Huang, He; Li, Wenping; Li, Shiying; Xu, Hongyan Information sharing in the presence of retailer’s risk aversion and altruism. (English) Zbl 07917693 Int. Trans. Oper. Res. 32, No. 1, 406-437 (2025). MSC: 90-XX × Cite Format Result Cite Review PDF Full Text: DOI
Li, Wenwen; Goldenshluger, Alexander Adaptive minimax estimation of service time distribution in the \(M_t/G/\infty\) queue from departure data. (English) Zbl 07931024 Queueing Syst. 108, No. 1-2, 81-123 (2024). MSC: 60K25 62G05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Cruz, Ernesto; Rincón, Luis; Santana, David J. Ruin probabilities as recurrence sequences in a discrete-time risk process. (English) Zbl 07927850 Methodol. Comput. Appl. Probab. 26, No. 3, Paper No. 32, 16 p. (2024). MSC: 91B30 91G99 60G99 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Gzyl, Henryk A predictive approach to quantiles: application to value at risk and tail value at risk. (English) Zbl 07927162 Probab. Math. Stat. 44, No. 1, 15-28 (2024). MSC: 60A99 60D99 62G08 × Cite Format Result Cite Review PDF Full Text: DOI
Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, Steven Cost-efficient payoffs under model ambiguity. (English) Zbl 07927018 Finance Stoch. 28, No. 4, 965-997 (2024). MSC: 91Gxx 91B30 62E17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Aruka, Yuji Evolutionary economics. (English) Zbl 07925548 Springer Texts in Business and Economics. Singapore: Springer (ISBN 978-981-97-1381-3/hbk; 978-981-97-1384-4/pbk; 978-981-97-1382-0/ebook). xvi, 328 p. (2024). MSC: 91-02 91B64 91B52 91A80 91G45 91B60 91B70 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Jianping; Zhuang, Weiwei; Hu, Taizhong Aging notions, stochastic orders, and expected utilities. (English) Zbl 07925091 J. Appl. Probab. 61, No. 3, 767-780 (2024). MSC: 91B16 90B25 × Cite Format Result Cite Review PDF Full Text: DOI
Protter, Philip; Quintos, Alejandra Stopping times occurring simultaneously. (English) Zbl 07924496 ESAIM, Probab. Stat. 28, 110-131 (2024). MSC: 60G40 60G55 91G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Gapeev, Pavel V.; Jeanblanc, Monique On the construction of conditional probability densities in the Brownian and compound Poisson filtrations. (English) Zbl 07924494 ESAIM, Probab. Stat. 28, 62-74 (2024). MSC: 60G44 60J65 60G40 60G35 60H10 91G40 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Zhang, Zixuan; Chronopoulos, Michail; Dimitrova, Dimitrina S.; Kyriakou, Ioannis Risk assessment and optimal scheduling of serial projects. (English) Zbl 07924477 OR Spectrum 46, No. 3, 709-736 (2024). MSC: 90B50 90B36 90C15 91B06 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Tarłowski, Dawid On exponential convergence of random variables. (English) Zbl 07923293 Appl. Math. 51, No. 1, 1-11 (2024). MSC: 60G07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kitani, Ryosuke; Nakagawa, Hidetoshi Discrepancy between regulations and practice in initial margin calculation. (English) Zbl 07922758 Japan J. Ind. Appl. Math. 41, No. 3, 1567-1592 (2024). MSC: 91-XX 62-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Tomita, Masashi; Takaoka, Koichiro; Ishizaka, Motokazu Some mathematical properties of the premium function and ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes. (English) Zbl 07922752 Japan J. Ind. Appl. Math. 41, No. 3, 1389-1412 (2024). MSC: 91B30 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Louriki, Mohammed Information-based approach: pricing of a credit risky asset in the presence of default time. (English) Zbl 07920277 