Diffusion approximations in collective risk theory

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Editorial introduction: special issue on Gaussian queues
Optimal control of a big financial company with debt liability under bankrupt probability constraints
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
The time of ultimate recovery in Gaussian risk model
Ruin problem of a two-dimensional fractional Brownian motion risk process
Reinsurance contract design with heterogeneous beliefs and learning
On the Parisian ruin of the dual Lévy risk model
Improved Asymptotics for Ruin Probabilities
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
Taylor-series expansion for multivariate characteristics of classical risk processes
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
Optimal investment and reinsurance policies in insurance markets under the effect of inside information
Insurance-investment: Diffusion analysis
Diffusion premiums for claim severities subject to inflation
Gambling for resurrection and the heat equation on a triangle
Optimal Dividends
Controlled diffusion models for optimal dividend pay-out
Quantifying distributional model risk via optimal transport
Discounted probability of exponential Parisian ruin: diffusion approximation
Practical approximations for multivariate characteristics of risk processes
Approximation of ruin probability and ruin time in discrete Brownian risk models
Dividend maximization under consideration of the time value of ruin
On Ultimate Ruin in a Delayed-Claims Risk Model
Approximations for the probability of ruin within finite time
Sensitivity of the joint survival probability for reinsurance schemes
Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift
A heavy traffic approach to modeling large life insurance portfolios
Weak convergence of assets processes with stochastic interest return
CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE
Optimal dividend strategies with reinsurance under contagious systemic risk
Limit theorems for mixed max-sum processes with renewal stopping
Simultaneous ruin probability for two-dimensional Brownian risk model
Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
Methods for estimating the optimal dividend barrier and the probability of ruin
Weak convergence approach to compound Poisson risk processes perturbed by diffusion
Unintended consequences of the market risk requirement in banking regulation
A diffusion approximation for the ruin function of a risk process with compounding assets
Stable Lévy motion approximation in collective risk theory
The de Vylder-Goovaerts conjecture holds within the diffusion limit
Discrete-time risk processes with after-effects and association
Ruin problems with compounding assets
Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
Mixed Poisson process with Pareto mixing variable and its risk applications
Delay in claim settlement and ruin probability approximations
On the weak convergence of alternating processes
A class of approximations of ruin probabilities
Minimal cost of a Brownian risk without ruin
A theory of risk, return and solvency
Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Optimal Proportional Reinsurance Policies in a Dynamic Setting
Cramér-Lundberg approximation for nonlinearly perturbed risk processes
Hawkes processes in insurance: risk model, application to empirical data and optimal investment
Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space
Optimal investment under transaction costs for an insurer
Optimal investment policy of an insurance firm
Optimum excess-loss reinsurance: A dynamic framework
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Diffusion approximations for insurance risk processes
Reinsurance contracts under Stackelberg game and market equilibrium
The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
Optimal dividend and investing control of an insurance company with higher solvency constraints
On the probability of ruin of risk processes approximated by a diffusion process
Asymptotic results for the risk process based on marked point processes
A fully nonlinear free boundary problem for minimizing the ruin probability
Weak limits of random coefficient autoregressive processes and their application in ruin theory
Ruin Theory in a Hidden Markov-Modulated Risk Model
Optimal reinsurance with a systemic surplus shock
Strong approximations of renewal processes and their applications
Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims
Extremes of vector-valued Gaussian processes with trend
Optimal dividend strategy for an insurance group with contagious default risk
Robust reinsurance contracts in continuous time
Optimal proportional reinsurance policies for stochastic models
Stochastic differential equations for compounded risk reserves
Optimal dividend problem: asymptotic analysis
Estimates for the probability of ruin starting with a large initial reserve
Risk process approximation with mixing
Running supremum of Brownian motion in dimension 2: exact and asymptotic results

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