zbMath1247.91080MaRDI QIDQ3560912
Soren Asmussen, Hansjoerg Albrecher
Publication date: 17 May 2010
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814282536/toc.shtml
Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes,
Finite-time ruin probabilities using bivariate Laguerre series,
On q-scale functions of spectrally negative Lévy processes,
An expansion formula for Hawkes processes and application to cyber-insurance derivatives,
Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift,
Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem,
Stable dividends under linear-quadratic optimisation,
The Cramér-Lundberg model with a fluctuating number of clients,
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model,
Multiple per-claim reinsurance based on maximizing the Lundberg exponent,
Shock models based on renewal processes with matrix Mittag-Leffler distributed inter-arrival times,
Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain,
Ruin problems for risk processes with dependent phase-type claims,
Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms,
Ruin probabilities in a Markovian shot-noise environment,
A decomposition for Lévy processes inspected at Poisson moments,
Optimal investment strategies for an insurer with liquid constraint,
On the ruin probabilities for a general perturbed renewal risk process,
On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property,
On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model,
Optimal reinsurance design under solvency constraints,
Semi-parametric approach for approximating the ruin probability of classical risk models with large claims,
RISK MODELS IN INSURANCE AND EPIDEMICS: A BRIDGE THROUGH RANDOMIZED POLYNOMIALS,
A QUEUEING MODEL WITH RANDOMIZED DEPLETION OF INVENTORY,
Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model,
Asymptotic results on tail moment for light-tailed risks,
Ruin probability for merged risk processes with correlated arrivals,
Flows of rare events for regularly perturbed semi-Markov processes,
Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times,
Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion,
Bi-seasonal discrete time risk model with income rate two,
Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks,
Ruin probabilities as functions of the roots of a polynomial,
Randomization and the valuation of guaranteed minimum death benefits,
The distribution of extended discrete random sums and its application to waiting time distributions,
The two-barrier escape problem for compound renewal processes with two-sided jumps,
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims,
On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading,
An expected exponential utility maximization problem for bitcoin miners,
Aggregate Markov models in life insurance: properties and valuation,
Pricing cumulative loss derivatives under additive models via Malliavin calculus,
A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions,
Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times,
Interplay of insurance and financial risks in a stochastic environment,
FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES,
On Exceedance Times for Some Processes with Dependent Increments,
On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models,
Approximation methods for piecewise deterministic Markov processes and their costs,
Integral theorems for the first passage time of an arbitrary boundary by a compound renewal process,
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model,
Quantifying Distributional Model Risk via Optimal Transport,
The De Vylder–Goovaerts conjecture holds within the diffusion limit,
On the central management of risk networks,
Asymptotics for the time of ruin in the war of attrition,
Optimal dividend strategies for two collaborating insurance companies,
Integro-Local Limit Theorems for Compound Renewal Processes,
Exact boundaries in sequential testing for phase-type distributions,
On the risk of credibility premium rules,
On the rates of convergence to symmetric stable laws for distributions of normalized geometric random sums,
An application of risk theory to mortgage lending,
On the ruin probability of a generalized Cramér–Lundberg model driven by mixed Poisson processes,
q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model,
Risk diversifying treaty between two companies with only one in insurance business,
Rare Event Simulation Using Reversible Shaking Transformations,
On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes,
Parisian ruin of self-similar Gaussian risk processes,
On a class of dependent Sparre Andersen risk models and a bailout application,
Dynamical insurance models with investment: constrained singular problems for integrodifferential equations,
A survey of some recent results on Risk Theory,
Local theorems for arithmetic compound renewal processes when Cramer's condition holds,
Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities,
Sparre Andersen identity and the last passage time,
Queues and Risk Models with Simultaneous Arrivals,
Risk processes with dependence and premium adjusted to solvency targets,
A subordinated Markov model for stochastic mortality,
Approximation of Passage Times of γ-Reflected Processes with FBM Input,
Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model,
ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS,
RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS,
ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS,
SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL,
MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE,
A note on the convexity of ruin probabilities,
Optimal investment and reinsurance for an insurer under Markov-modulated financial market,
Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model,
Generalized gambler's ruin problem: explicit formulas via Siegmund duality,
Lévy-driven GPS queues with heavy-tailed input,
Sensitivity analysis of some applied probability models,
First exit from an open set for a matrix-exponential Lévy process,
On the asymptotic behaviour of the covariance function of the rewards of a multivariate renewal-reward process,
Hawkes processes in insurance: risk model, application to empirical data and optimal investment,
Optimal control of investment, premium and deductible for a non-life insurance company,
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models,
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process,
Tight tail probability bounds for distribution-free decision making,
Moment and polynomial bounds for ruin-related quantities in risk theory,
Ruin probability in the dual risk model with two revenue streams,
On ruin probabilities with investments in a risky asset with a regime-switching price,
Statistical estimation of jump rates for a piecewise deterministic Markov processes with deterministic increasing motion and jump mechanism,
Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model,
Large deviation principles for sums of random vectors and the corresponding renewal functions in the inhomogeneous case,
Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities,
Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process,
Moments of the ruin time in a Lévy risk model,
Subexponential densities of compound Poisson sums and the supremum of a random walk,
The Gerber-Shiu discounted penalty function: a review from practical perspectives,
On a fuzzy discretization of continuous distributions with applications to risk models,
Recursive methods for a multi-dimensional risk process with common shocks,
On the absolute ruin problem in a Sparre Andersen risk model with constant interest,
Stochastic differential game strategies in the presence of reinsurance and dividend payout,
Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation,
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes,
Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes,
The Bell-Touchard counting process,
Alarm system for insurance companies: a strategy for capital allocation,
Valuing equity-linked death benefits and other contingent options: a discounted density approach,
On the analysis of a general class of dependent risk processes,
Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure,
An adaptive premium policy with a Bayesian motivation in the classical risk model,
Analysis of the discounted sum of ascending ladder heights,
Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach,
Precise large deviations of aggregate claims in a size-dependent renewal risk model,
The tax identity for Markov additive risk processes,
Finite-time survival probability and credit default swaps pricing under geometric Lévy markets,
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model,
A heavy traffic approach to modeling large life insurance portfolios,
Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps,
On asymptotic behaviors and convergence rates related to weak limiting distributions of geometric random sums,
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes,
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications,
Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times,
Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis,
Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments,
Finite time ruin probabilities for tempered stable insurance risk processes,
Ruin probabilities for risk models with ordered claim arrivals,
Potential measures for spectrally negative Markov additive processes with applications in ruin theory,
On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions,
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation,
Simulation analysis of ruin capital in Sparre Andersen's model of risk,
Fourier-cosine method for ruin probabilities,
Error rates and improved algorithms for rare event simulation with heavy Weibull tails,
Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims,
Markov-modulated Ornstein–Uhlenbeck processes,
Lévy Processes with Two-Sided Reflection,
Two-parameter Sample Path Large Deviations for Infinite Server Queues,
Large Deviation Principles for Trajectories of Compound Renewal Processes. I,
Large deviations for a class of tempered subordinators and their inverse processes,
Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails,
Bivariate regular variation among randomly weighted sums in general insurance,
Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps,
The risk model with stochastic premiums and a multi-layer dividend strategy,
On a fuzzy cash flow model with insurance applications,
A note on compound renewal risk models with dependence,
On a partial integrodifferential equation of Seal's type,