Probab. Uncertain. Quant. Risk 9, No. 3, 405-430 (2024). MSC: 60G40 60G46 60J25 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hambly, Ben; Kolliopoulos, Nikolaos Stochastic PDEs for large portfolios with general mean-reverting volatility processes. (English) Zbl 07920272 Probab. Uncertain. Quant. Risk 9, No. 3, 263-300 (2024). MSC: 60H30 91G10 60J60 35R60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V. Accurate and explainable mortality forecasting with the LocalGLMnet. (English) Zbl 07917001 Scand. Actuar. J. 2024, No. 7, 739-761 (2024). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Qingqing; Liang, Zhibin; Wang, Fudong A Stackelberg-Nash equilibrium with investment and reinsurance in mixed leadership game. (English) Zbl 07917000 Scand. Actuar. J. 2024, No. 7, 705-738 (2024). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Caibin; Liang, Zhibin Non-zero-sum reinsurance and investment game under thinning dependence structure: mean-variance premium principle. (English) Zbl 07916999 Scand. Actuar. J. 2024, No. 7, 680-704 (2024). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, An; Hinken, Maria; Shen, Yang Life reinsurance under perfect and asymmetric information. (English) Zbl 07916998 Scand. Actuar. J. 2024, No. 7, 657-679 (2024). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Zhang, Yiying Stochastic orders and distortion risk contribution ratio measures. (English) Zbl 07915301 Insur. Math. Econ. 118, 104-122 (2024). MSC: 91G45 91G70 60E15 62H05 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Bo; Zhou, Xiaowen An excursion theoretic approach to Parisian ruin problem. (English) Zbl 07915297 Insur. Math. Econ. 118, 44-58 (2024). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cherif, Dorsaf; Lepinette, Emmanuel Conditional indicators. (English) Zbl 07914183 Quaest. Math. 47, No. 8, 1733-1754 (2024). MSC: 60G07 60G48 91G15 91G20 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guo, Weiwei; Zhang, Wei-Guo; Gong, Zaiwu Modeling of linear uncertain portfolio selection with uncertain constraint and risk index. (English) Zbl 07914040 Fuzzy Optim. Decis. Mak. 23, No. 3, 469-496 (2024). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Pegoraro, Stefano Risk aversion with nothing to lose. (English) Zbl 07913071 J. Econ. Theory 221, Article ID 105902, 22 p. (2024). MSC: 91B06 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Kechejian, H.; Ohanyan, V. K.; Bardakhchyan, V. G. Portfolio value-at-risk approximation for geometric Brownian motion. (English) Zbl 07911064 J. Contemp. Math. Anal., Armen. Acad. Sci. 59, No. 2, 110-119 (2024) and Izv. Nats. Akad. Nauk Armen., Mat. 59, No. 2, 56-66 (2024). MSC: 60J65 65C30 60H35 97M30 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Prajapati, Deepak; Mondal, Shuvashree; Kundu, Debasis Two sample Bayesian acceptance sampling plan. (English) Zbl 07910190 Ann. Oper. Res. 340, No. 1, 425-449 (2024). MSC: 62Nxx 62Fxx 62Cxx × Cite Format Result Cite Review PDF Full Text: DOI
Cui, Hengxin; Tan, Ken Seng; Yang, Fan Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. (English) Zbl 07905438 Ann. Oper. Res. 332, No. 1-3, 55-84 (2024). MSC: 91G40 62P05 62H05 × Cite Format Result Cite Review PDF Full Text: DOI
Bastidon, Cécile; Parent, Antoine Cliometrics of world stock markets evolving networks. (English) Zbl 07905437 Ann. Oper. Res. 332, No. 1-3, 23-53 (2024). MSC: 91G15 91G45 91-03 × Cite Format Result Cite Review PDF Full Text: DOI
