Optimal investment of a time-dependent renewal risk model with stochastic return (Q264519): Difference between revisions

@@ Property / DOI @@
-.1186/s13660-015-0707-3
@@ Property / DOI: 10.1186/s13660-015-0707-3 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+K10
@@ Property / Mathematics Subject Classification ID: 60K10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
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@@ Property / zbMATH DE Number @@
+6561594
@@ Property / zbMATH DE Number: 6561594 / rank @@
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@@ Property / zbMATH Keywords @@
+dependence
@@ Property / zbMATH Keywords: dependence / rank @@
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@@ Property / zbMATH Keywords @@
+optimal portfolio
@@ Property / zbMATH Keywords: optimal portfolio / rank @@
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@@ Property / zbMATH Keywords @@
+Lévy process
@@ Property / zbMATH Keywords: Lévy process / rank @@
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@@ Property / zbMATH Keywords @@
+asymptotics
@@ Property / zbMATH Keywords: asymptotics / rank @@
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@@ Property / zbMATH Keywords @@
+value-at-risk (VaR)
@@ Property / zbMATH Keywords: value-at-risk (VaR) / rank @@
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+Q59434952
@@ Property / Wikidata QID: Q59434952 / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1186/s13660-015-0707-3
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+W1936495427
@@ Property / OpenAlex ID: W1936495427 / rank @@
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@@ Property / cites work @@
+On a risk model with dependence between interclaim arrivals and claim sizes
+Normal rank
@@ Property / cites work @@
+Exponential Behavior in the Presence of Dependence in Risk Theory
+Normal rank
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+On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
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+Q3008262
@@ Property / cites work: Q3008262 / rank @@
+Normal rank
@@ Property / cites work @@
+Extremes on the discounted aggregate claims in a time dependent risk model
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+Differential equations for ruin probability in a special risk model with FGM copula for the claim size and the inter-claim time
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@@ Property / cites work @@
+An extension of Paulsen-Gjessing's risk model with stochastic return on investments
+Normal rank
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+Integrated insurance risk models with exponential Lévy investment
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+Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
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+Optimal investment for insurers when the stock price follows an exponential Lévy process
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+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios when stock prices follow an exponential Lévy process
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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics in a time-dependent renewal risk model with stochastic return
+Normal rank
@@ Property / cites work @@
+Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
+Normal rank
@@ Property / cites work @@
+Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / DOI @@
+.1186/S13660-015-0707-3
@@ Property / DOI: 10.1186/S13660-015-0707-3 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:264519