A modified insurance risk process with uncertainty,
On some compound distributions with Borel summands,
Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times,
Ruin probabilities in models with a Markov chain dependence structure,
Large deviation principles for the finite-dimensional distributions of compound renewal processes,
Competition among non-life insurers under solvency constraints: a game-theoretic approach,
Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?,
Gerber-Shiu analysis with two-sided acceptable levels,
Applications of a change of measures technique for compound mixed renewal processes to the ruin problem,
Stochastic mathematical model for the spread and control of corona virus,
Bayesian optimal investment and reinsurance with dependent financial and insurance risks,
On capital allocation for a risk measure derived from ruin theory,
An optimal stopping problem for spectrally negative Markov additive processes,
Martingales associated with functions of Markov and finite variation processes,
Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path,
Some expressions of a generalized version of the expected time in the red and the expected area in red,
Analysis of IBNR liabilities with interevent times depending on claim counts,
On the risk of ruin in a SIS type epidemic,
Second order asymptotics for infinite-time ruin probability in a compound renewal risk model,
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects,
An extension of Zolotarev's problem and some related results,
S-shaped narrow framing, skewness and the demand for insurance,
Blockchain mining in pools: analyzing the trade-off between profitability and ruin,
Ruin probability for finite Erlang mixture claims via recurrence sequences,
Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims,
Explicit results for the distribution of the number of customers served during a busy period for \(M^X/PH/1\) queue,
On \(2\times 2\) determinants originating from survival probabilities in homogeneous discrete time risk model,
Biased random walk on the trace of biased random walk on the trace of \(\dots\),
The single server queue with mixing dependencies,
Sensitivity of the stability bound for ruin probabilities to claim distributions,
Parisian ruin with Erlang delay and a lower bankruptcy barrier,
Integro-local theorems in boundary crossing problems for compound renewal processes,
Lévy systems and the time value of ruin for Markov additive processes,
Threshold estimation for a spectrally negative Lévy process,
Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise,
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks,
Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital,
Local theorems for finite-dimensional increments of compound multidimensional arithmetic renewal processes with light tails,
Risk-free investments and their comparison with simple risky strategies in pension insurance model: solving singular problems for integro-differential equations,
Stochastic optimization models of actuarial mathematics,
Asymptotic results for the last zero crossing time of a Brownian motion with non-null drift,
Approximations of the ruin probability in a discrete time risk model,
Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy,
Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment,
Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model,
Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model,
I-delaporte process and applications,
Gambling for resurrection and the heat equation on a triangle,
Approximate Bayesian computations to fit and compare insurance loss models,
Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk,
Risk- and value-based management for non-life insurers under solvency constraints,
Monte Carlo estimation of the density of the sum of dependent random variables,
An optimization approach to adaptive multi-dimensional capital management,
A risk model with varying premiums: its risk management implications,
Stochastic optimal control of risk processes with Lipschitz payoff functions,
An optimal reinsurance problem in the Cramér-Lundberg model,
The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach,
Risk models with dependence between claim occurrences and severities for Atlantic hurricanes,
Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims,
Survival probabilities in bivariate risk models, with application to reinsurance,
On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing,
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects,
Explicit ruin formulas for models with dependence among risks,
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics,
A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process,
On sequential maxima of exponential sample means, with an application to ruin probability,
Fluctuation theory for level-dependent Lévy risk processes,
Wealth investment strategies for insurance companies and the probability of ruin,
Optimal investment for an insurer under liquid reserves,
Optimal reinsurance-investment and dividends problem with fixed transaction costs,
Optimal reinsurance via Dirac-Feynman approach,
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process,
Nonparametric estimation for a spectrally negative Lévy process based on high frequency data,
Continuous-time optimal reinsurance strategy with nontrivial curved structures,
Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model,
A Fourier-cosine method for finite-time ruin probabilities,
Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion,
Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift,
Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion,
Interval estimation of the ruin probability in the classical compound Poisson risk model,
On fair reinsurance premiums; capital injections in a perturbed risk model,
On corrected phase-type approximations of the time value of ruin with heavy tails,
Maximum surplus and \(R_n\) class of distributions with an application to dividends,
Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model,
Orthogonal polynomial expansions to evaluate stop-loss premiums,
On barrier option pricing by Erlangization in a regime-switching model with jumps,
Mixed fractional risk process,
Multiscale stochastic optimization: modeling aspects and scenario generation,
On scale functions for Lévy processes with negative phase-type jumps,
On the gain of collaboration in a two dimensional ruin problem,
Adaptation to climate change: extreme events versus gradual changes,
Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems,
A cyclic approach on classical ruin model,
A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles,
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails,
On the risk consistency and monotonicity of ruin theory,
A \(2\times 2\) random switching model and its dual risk model,
Shot-noise queueing models,
The order-statistic claim process with dependent claim frequencies and severities,
Fixed relative precision estimators of growth rate for compound Poisson and Lévy processes,
Stable Lévy processes in a cone,
Refinements of bounds for tails of compound distributions and ruin probabilities,
Escape probabilities from an interval for compound Poisson processes with drift,
Optimal control of investment in a collective pension insurance model: study of singular nonlinear problems for integro-differential equations,
Queueing and risk models with dependencies,
More for less insurance model: an alternative to (re)insurance,
Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times,
Hidden regular variation for point processes and the single/multiple large point heuristic,
First passage times over stochastic boundaries for subdiffusive processes,
Estimación máxima verosimilitud de la probabilidad de ruina en el modelo de riesgo clásico con reclamaciones exponenciales,
Ruin probabilities for risk process in a regime-switching environment,
Gambler's ruin problem in a Markov-modulated jump-diffusion risk model,
A note on product-convolution for generalized subexponential distributions,
LOG-CONCAVITY OF COMPOUND DISTRIBUTIONS WITH APPLICATIONS IN OPERATIONAL AND ACTUARIAL MODELS,
Subexponential potential asymptotics with applications,
Inhomogeneous phase-type distributions and heavy tails,
Parisian ruin probability - the De Vylder type approximation,
Extrema of multi-dimensional Gaussian processes over random intervals,
Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model,
Upper bounds for ruin probabilities under model uncertainty,
Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima,
The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate,
Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model,
Ruin probabilities for the phase-type dual model perturbed by diffusion,
A note on ergodicity for CIR model with Markov switching,
Geometrically Convergent Simulation of the Extrema of Lévy Processes,
A Dynamic Contagion Risk Model with Recovery Features,
On a risk measure inspired from the ruin probability and the expected deficit at ruin,
Lévy insurance risk process with Poissonian taxation,
Ruin probabilities in multivariate risk models with periodic common shock,
Drawdown analysis for the renewal insurance risk process,
How long does the surplus stay close to its historical high?,
General methods for bounding multidimensional ruin probabilities in regime-switching models,
On the complete monotonicity of the compound geometric convolution with applications in risk theory,
Gaussian risk models with financial constraints,
From ruin theory to solvency in non-life insurance,
On the time and the number of claims when the surplus drops below a certain level,
Analysis of IBNR claims in renewal insurance models,
Discrete time ruin probability with Parisian delay,
Локальные теоремы для арифметических многомерных обобщенных процессов восстановления при выполнении условия Крамера,
Extremes ofγ-reflected Gaussian processes with stationary increments,
Risk Theory with Affine Dividend Payment Strategies,
A new efficient method for estimating the Gerber–Shiu function in the classical risk model,
Ruin under stochastic dependence between premium and claim arrivals,
Ruin probabilities in classical risk models with gamma claims,
Randomly weighted sums of dependent subexponential random variables with applications to risk theory,
The stability of the probability of ruin,
Optimal lower barrier on modified surplus process,
DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS,
Distributional Properties of the Mixture of Continuous-Time Absorbing Markov Chains Moving at Different Speeds,
A ruin model with a resampled environment,
On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications,