van Dorp, Johan René; Shittu, Ekundayo Two-sided distributions with applications in insurance loss modeling. (English) Zbl 07905233 Stat. Methods Appl. 33, No. 3, 827-861 (2024). MSC: 62E99 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
De Donno, Marzia; Menegatti, Mario Preferences on discounting under time risk. (English) Zbl 07904763 J. Math. Econ. 113, Article ID 103020, 9 p. (2024). MSC: 91B08 91B06 × Cite Format Result Cite Review PDF Full Text: DOI
Grigorova, Miryana; Quenez, Marie-Claire; Yuan, Peng Optimal stopping: Bermudan strategies meet non-linear evaluations. (English) Zbl 07904064 Electron. J. Probab. 29, Paper No. 102, 29 p. (2024). MSC: 60G40 90C39 60G48 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link OA License
Qiao, Nan; Li, Tao Data-driven direct adaptive risk-sensitive control of stochastic systems. (English) Zbl 07903366 J. Syst. Sci. Complex. 37, No. 4, 1446-1469 (2024). MSC: 93C40 90C39 93E03 93C05 × Cite Format Result Cite Review PDF Full Text: DOI
Bai, Wei; Zhang, Junting; Liu, Haifei; Liu, Kai How to construct a lower risk FOF based on correlation network? The method of principal component risk parity asset allocation. (English) Zbl 07903347 J. Syst. Sci. Complex. 37, No. 3, 1052-1079 (2024). MSC: 91G10 62P05 62H25 × Cite Format Result Cite Review PDF Full Text: DOI
Georgiou, Kyriakos; Yannacopoulos, Athanasios N. Deep neural networks for probability of default modelling. (English) Zbl 07901720 J. Ind. Manag. Optim. 20, No. 12, 3647-3677 (2024). MSC: 60H30 68T07 45K05 91G40 91G60 91-08 × Cite Format Result Cite Review PDF Full Text: DOI
Ruscitti, Francesco; Dubey, Ram Sewak; Laguzzi, Giorgio Decision-making under risk: when is utility-maximization equivalent to risk-minimization? (English) Zbl 1542.91410 Theory Decis. 97, No. 1, 23-38 (2024). MSC: 91G30 91G70 91B06 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Allouche, Michaël; El Methni, Jonathan; Girard, Stéphane Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions. (English) Zbl 1543.62353 J. Stat. Plann. Inference 233, Article ID 106189, 27 p. (2024). MSC: 62G32 62G30 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Shican Mean-variance portfolio with wealth and volatility dependent risk aversion. (English) Zbl 07900976 Quant. Finance 24, No. 6, 735-751 (2024). MSC: 91G10 91B16 91A80 × Cite Format Result Cite Review PDF Full Text: DOI
Krebs, Tom; Scheffel, Martin Optimal allocations in growth models with private information. (English) Zbl 1542.91142 Econ. Theory 78, No. 1, 125-154 (2024). MSC: 91B62 91B32 91B39 91B38 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Uysal, A. Sinem; Li, Xiaoyue; Mulvey, John M. End-to-end risk budgeting portfolio optimization with neural networks. (English) Zbl 1542.91366 Ann. Oper. Res. 339, No. 1-2, 397-426 (2024). MSC: 91G10 93E20 68T07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liu, Lei; Urgo, Marcello Robust scheduling in a two-machine re-entrant flow shop to minimise the value-at-risk of the makespan: branch-and-bound and heuristic algorithms based on Markovian activity networks and phase-type distributions. (English) Zbl 07897710 Ann. Oper. Res. 338, No. 1, 741-764 (2024). MSC: 90B35 90B36 90C59 90C57 × Cite Format Result Cite Review PDF Full Text: DOI
Rezaei, Fatemeh; Najafi, Amir Abbas; Demeulemeester, Erik; Ramezanian, Reza A stochastic bi-objective project scheduling model under failure of activities. (English) Zbl 07897701 Ann. Oper. Res. 338, No. 1, 453-476 (2024). MSC: 90B36 90C11 90C15 90C29 × Cite Format Result Cite Review PDF Full Text: DOI
