scientific article; zbMATH DE number 3671542

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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On the ruin probability for the Cox correlated risk model perturbed by diffusion
Securitization of motor insurance loss rate risks
The limit behavior of a risk model based on entrance processes
Risk model with fuzzy random individual claim amount
On the discrete-time compound renewal risk model with dependence
On a dual model with a dividend threshold
Optimal reinsurance with general risk measures
Survival probability for a two-dimensional risk model
Sensitivity analysis and density estimation for finite-time ruin probabilities
Annuitization and asset allocation
Some approximation methods for the distribution of random sums
Practical aspects of stop-loss calculations
Ruin probabilities allowing for delay in claims settlement
Tolerance intervals in risk theory
Properties of premium calculation principles
Strategies for computation of compound distributions with two-sided severities
Approximation of aggregate claims distributions by compound Poisson distributions
Measuring the effects of reinsurance by the adjustment coefficient
Stochastic models for life contingencies
Classical risk theory in an economic environment
New upper bounds for stop-loss premiums for the individual model
Premium rating under non-exponential utility
Diffusion premiums for claim severities subject to inflation
Calculation of the probability of eventual ruin by Beekman's convolution series
A managerial approach to risk theory: Some suggestions from the theory of financial desicions
Perturbation calculus in risk theory: Application to chains and trees of reinsurance
On optimal dividend payments and related problems
Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
The probability of ruin in a process with dependent increments
A bootstrap procedure for estimating the adjustment coefficients
Reinsurance in arbitrage-free markets
Computational methods in risk theory: a matrix-algorithmic approach
Stop-loss order, unequal means, and more dangerous distributions
On the distribution of the surplus prior to ruin
Insurance-investment: Diffusion analysis
Limiting tail behaviour of some discrete compound distributions
Estimation of ruin probabilities by means of hazard rates
Ruin probability by operational calculus
Optimal proportional reinsurance policies for diffusion models with transaction costs
Stochastic cooperative games in insurance
Exact and approximate properties of the distribution of surplus before and after ruin
The moments of ruin time in the classical risk model with discrete claim size distribution
Equation for survival probability in a finite time interval in case of non-zero real interest force
The survival probability in finite time period in fully discrete risk model
Non-optimality of a linear combination of proportional and non-proportional reinsurance
Inequality extensions of Prabhu's formula in ruin theory
On dependence of risks and stop-loss premiums
A stop-loss experience rating scheme for fleets of cars. II
On some measures of the severity of ruin in the classical Poisson model
A note on experience rating, reinsurance and premium principles
Refinements and distributional generalizations of Lundberg's inequality
Some improvements on the Lundberg bound for the ruin probability
Reinsurance and ruin
On the dependency of risks in the individual life model
Controlled diffusion models for optimal dividend pay-out
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
Optimal choice of dividend barriers for a risk process with stochastic return on investments
Using Choquet integral in economics
On the time to ruin for Erlang(2) risk processes.
On a gamma series expansion for the time-dependent probability of collective ruin
Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.
The joint distributions of several important actuarial diagnostics in the classical risk model.
Rational hedging and valuation of integrated risks under constant absolute risk aversion.
The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
A rank-dependent generalization of zero utility principle.
A solution to the ruin problem for Pareto distributions.
A discrete-time risk model with interaction between classes of business.
Ruin theory in a financial corporation model with credit risk.
Joint distributions of some actuarial random vectors containing the time of ruin
Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
How many claims does it take to get ruined and recovered?
Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
Influence functions of empirical nonparametric estimators of net reinsurance premiums
Risk comparisons of premium rules: Optimality and a life insurance study
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
Asymptotic ruin probabilities and optimal investment
Kerstan's method for compound Poisson approximation.
The discrete-time risk model with correlated classes of business
Ruin probabilities based at claim instants for some non-Poisson claim processes
RPA pathwise derivative estimation of ruin probabilities
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
On Pareto-optimal reinsurance with constraints under distortion risk measures
Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
A dependent insurance risk model with surrender and investment under the thinning process
Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures
A generalization of Gerber's inequality for ruin probabilities in risk-switching models
A note on a Lévy insurance risk model under periodic dividend decisions
Pareto-optimal reinsurance policies in the presence of individual risk constraints
On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
On existence and uniqueness of the principle of equivalent utility under cumulative prospect theory
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
Robust reinsurance contracts with uncertainty about jump risk
Derivatives trading for insurers
Limit theorems for mixed max-sum processes with renewal stopping
Large deviations for generalized compound Poisson risk models and its bankruptcy moments
An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate
Wealth investment strategies for insurance companies and the probability of ruin

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