scientific article; zbMATH DE number 3333061
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- Semi-parametric specification tests for mixing distributions
- Optimal investment policy of an insurance firm
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
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- Limit distributions for risk processes in case of claim amounts of finite expectation
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- Risk theory and serendipity
- On the small risk approximation
- The submartingale assumption in risk theory
- Recursive calculation of finite-time ruin probabilities
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- Calculation of the maximum retentions in XL reinsurance
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- Entwicklungstendenzen in der Risikotheorie. (Trends in risk theory)
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- A recourse certainty equivalent for decisions under uncertainty
- A new approach for loaded credibility premiums
- Insurance-investment: Diffusion analysis
- Limiting tail behaviour of some discrete compound distributions
- Decision theoretic foundations of credibility theory
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Applications to risk theory of a Monte Carlo multiple integration method.
- Comparing risks with unbounded distributions
- A stop-loss experience rating scheme for fleets of cars. II
- Trend analysis and prediction procedures for time nonhomogeneous claim processes
- Duality and equilibrium prices in economics of uncertainty
- Controlled diffusion models for optimal dividend pay-out
- On a gamma series expansion for the time-dependent probability of collective ruin
- Stochastic control of funding systems.
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
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- Asset-liability management for long-term insurance business
- Insurance choice under third degree stochastic dominance
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- Robust return risk measures
- Risk aggregation based on the Poisson INAR(1) process with periodic structure
- Defensive medicine, liability insurance and malpractice litigation in an evolutionary model
- Extension problem for principles of equivalent utility
- Using fuzzy logic to interpret dependent risks
- Optimal dividends under Erlang(2) inter-dividend decision times
- On existence and uniqueness of the principle of equivalent utility under cumulative prospect theory
- Large deviations for generalized compound Poisson risk models and its bankruptcy moments
- On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures
- On optimal parameter estimation in credibility
- Analytical best upper bounds on stop-loss premiums
- Simulation methods in ruin models with nonlinear dividend barriers.
- Sharp bounds for \(L\)-statistics from dependent samples of random length
- Ruin estimates under interest force
- Conditions for balance between survival and ruin
- Optimal dividends and ALM under unhedgeable risk
- Dividend problems in the dual risk model
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- Law-invariant functionals that collapse to the mean
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
- Reference points and learning
- Characterization of positive homogeneity for the principle of equivalent utility
- Law-invariant functionals that collapse to the mean: beyond convexity
- Fair estimation of capital risk allocation
- A fully nonlinear free boundary problem for minimizing the ruin probability
- On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- On the optimality of joint periodic and extraordinary dividend strategies
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Optimal investment and contingent claim valuation in illiquid markets
- Risk models based on time series for count random variables
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
- Ruin and deficit under claim arrivals with the order statistics property
- Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework
- Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
- Optimal dividends with an affine penalty
- The perturbed dual risk model with constant interest and a threshold dividend strategy
- General dual measures of riskiness
- Risk diversifying treaty between two companies with only one in insurance business
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- The fundamental theorem of mutual insurance
- Discounted dividends in a strategy with a step barrier function
- Lundberg's risk process with tax
- Characterization of acceptance sets for co-monotone risk measures
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