Leifhelm, Mathis; Scholz, Peter Carbon risk hedging: reducing portfolio carbon risk using a beta hedge ratio. (English) Zbl 1542.91362 Int. J. Theor. Appl. Finance 27, No. 1, Article ID 2450006, 23 p. (2024). MSC: 91G10 91B76 × Cite Format Result Cite Review PDF Full Text: DOI
Guan, Guohui; Liang, Zongxia; Xia, Yi Optimal management of DB pension fund under both underfunded and overfunded cases. (English) Zbl 07896851 Scand. Actuar. J. 2024, No. 6, 583-624 (2024). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91G10 60G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Haoran Forward indifference valuation for dynamically incoming projects. (English) Zbl 1542.91367 Probab. Uncertain. Quant. Risk 9, No. 2, 219-234 (2024). MSC: 91G10 60H30 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Al-Omari, Amer Ibrahim; Ismail, Mohd Tahir Group acceptance sampling plans based on truncated life tests for gamma Lindley distribution with real data application. (English) Zbl 07896157 Lobachevskii J. Math. 45, No. 2, 578-590 (2024). MSC: 62Nxx 62Dxx × Cite Format Result Cite Review PDF Full Text: DOI
Yan, Xuechen; Li, Lu; Wang, Yashi Worst-case distortion risk measure with application to robust portfolio selection. (English) Zbl 07895237 Chin. J. Appl. Probab. Stat. 40, No. 1, 122-138 (2024). MSC: 91G10 60A10 × Cite Format Result Cite Review PDF Full Text: DOI
Lucchetta, Marcella Welfare and bank risk-taking. (English) Zbl 07895135 Ann. Finance 20, No. 2, 239-258 (2024). MSC: 91G45 91B50 × Cite Format Result Cite Review PDF Full Text: DOI
Huo, Haifeng; Cui, Jinhua; Wen, Xian Minimizing risk probability for infinite discounted piecewise deterministic Markov decision processes. (English) Zbl 07893461 Kybernetika 60, No. 3, 357-378 (2024). MSC: 90C40 60Exx × Cite Format Result Cite Review PDF Full Text: DOI
Gervė, Simonas; Grigutis, Andrius Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory. (English) Zbl 07892663 Mod. Stoch., Theory Appl. 11, No. 3, 323-357 (2024). MSC: 91B05 60G50 60J85 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mu, Wanrong; Chiu, Sung Nok; Wang, Guojing Pricing CDS index tranches under thinning-dependence structure with regime switching. (English) Zbl 07890911 J. Comput. Appl. Math. 451, Article ID 116080, 21 p. (2024). MSC: 91G20 91G40 62P05 62H05 × Cite Format Result Cite Review PDF Full Text: DOI
Bermin, Hans-Peter; Holm, Magnus The geometry of risk adjustments. (English) Zbl 07890792 Decis. Econ. Finance 47, No. 1, 83-120 (2024). MSC: 91G10 91G20 91G80 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Teruzzi, Martina; Demo, Nicola; Rozza, Gianluigi A graph-based framework for complex system simulating and diagnosis with automatic reconfiguration. (English) Zbl 07889299 Math. Eng. (Springfield) 6, No. 1, Paper No. 2, 44 p. (2024). MSC: 93C99 05C20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wei, Jiajin; He, Ping; Tong, Tiejun Estimating the reciprocal of a binomial proportion. (English) Zbl 07888873 Int. Stat. Rev. 92, No. 1, 1-16 (2024). MSC: 62-XX 62Dxx 62Fxx × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
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 × Cite Format Result Cite Review PDF Full Text: DOI
Webb, Craig S. Dynamic preference foundations of expected exponentially-discounted utility. (English) Zbl 07887532 Econ. Theory 77, No. 4, 921-940 (2024). MSC: 91B08 91B16 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Maruyama, Yuzo; Takemura, Akimichi Non-minimaxity of debiased shrinkage estimators. (English) Zbl 1541.62170 Jpn. J. Stat. Data Sci. 7, No. 1, 361-375 (2024). MSC: 62J07 62C20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Lima, Gustavo Libório Rocha; Ely, Regis Augusto; Cajueiro, Daniel Oliveira Interactions between monetary and macroprudential policies. (English) Zbl 07885180 Quant. Finance 24, No. 3-4, 481-498 (2024). MSC: 91B64 91G45 91A80 × Cite Format Result Cite Review PDF Full Text: DOI
