scientific article; zbMATH DE number 3333061
From MaRDI portal
zbMath0209.23302MaRDI QIDQ5609896
Publication date: 1970
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Related Items
Trend analysis and prediction procedures for time nonhomogeneous claim processes, On the small risk approximation, The submartingale assumption in risk theory, Optimal reinsurance/investment problems for general insurance models, Ruin problems in the generalized Erlang(\(n\)) risk model, Recursive calculation of finite-time ruin probabilities, Joint insurance and capitalization costs, Calculation of the maximum retentions in XL reinsurance, Upper bounds on ruin probabilities in case of negative loadings and positive interest rates, On a dual risk model perturbed by diffusion with dividend threshold, Some results behind dividend problems, The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier, Optimal reinsurance under general risk measures, 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, A note on computing bonus-malus insurance premiums using a hierarchical Bayesian framework, Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier, A risk model with renewal shot-noise Cox process, Optimal dividend payments under a time of ruin constraint: exponential claims, A BSDE approach to a risk-based optimal investment of an insurer, On optimality of the barrier strategy for the classical risk model with interest, Insurance provision under a solvency requirement, Time-consistent actuarial valuations, Optimal proportional reinsurance and investment with minimum probability of ruin, Discrete-time insurance model with capital injections and reinsurance, Characterization theorems for customer equivalent utility insurance premium calculation principle, A free boundary problem arising from a stochastic optimal control model under controllable risk, Delay in claim settlement, The Bühlmann-Straub model with the premium calculated according to the variance principle, Ordering of risks: a review, A class of non-zero-sum stochastic differential investment and reinsurance games, A new look at the homogeneous risk model, Invariantly recursive credibility estimation, The stochastic approach in analysis-the structures with vacancies and impurities, Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation, On barrier strategy dividends with Parisian implementation delay for classical surplus processes, Using quantile regression for rate-making, Comparing tail variabilities of risks by means of the excess wealth order, Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims, An elementary approach to discrete models of dividend strategies, A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model, Multivariate Tweedie distributions and some related capital-at-risk analyses, On the dual risk model with tax payments, Optimal dividend strategy in compound binomial model with bounded dividend rates, Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula, Asymptotic analysis of a risk process with high dividend barrier, On the Lagrangian Katz family of distributions as a claim frequency model, Decision principles derived from risk measures, Distributional analysis of a generalization of the Pólya process, A recourse certainty equivalent for decisions under uncertainty, Methods for estimating the optimal dividend barrier and the probability of ruin, Bruno de Finetti and the case of the critical line's last segment, A new approach for loaded credibility premiums, On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models, On a risk model with debit interest and dividend payments, Stochastic optimization algorithms for barrier dividend strategies, On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes, On optimal proportional reinsurance and investment in a hidden Markov financial market, Optimal dividend strategies in the diffusion model with stochastic return on investments, Some new classes of consistent risk measures, Modeling of an insurance system and its large deviations analysis, A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes, Compound Poisson models in actuarial risk theory, Time consistency conditions for acceptability measures, with an application to tail value at risk, Jump diffusion processes and their applications in insurance and finance, Optimal dividends in the dual model, The compound Poisson risk model with multiple thresholds, Risk theory insight into a zone-adaptive control strategy, Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach, On optimal periodic dividend strategies in the dual model with diffusion, Annual intrinsic value of a company in a competitive insurance market, Insurance-investment: Diffusion analysis, Limiting tail behaviour of some discrete compound distributions, Decision theoretic foundations of credibility theory, To split or not to split: Capital allocation with convex risk measures, On a dual model with a dividend threshold, Optimal proportional reinsurance policies for diffusion models with transaction costs, Nonparametric confidence intervals for population variance of one sample and the difference of variances of two samples, Optimal reinsurance with general risk measures, Optimal dividends in the Brownian motion risk model with interest, Semi-parametric specification tests for mixing distributions, Nonparametric estimation of the density of a point process, Decision analysis models in reinsurance, Applications to risk theory of a Monte Carlo multiple integration method., Optimal reinsurance and investment in a diffusion model, Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs, Optimal investment policy of an insurance firm, Comparing risks with unbounded distributions, Estimates for the probability of ruin with special emphasis on the possibility of large claims, On risk processes with the Markov property and with independent increments, Limit distributions for risk processes in case of claim amounts of finite expectation, Competitive equilibrium on risk exchanges: A constrained market approach, The structure of the distribution of a couple of observable random variables in credibility theory, Finite non-homogeneous semi-Markov processes: Theoretical and computational aspects, On convex principles of premium calculation, Properties of premium calculation principles, Risk theory and serendipity, A stop-loss experience rating scheme