scientific article; zbMATH DE number 1249326

zbMath0940.60005MaRDI QIDQ4230625

Volker Schmidt, Tomasz Rolski, Hanspeter Schmidli, Jozef L. Teugels

Publication date: 7 February 1999

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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approach for the optimal reinsurance problem under partial information ⋮ Optimal reinsurance with general premium principles ⋮ Optimal dividend problem with a nonlinear regular-singular stochastic control ⋮ Optimal reinsurance under variance related premium principles ⋮ Analysis of the discounted sum of ascending ladder heights ⋮ Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan ⋮ A new skew generalization of the normal distribution: properties and applications ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments ⋮ Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ Analytical calculation of risk measures for variable annuity guaranteed benefits ⋮ Lifetime properties of a cumulative shock model with a cluster structure ⋮ A dynamic pricing game for general insurance market ⋮ Paracontrolled distribution approach to stochastic Volterra equations ⋮ A decomposition of general premium principles into risk and deviation ⋮ Efficient simulation of finite horizon problems in queueing and insurance risk ⋮ Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk ⋮ Monotonicity properties for solutions of renewal equations ⋮ Mean-variance portfolio selection for a non-life insurance company ⋮ Determination of the distribution of total loss from the fractional moments of its exponential ⋮ A wide class of heavy-tailed distributions and its applications ⋮ Ruin probabilities for discrete time risk models with stochastic rates of interest ⋮ On optimal investment and subexponential claims ⋮ Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ Precise large deviations for generalized dependent compound renewal risk model with consistent variation ⋮ An extension of Arrow's result on optimality of a stop loss contract ⋮ On the distribution of surplus immediately after ruin under interest force and subexponential claims ⋮ Multivariate risk model of phase type ⋮ Bounds for the probability and severity of ruin in the Sparre Andersen model ⋮ Ruin probabilities and penalty functions with stochastic rates of interest ⋮ Phase and multifractality analyses of random price time series by finite-range interacting biased voter system ⋮ Limit theorems for sums of random exponentials ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ On the joint distribution of surplus before and after ruin under a Markovian regime switching model ⋮ Ruin probabilities in the discrete time renewal risk model ⋮ Large deviations of sojourn times in processor sharing queues ⋮ Lundberg-type bounds and asymptotics for the moments of the time to ruin ⋮ Characterization of the marginal distributions of Markov processes used in dynamic reliability ⋮ Variability of total claim amounts under dependence between claims severity and number of events ⋮ Weak convergence of a bootstrap geometric-type estimator with applications to risk theory ⋮ Analysis of risk measures for reinsurance layers ⋮ Portfolio optimization in stochastic markets ⋮ Risk models based on time series for count random variables ⋮ Optimal non-proportional reinsurance control and stochastic differential games ⋮ On the threshold dividend strategy for a generalized jump-diffusion risk model ⋮ A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails ⋮ The uncertain premium principle based on the distortion function ⋮ 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 ⋮ Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes ⋮ Interval estimation of the ruin probability in the classical compound Poisson risk model ⋮ The perturbed compound Poisson risk model with multi-layer dividend strategy ⋮ Asymptotics for solutions of a defective renewal equation with applications ⋮ Kac-Lévy processes ⋮ On a dividend problem with random funding ⋮ Utility indifference pricing and the Aumann-Serrano performance index ⋮ A cyclic approach on classical ruin model ⋮ The order-statistic claim process with dependent claim frequencies and severities ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims ⋮ Escape probabilities from an interval for compound Poisson processes with drift ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy ⋮ Optimal cash management problem for compound Poisson processes with two-sided jumps ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax ⋮ Stochastic differential equations driven by fractional Brownian motion and Poisson point process ⋮ A note on compound renewal risk models with dependence ⋮ Extended Gerber-Shiu functions in a risk model with interest ⋮ On some finite-velocity random motions driven by the geometric counting process ⋮ A copula-based approximation to Markov chains