Zhao, Hua; Ahmadzade, Hamed; GhasemiGol, Mohammad Tsallis entropy of uncertain sets and its application to portfolio allocation. (English) Zbl 07882628 J. Ind. Manag. Optim. 20, No. 9, 2885-2905 (2024). MSC: 91G10 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Gankhuu, Battulga The Merton’s default risk model for private company. (English) Zbl 07882612 J. Ind. Manag. Optim. 20, No. 8, 2541-2569 (2024). MSC: 91G40 91G20 91G10 91G50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, An; Stadje, Mitja; Zhang, Fangyuan On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization. (English) Zbl 07882277 Insur. Math. Econ. 117, 114-129 (2024). MSC: 91G70 91G10 90C90 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Johari, Maryam; Hosseini-Motlagh, Seyyed-Mahdi An evolutionary game theory approach for analyzing risk-based financing schemes. (English) Zbl 07881790 Ann. Oper. Res. 336, No. 3, 1637-1660 (2024). MSC: 91G40 91A22 91A80 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Yanhong; Miao, Liangliang Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps. (English) Zbl 07881557 Commun. Stat., Theory Methods 53, No. 14, 5092-5116 (2024). MSC: 91B30 60G07 91B32 60J60 × Cite Format Result Cite Review PDF Full Text: DOI
Vorontsov, M. O. RMS risk analysis when using multiple hypothesis testing select parameters of thresholding under conditions of weak dependence. (English. Russian original) Zbl 07881442 Mosc. Univ. Comput. Math. Cybern. 48, No. 2, 91-97 (2024); translation from Vestn. Mosk. Univ., Ser. XV 2024, No. 2, 22-30 (2024). MSC: 62Gxx 62Mxx 62Cxx × Cite Format Result Cite Review PDF Full Text: DOI
Kabaca, Serdar; Tuzcuoglu, Kerem International transmission of quantitative easing policies: evidence from Canada. (English) Zbl 07881207 J. Econ. Dyn. Control 162, Article ID 104849, 14 p. (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Li, Zhong; Sendova, Kristina P.; Yang, Chen On an insurance ruin model with a causal dependence structure and perturbation. (English) Zbl 07881062 J. Comput. Appl. Math. 449, Article ID 115970, 19 p. (2024). MSC: 91G05 60K10 60J60 × Cite Format Result Cite Review PDF Full Text: DOI
De Luca, Giuseppe; Magnus, Jan R. Shrinkage efficiency bounds: an extension. (English) Zbl 07880506 Commun. Stat., Theory Methods 53, No. 11, 4147-4152 (2024). MSC: 62C20 62H12 62J07 × Cite Format Result Cite Review PDF 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 × Cite Format Result Cite Review PDF Full Text: DOI
Guillaume, Romain; Kasperski, Adam; Zieliński, Paweł A framework of distributionally robust possibilistic optimization. (English) Zbl 07879561 Fuzzy Optim. Decis. Mak. 23, No. 2, 253-278 (2024). MSC: 90Cxx 90-XX 60Axx × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF 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 × Cite Format Result Cite Review PDF 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 × Cite Format Result Cite Review PDF Full Text: DOI
Gan, Liu; Yang, Zhaojun Financial decisions involving credit default swaps over the business cycle. (English) Zbl 07875980 J. Econ. Dyn. Control 161, Article ID 104830, 18 p. (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Tyutyunov, Yuri; Sen, Deeptajyoti; Banerjee, Malay Does mutual interference stabilize prey-predator model with Bazykin-Crowley-Martin trophic function? (English) Zbl 07875671 Math. Biosci. 372, Article ID 109201, 13 p. (2024). Reviewer: Paul Georgescu (Iaşi) MSC: 92D25 34C23 × Cite Format Result Cite Review PDF Full Text: DOI