Necessary and sufficient conditions for convergence of first-rare-event-time processes for perturbed semi-Markov processes,
Itô calculus for Cramér-Lundberg model,
Integral Equations, Quasi-Monte Carlo Methods and Risk Modeling,
Entrance laws at the origin of self-similar Markov processes in high dimensions,
Unnamed Item,
De Vylder type approximation of the ruin probability for the insurer-reinsurer model,
TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems,
Synchronized Lévy queues,
A study of chi-square-type distribution with geometrically distributed degrees of freedom in relation to distributions of geometric random sums,
Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series,
Joint densities of hitting times for finite state Markov processes,
The maximum surplus before ruin for two classes of perturbed risk model,
Ruin problem of a two-dimensional fractional Brownian motion risk process,
Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments,
A transient Cramér–Lundberg model with applications to credit risk,
Some characterizations for the CIR model with Markov switching,
A tale of two (and more) altruists,
Optimal Dynamic Risk Control for Insurers with State-Dependent Income,
Tail asymptotics of light-tailed Weibull-like sums,
Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model,
Unifying the Dynkin and Lebesgue–Stieltjes formulae,
A reinsurance risk model with a threshold coverage policy: the Gerber–Shiu penalty function,
A note on chaotic and predictable representations for Itô–Markov additive processes,
The study of basic risk processes by discrete-time non-homogeneous Markov processes,
Dividends with tax and capital injection in a spectrally negative Lévy risk model,
AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS,
Optimization of the richardson integration over fluctuations of its step sizes,
Fraud risk assessment within blockchain transactions,
On the total claim amount for marked Poisson cluster models,
The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem,
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes,
A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections,
Discrete Dividend Payments in Continuous Time,
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift,
Cramér type moderate deviations for random fields,
On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain,
Explicit Computations for Some Markov Modulated Counting Processes,
Ruin probabilities for risk processes in a bipartite network,
Lundberg-type inequalities for non-homogeneous risk models,
Robust optimal investment and reinsurance problems with learning,
Stochastic decompositions in bivariate risk and queueing models with mutual assistance,
Second order corrections for the limits of normalized ruin times in the presence of heavy tails,
Bounds for expected supremum of fractional Brownian motion with drift,
Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions,
Optimal prevention of large risks with two types of claims,
Ruin probability in a two-dimensional model with correlated Brownian motions,
On a Stochastic Model for a Cooperative Banking Scheme for Microcredit,
Unnamed Item,
Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier,
General drawdown of general tax model in a time-homogeneous Markov framework,
Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion,
Unnamed Item,
Ruin problems for epidemic insurance,
Optimally Stopping at a Given Distance from the Ultimate Supremum of a Spectrally Negative Lévy Process,
Exponential bounds of ruin probabilities for non-homogeneous risk models,
Running supremum of Brownian motion in dimension 2: exact and asymptotic results,
Optimal investment of a time-dependent renewal risk model with stochastic return,
Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion,
The impact of insurance premium taxation,
Parisian ruin for the dual risk process in discrete-time,
Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance,
On ruin probabilities with risky investments in a stock with stochastic volatility,
Dividends: from refracting to ratcheting,
Exit identities for Lévy processes observed at Poisson arrival times,
Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion,
In the insurance business risky investments are dangerous: the case of negative risk sums,
Comparing two mixing densities in nonparametric mixture models,
The Markov additive risk process under an Erlangized dividend barrier strategy,
Bi-seasonal discrete time risk model,
The roles of coupling and the deviation matrix in determining the value of capacity in \(\mathrm{M}/\mathrm{M}/1/C\) queues,
Deep factorisation of the stable process. II: Potentials and applications,
Large deviation principles in boundary problems for compound renewal processes,
Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force,
A note on a discrete time MAP risk model,
Recovery of ruin probability and value at risk from the scaled Laplace transform inversion,
Banach contraction principle and ruin probabilities in regime-switching models,
On a multi-dimensional risk model with regime switching,
Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk,
A large deviations approach to limit theory for heavy-tailed time series,
A make-to-stock production/inventory model with MAP arrivals and phase-type demands,
Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance,