for fleets of cars. II, Optimal investment for insurer with jump-diffusion risk process, Perspectives of Risk Sharing, Optimal Dividend Strategy in the Compound Poisson Model with Constant Interest, Semiparametric estimation in the optimal dividend barrier for the classical risk model, A constraint-free approach to optimal reinsurance, ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS, BAYESIAN CHAIN LADDER MODELS, SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL, DISAPPOINTMENT AVERSION PREMIUM PRINCIPLE, ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS, ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK, Warranty analysis and renewal function estimation, A review of the numerical calculation of ruin probabilities by means of recursions, How an aggressively expanding insurance company becomes insolvent, Eine Bemerkung zur Exposure-Tarifierung, Further developments in the Erlang(n) risk process, On semiparametric estimation of ruin probabilities in the classical risk model, From ruin theory to solvency in non-life insurance, A class of nonzero-sum investment and reinsurance games subject to systematic risks, On capital injections and dividends with tax in a diffusion approximation, On dividends in the phase–type dual risk model, Risk theory of the second and third kind, A note on optimal expected utility of dividend payments with proportional reinsurance, Risk exchange I: A unification of some existing results, Statistische Prämienkalkulation nach dem Exponentialprinzip bei unbekannter Risikoverteilung, Stochastische Modellierung in der Erfahrungstarifierung, Experience rating under weighted squared error loss, Premium valuation in international insurance, Managing Economic and Virtual Economic Capital Within Financial Conglomerates, Unnamed Item, Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy, A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations, Insurance premiums and default risk in mutual insurance, Credibility premium plans which make allowance for bonus hunger, Asymptotic analysis and optimization of some insurance models, A credibility theory for automobile bonus systems, Use of differential and integral inequalities to bound ruin and queuing probabilities, Discrete-Time Risk Models Based on Time Series for Count Random Variables, On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains, Vorschlag eines mathematischen Modells der Risikotheorie, Stop-loss ordering for scale and power mixtures of distributions, Σ or Σ2: that is the question, Dependence in Dynamic Claim Frequency Credibility Models, A Unified Approach to Generate Risk Measures, Some Optimal Dividends Problems, An Accurate Asymptotic Approximation for Experience Rated Premiums, On the infinite divisbility of the Pareto distribution, Credibility and the Dirichlet process, Der Risikoproze\ mit mehreren Schadengründen, Urnenmodelle und ihre Anwendung in der Versicherungsmathematik, Concerning the use of Laguerre Polynomials for Inversion of Laplace Transforms in Risk Theory, The credibility approach to experience rating, Applications of risk theory and multivariate analysis in insurance practice, Probability of ruin with variable premium rate, On the infinite divisibility of the lognormal distribution, Representation and explicit calculation of Finite-time ruin probabilities, On applications of inequalities for quasideviation means in actuarial mathematics, PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY, On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier, Review of statistical actuarial risk modelling, Empirical Bayes credibility, Excess of loss reinsurance limits, A Bayesian h‐index: How to measure research impact, A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier, On Bayesian Mixture Credibility, Adverse Selection Spirals, Maximizing Dividends without Bankruptcy, Largest Claims Reinsurance Premiums under Possible Claims Dependence, Optimal Dividends in the Dual Model with Diffusion, Moments of Compound Mixed Poisson Distributions, Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs, Insurance premiums under demand constraints, On the probability of ruin in the presence of a linear dividend barrier, Insurance Premium Calculations with Anticipated Utility Theory, Some Mathematical Aspects of Claim Number Processes with the Markov Property, On Stop-Loss Order and the Distortion Pricing Principle, General Pareto Optimal Allocations and Applications to Multi-Period Risks, On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach, The Compound Poisson Risk Model with Interest and a Threshold Strategy, The total claims distribution under inflationary conditions, Quasi-Likelihood Estimation of Benchmark Rates for Excess of Loss Reinsurance Programs, Stochastic Mortality: The Impact on Target Capital, Sharing Risk – An Economic Perspective, Implications of constant risk aversion, Optimal stopping problems for differential equations perturbed by a poisson process, Bestimmung und Vergleich verschiedener Kredibilitätsformeln bei erfahrungstarifiertem Portefeuille, Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions, Ein einfacher Beweis zur Konstruktion der operationalen Zeit, Market pricing of longevity-linked securities, Multitype branching process with non-homogeneous Poisson and contagious Poisson immigration, Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs, The jackknife and the variance part of the credibility premium, Optimal proportional reinsurance policies for diffusion models, The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion, Optimal retention levels, given the joint survival of cedent and reinsurer, Rückversicherungsverträge mit ergebnisabhängiger Prämie und ihre Bewertung mit Hilfe der Gesamtschadenverteilung, On Some Statistical Methods Connected with the Mixed Poisson Process, Zur statistischen analyse des gemischten Poissonprozesses, gestützt auf Schadeneintrittszeitpunkte, Eine Charakterisierung des Standardabweichungsprinzips, On the asymptotic behavior of the ruin probability for an infinite period when the epochs of claims form a renewal process, The variance part of the credibility premium without the jackknife, Risk diversifying treaty between two companies with only one in insurance business, Simulation methods in ruin models with nonlinear dividend barriers., Asset-liability management for