Penczynski, Stefan P.; Santana, Maria Isabel Measuring trust in institutions and its causal effect. (English) Zbl 07874787 Quant. Econ. 15, No. 1, 213-243 (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Collins, Sean M.; James, Duncan Hidden in plain sight: payoffs, probability, space, and time in isomorphic tasks. (English) Zbl 07874117 Games Econ. Behav. 145, 117-136 (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91B26 91-05 × Cite Format Result Cite Review PDF Full Text: DOI
Williamson, Stephen Deposit insurance, bank regulation, and narrow banking. (English) Zbl 07873204 J. Econ. Theory 219, Article ID 105859, 22 p. (2024). MSC: 91G45 91B64 × Cite Format Result Cite Review PDF Full Text: DOI
Groneck, Max; Ludwig, Alexander; Zimper, Alexander Who saves more, the naive or the sophisticated agent? (English) Zbl 07873202 J. Econ. Theory 219, Article ID 105848, 33 p. (2024). MSC: 91B42 × Cite Format Result Cite Review PDF Full Text: DOI
Kato, Kensuke; Nakamura, Nobuhiro PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices. (English) Zbl 1542.91425 Asia-Pac. Financ. Mark. 31, No. 2, 389-421 (2024). MSC: 91G60 65M06 65C05 91G40 35Q91 91G15 × Cite Format Result Cite Review PDF Full Text: DOI
Kanoria, Yash; Lobel, Ilan; Lu, Jiaqi Managing customer churn via service mode control. (English) Zbl 1540.60056 Math. Oper. Res. 49, No. 2, 1192-1222 (2024). MSC: 60G07 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Glover, Kristoffer; Peskir, Goran Quickest detection problems for Ornstein-Uhlenbeck processes. (English) Zbl 1540.60073 Math. Oper. Res. 49, No. 2, 1045-1064 (2024). MSC: 60G40 60J60 60H30 35K57 45G10 62C10 × Cite Format Result Cite Review PDF Full Text: DOI
Černý, Aleš; Czichowsky, Christoph; Kallsen, Jan Numeraire-invariant quadratic hedging and mean-variance portfolio allocation. (English) Zbl 07872316 Math. Oper. Res. 49, No. 2, 752-781 (2024). MSC: 91G10 60G48 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hiller, Tobias Allocation of portfolio risk and outside options: which is the best coalition structure value to solve the low-risk anomaly? (English) Zbl 07872062 Int. Game Theory Rev. 26, No. 1, Article ID 2350017, 13 p. (2024). MSC: 91G10 91A12 × Cite Format Result Cite Review PDF Full Text: DOI
Hiller, Tobias Varying weights of marginal contributions: one approach to solving the low-risk puzzle? (English) Zbl 07872059 Int. Game Theory Rev. 26, No. 1, Article ID 2350014, 9 p. (2024). MSC: 91G10 91A12 × Cite Format Result Cite Review PDF Full Text: DOI
Song, Yanan; Yue, Zexin; Chen, Junlin; Zhao, Xiaobo A newsvendor problem considering decision biases of strategic customers with private product value information. (English) Zbl 1542.90012 Asia-Pac. J. Oper. Res. 41, No. 1, Article ID 2350004, 25 p. (2024). MSC: 90B05 91B24 91B42 × Cite Format Result Cite Review PDF Full Text: DOI
