax. (English) Zbl 1265.91082
MSC:
91B30
91B70
The time to ruin in some additive risk models with random premium rates. (English) Zbl 1264.60067
Reviewer: Klaus Schürger (Bonn)
Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts. (English) Zbl 1262.91094
Path decomposition of ruinous behavior for a general Lévy insurance risk process. (English) Zbl 1259.60051
Reviewer: Hanspeter Schmidli (Köln)
Optimal loss-carry-forward taxation for the Lévy risk model. (English) Zbl 1238.91086
Reviewer: Tak Kuen Siu (Sydney)
MSC:
91B30
93E20
The hitting time for a Cox risk process. (English) Zbl 1235.91110
MSC:
91B30
60K20
Asymptotics in a time-dependent renewal risk model with stochastic return. (English) Zbl 1230.91076
Reviewer: Emilia Di Lorenzo (Napoli)
MSC:
91B30
62P05
Joint and supremum distributions in the compound binomial model with Markovian environment. (English) Zbl 1249.91061
MSC:
91B30
62P05
Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size. (English) Zbl 1218.91090
MSC:
91B30
60K05
On the absolute ruin in a map risk model with debit interest. (English) Zbl 1229.91171
Reviewer: Hanspeter Schmidli (Köln)
Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model. (English) Zbl 1211.91149
Reviewer: Nikolaos Halidias (Athens)
On the time value of absolute ruin with tax. (English) Zbl 1231.91218
MSC:
91B30
Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence. (English) Zbl 1231.91243
On perturbed random walks. (English) Zbl 1208.60042
A constant interest risk model with tax payments. (English) Zbl 1231.91246
MSC:
91B30
60J75
On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model. (English) Zbl 1483.91199
MSC:
91G05
On ruin probability and aggregate claim representations for Pareto claim size distributions. (English) Zbl 1231.91137
MSC:
91B30
The distribution of the first \(\beta\) point in the classical risk model with interest. (English) Zbl 1283.60026
Joint distributions of some actuarial random vectors in the compound binomial model. (English) Zbl 1107.60303
MSC:
60E05
91B30
Some results behind dividend problems. (English) Zbl 1151.91061
MSC:
91B30
91B28
When does surplus reach a certain level before ruin? (English) Zbl 1117.91387
MSC:
91B30
60G51
The joint density function of three characteristics on jump-diffusion risk process. (English) Zbl 1066.91063
Reviewer: Neculai Curteanu (Iaşi)
Filter Results by …
all
top 5
Author
- Yang, Hailiang (6)
- Wang, Wenyuan (5)
- Wu, Rong (5)
- Zhang, Zhimin (5)
- Hu, Yijun (4)
- Wang, Guojing (4)
- Wei, Li (4)
- Griffin, Philip S. (3)
- Landriault, David (3)
- Li, Jinzhu (3)
- Maller, Ross Arthur (3)
- Ming, Ruixing (3)
- Tang, Qihe (3)
- Yang, Yang (3)
- Yuan, Zhongyi (3)
- Zhang, Chunsheng (3)
- Albrecher, Hansjörg (2)
- Bazyari, Abouzar (2)
- Cheung, Eric C. K. (2)
- Feng, Runhuan (2)
- Gan, Guojun (2)
- Gerber, Hans U. (2)
- Guo, Junyi (2)
- Shiu, Elias S. W. (2)
- Wang, Kaiyong (2)
- Willmot, Gordon E. (2)
- Xiao, Liqun (2)
- Yang, Hu (2)
- Zhou, Ming (2)
- Zhou, Xiaowen (2)
- Adekpedjou, Akim (1)
- Al Ghanim, Dalal (1)
- Alsmeyer, Gerold (1)
- Buckner, Dean (1)
- Cantia, Catalin (1)
- Chen, Jikun (1)
- Chen, Shaoying (1)
- Chen, Yiqing (1)
- Chen, Yu (1)
- Cheng, Fengyang (1)
- Cheung, Eric C. K. (1)
- Chi, Cheng (1)
- Constantinescu, Corina D. (1)
- Dingjun, Yao (1)
- Dong, Hua (1)
- Dong, Yinghua (1)
- Dorea, Chang Yu (1)
- Dowd, Kevin (1)
- Du, Yonghong (1)
- Ferreira, Débora B. (1)
- Geiger, Daniel J. (1)
- Geng, Xianmin (1)
- Hayter, Anthony J. (1)
- He, Yan (1)
- He, Yue (1)
- Huang, Yiming (1)
- Huang, Yin (1)
- Huang, Zhenzhen (1)
- Hulley, Hardy (1)
- Hussain, Sultan (1)
- Ignatov, Zvetan G. (1)
- Iksanov, Aleksander M. (1)
- Jacobsen, Martin (1)
- Kaishev, Vladimir K. (1)
- Kawai, Reiichiro (1)
- Kiatsupaibul, Seksan (1)
- Kortschak, Dominik (1)
- Kwok, Yue-Kuen (1)
- Lee, Wing Yan (1)
- Lefèvre, Claude (1)
- Li, Jingchao (1)
- Li, Shuanming (1)
- Li, Zhigang (1)
- Lin, Xu (1)
- Liu, Guoxin (1)
- Liu, Jing (1)
- Liu, Rongfei (1)
- Liu, Zaiming (1)
- Loeffen, Ronnie L. (1)
- Lu, Yi (1)
- Lu, Yuhua (1)
- Mamon, Rogemar S. (1)
- Meiners, Matthias (1)
- Meng, Hui (1)
- Mihálykó, Csaba (1)
- Nie, Ciyu (1)
- Oliveira, Magno A. (1)
- Orbán-Mihálykó, Éva (1)
- Palmowski, Zbigniew (1)
- Papaioannou, Apostolos D. (1)
- Parvez, Aqsa (1)
- Peng, Jiangyan (1)
- Peng, Xingchun (1)
- Ramsden, Lewis (1)
- Roberts, Dale O. (1)
- Rongming, Wang (1)
- Shi, Xiaojun (1)
- Shimizu, Yasutaka (1)
- Siu, Chi Chung (1)
- Somsong, Sarunya (1)
- and 38 more Authors
all
top 5
Serial
- Insur. Math. Econ. (29)
- Acta Math. Appl. Sin., Engl. Ser. (5)
- Scand. Actuar. J. (5)
- Stat. Probab. Lett. (4)
- Appl. Math., Ser. B (Engl. Ed.) (4)
- J. Appl. Probab. (3)
- Commun. Stat., Theory Methods (3)
- Adv. Appl. Probab. (2)
- J. Math. Anal. Appl. (2)
- J. Comput. Appl. Math. (2)
- Appl. Stoch. Models Bus. Ind. (2)
- N. Am. Actuar. J. (2)
- Eur. Actuar. J. (2)
- J. Theor. Probab. (1)
- Ann. Oper. Res. (1)
- Japan J. Ind. Appl. Math. (1)
- Ann. Appl. Probab. (1)
- Commun. Stat., Simulation Comput. (1)
- Stochastic Processes Appl. (1)
- Bernoulli (1)
- Math. Probl. Eng. (1)
- Finance Stoch. (1)
- Methodol. Comput. Appl. Probab. (1)
- Braz. J. Probab. Stat. (1)
- J. Syst. Sci. Complex. (1)
- Stoch. Models (1)
- Iran. J. Sci. Technol., Trans. A, Sci. (1)
- ASTIN Bull. (1)
- Stochastics (1)
- J. Korean Stat. Soc. (1)
- Front. Math. China (1)
- Sankhyā, Ser. A (1)
- Stat. Risk. Model. (1)