A Lundberg-type inequality for an inhomogeneous renewal risk model,
Ruin probability in the three-seasonal discrete-time risk model,
A note on ruin problems in perturbed classical risk models,
Boundary crossing of order statistics point processes,
A marked Cox model for the number of IBNR claims: theory,
Equalization reserves for natural catastrophes and shareholder value: a simulation study,
Convolution equivalent Lévy processes and first passage times,
Integro-local theorems for multidimensional compound renewal processes, when Cramer's condition holds. I,
Integro-local limit theorems for compound renewal processes under Cramér's condition. I,
Interplay of subexponential and dependent insurance and financial risks,
Some comparison results for finite-time ruin probabilities in the classical risk model,
On the distribution of cumulative Parisian ruin,
On a perturbed MAP risk model under a threshold dividend strategy,
A generalization of Gerber's inequality for ruin probabilities in risk-switching models,
On the moment-generating functions of extrema and their complements for almost semicontinuous integer-valued Poisson processes on Markov chains,
On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures,
Generalized Pickands constants and stationary max-stable processes,
On a risk model with claim investigation,
Risk models with premiums adjusted to claims number,
Optimal dividend payments under a time of ruin constraint: exponential claims,
On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps,
Convolution and convolution-root properties of long-tailed distributions,
An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion,
A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model,
Ruin probabilities for Bayesian exchangeable claims processes,
On the supremum of the spectrally negative stable process with drift,
Parisian ruin in the dual model with applications to the \(G/M/1\) queue,
The risk model with stochastic premiums, dependence and a threshold dividend strategy,
Duality in ruin problems for ordered risk models,
Approximation of ruin probabilities via Erlangized scale mixtures,
A note on the net profit condition for discrete and classical risk models,
Ruin problems for an autoregressive risk model with dependent rates of interest,
Characterization theorems for customer equivalent utility insurance premium calculation principle,
Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims,
Efficient simulation for dependent rare events with applications to extremes,
Ruin probabilities for a regenerative Poisson gap generated risk process,
A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion,
Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures,
Large deviations and applications for Markovian Hawkes processes with a large initial intensity,
Asymptotic results for renewal risk models with risky investments,
A note on a Lévy insurance risk model under periodic dividend decisions,
A new look at the homogeneous risk model,
Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion,
On the resolvent of the Lévy process with matrix-exponential distribution of jumps,
Conditioned real self-similar Markov processes,
Approximations in the problem of level crossing by a compound renewal process,
Optimal investment under transaction costs for an insurer,
On a generalization of the expected discounted penalty function to include deficits at and beyond ruin,
On the infimum attained by the reflected fractional Brownian motion,
Randomly weighted sums of subexponential random variables with application to capital allocation,
On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues,
On the evaluation of finite-time ruin probabilities in a dependent risk model,
Markov chain approximations to scale functions of Lévy processes,
Discrete Schur-constant models,
A bivariate risk model with mutual deficit coverage,
An IBNR-RBNS insurance risk model with marked Poisson arrivals,
Ruin probability via quantum mechanics approach,
Expected utility of the drawdown-based regime-switching risk model with state-dependent termination,
Optimal dividends under Erlang(2) inter-dividend decision times,
On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes,
Regular variation of a random length sequence of random variables and application to risk assessment,
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models,
A deterministic model for the distribution of the stopping time in a stochastic equation and its numerical solution,
Parametric inference for ruin probability in the classical risk model,
Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums,
On the dual risk model with Parisian implementation delays in dividend payments,
On the continuous dependence of non-ruin probability on claim distribution function in the classical risk model,
On finite-time ruin probabilities in a generalized dual risk model with dependence,
On Multiply Monotone Distributions, Continuous or Discrete, with Applications,
Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks,
Optimal reinsurance and investment with unobservable claim size and intensity,
On the \(\gamma\)-reflected processes with fBm input,
Modeling the effect of spending on cyber security by using surplus process,
Liquidation risk in insurance under contemporary regulatory frameworks,
Ruin-based risk measures in discrete-time risk models