Reale, Jessica Interbank decisions and margins of stability: an agent-based stock-flow consistent approach. (English) Zbl 07868301 J. Econ. Dyn. Control 160, Article ID 104822, 23 p. (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Saroyan, Susanna Counterparty choice, maturity shifts and market freezes: lessons from the European interbank market. (English) Zbl 07868298 J. Econ. Dyn. Control 160, Article ID 104819, 14 p. (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Arduca, Maria; Munari, Cosimo Risk measures beyond frictionless markets. (English) Zbl 07867069 SIAM J. Financ. Math. 15, No. 2, 537-570 (2024). MSC: 91G10 91G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Calafiore, Giuseppe C.; Fracastoro, Giulia; Proskurnikov, Anton V. Optimal clearing payments in a financial contagion model. (English) Zbl 07867067 SIAM J. Financ. Math. 15, No. 2, 473-502 (2024). MSC: 91G45 90C05 90C25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pitera, Marcin; Rásonyi, Miklós Short communication: utility-based acceptability indices. (English) Zbl 07867063 SIAM J. Financ. Math. 15, No. 2, SC28-SC40 (2024). MSC: 91B16 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Junye; Sarno, Lucio; Zinna, Gabriele Risks and risk premia in the US Treasury market. (English) Zbl 07865862 J. Econ. Dyn. Control 158, Article ID 104788, 24 p. (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel; Würsig, Christoph Matthias Measuring tail risk. (English) Zbl 07863981 J. Econom. 241, No. 2, Article ID 105769, 24 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Li, Yifan; Nolte, Ingmar; Pham, Manh Cuong Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (English) Zbl 07863976 J. Econom. 241, No. 2, Article ID 105748, 24 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Hernández-Hernández, Daniel; Treviño-Aguilar, Erick Drawdown constraint for long-term investments under partial information. (English) Zbl 1541.91226 Pure Appl. Funct. Anal. 9, No. 3, 655-673 (2024). MSC: 91G10 93E20 49L20 × Cite Format Result Cite Review PDF Full Text: Link
Dentcheva, Darinka; Ruszczyński, Andrzej Risk-averse optimization and control. Theory and methods. (English) Zbl 07862900 Springer Series in Operations Research and Financial Engineering. Cham: Springer (ISBN 978-3-031-57987-5/hbk; 978-3-031-57990-5/pbk; 978-3-031-57988-2/ebook). xv, 451 p. (2024). MSC: 91-02 91B16 93E20 90C15 91G70 60E15 × Cite Format Result Cite Review PDF Full Text: DOI
Castillo, Camilo; Serrano, Rafael ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach. (English) Zbl 07862457 Comput. Appl. Math. 43, No. 4, Paper No. 225, 29 p. (2024). MSC: 91G10 93E20 91B05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Sawadogo, Lassané; Kafando, Delwendé Abdoul-Kabir; Bere, Frédéric; Ouedraogo, Mahamoudou Gerber-Shiu analysis on a perturbed risk model with tail dependence via spearman copula between claim size and claim arrival times. (English) Zbl 07861715 Int. J. Numer. Methods Appl. 24, No. 1, 95-107 (2024). MSC: 91B05 62H05 60K10 45J05 × Cite Format Result Cite Review PDF Full Text: DOI
Salman, A. N. M.; Hakim, Arief; Syuhada, Khreshna Generalized coefficients of clustering in (un)directed and (un)weighted networks: an application to systemic risk quantification for cryptocoin markets. (English) Zbl 1541.91258 Commun. Nonlinear Sci. Numer. Simul. 135, Article ID 108046, 32 p. (2024). MSC: 91G45 05C90 × Cite Format Result Cite Review PDF Full Text: DOI
Hao, Wenjing; Qiu, Zhijian A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment. (English) Zbl 1543.91037 Math. Methods Appl. Sci. 47, No. 5, 3361-3386 (2024). MSC: 91B05 91B70 91B50 26A33 × Cite Format Result Cite Review PDF 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 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Hongxia; Su, Qi; Yang, Yang Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses. (English) Zbl 1539.62311 Stochastics 96, No. 1, 667-695 (2024). MSC: 62P05 62E20 91B05 × Cite Format Result Cite Review PDF Full Text: DOI