long-term 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, Insurance choice under third degree stochastic dominance, Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain, Sharp bounds for \(L\)-statistics from dependent samples of random length, Life tables in actuarial models: from the deterministic setting to a Bayesian approach, A Markov decision problem in a risk model with interest rate and Markovian environment, Reference points and learning, Impulse Stochastic Control for the Optimization of the Dividend Payments of the Compound Poisson Risk Model Perturbed by Diffusion, Characterization of positive homogeneity for the principle of equivalent utility, Premium allocation and risk avoidance in a large firm: A continuous model, Lundberg's risk process with tax, On functional equations stemming from actuarial mathematics, Ruin estimates under interest force, Law-invariant functionals that collapse to the mean: beyond convexity, Improved Asymptotics for Ruin Probabilities, Duality and equilibrium prices in economics of uncertainty, How Superadditive Can a Risk Measure Be?, Characterization of acceptance sets for co-monotone risk measures, Fair estimation of capital risk allocation, Controlled diffusion models for optimal dividend pay-out, Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test, A fully nonlinear free boundary problem for minimizing the ruin probability, On optimal dividends with penalty payments in the Cramér-Lundberg model, Conditions for balance between survival and ruin, Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions, Lévy risk model with two-sided jumps and a barrier dividend strategy, Robust return risk measures, On a gamma series expansion for the time-dependent probability of collective ruin, Stochastic control of funding systems., Projective method for the equation of risk theory in the arithmetic case, On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory, Level premium rates as a function of initial capital, On iterative premium calculation principles under Cumulative Prospect Theory, The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function., Semiparametric credibility ratemaking using a piecewise linear prior., Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio., Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure, On a mean reverting dividend strategy with Brownian motion, Optimal reinsurance under variance related premium principles, Optimal dividends with debts and nonlinear insurance risk processes, 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, Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure, Optimal risk sharing with non-monotone monetary functionals, 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, On the optimality of joint periodic and extraordinary dividend strategies, Optimal investment-reinsurance policy with regime switching and value-at-risk constraint, BAYES STOPPING RULES IN A CHANGE-POINT MODEL WITH A RANDOM HAZARD RATE, Optimal investment and contingent claim valuation in illiquid markets, Pricing optional group term insurance: a new approach using reservation prices, Box-Jenkins credibility, On a class of renewal risk models with a constant dividend barrier, Optimal dividends and ALM under unhedgeable risk, Dividend problems in the dual risk model, Large deviations for generalized compound Poisson risk models and its bankruptcy moments, 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, Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures, The compound Poisson risk model with a threshold dividend strategy, Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach, Ruin and deficit under claim arrivals with the order statistics property, Law-invariant functionals that collapse to the mean, Recursive limit-determination for the excess-of-loss treaty in case of multiple retrocession, Analysis of the Compound Poisson Surplus Model with Liquid Reserves, Interest and Dividends, Upper and lower bounds for dividends in the discrete model, Rationale of underwriters' pricing conduct on competitive insurance market, On the analysis of time dependent claims in a class of birth process claim count models, Ruin probabilities for risk models with ordered claim arrivals, On the modelling of multivariate counts with Cox processes and dependent shot noise intensities, Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework, Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier, A family of premium principles based on mixtures of TVaRs, On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy, Biometric Solvency Risk for Portfolios of General Life Contracts. I. The Single-Life Multiple Decrement Case, Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest, A Direct Approach to a First-Passage Problem with Applications in Risk Theory, Ruin Theory in a Hidden Markov-Modulated Risk Model, On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures, Optimal dividends with an affine penalty, The perturbed dual risk model with constant interest and a threshold dividend strategy, On optimal parameter estimation in credibility, Analytical best upper bounds on stop-loss premiums, The discrete-time risk model with correlated classes of business, Credibility using semiparametric models and a loss function with a constancy penalty, Insurer's optimal reinsurance strategies, The expected time to ruin in a risk process with constant barrier via martingales, On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times, Insurance premium-based shortfall risk measure induced by cumulative prospect theory, General dual measures of riskiness, Optimal dividend and proportional reinsurance strategy under standard deviation premium principle, Weighted Scoring Rules and Convex Risk Measures, ON A MULTIVARIATE GENERALIZED POLYA PROCESS WITHOUT REGULARITY PROPERTY, Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts, On the dividends of the risk model with Markovian barrier, Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process, The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate, Testing for Restricted Stochastic Dominance, Modeling and asymptotic analysis of insurance company performance, On the analysis of a discrete-time risk model with INAR(1) processes, Stable dividends under linear-quadratic optimisation, Optimal lower barrier on modified surplus process, On the surplus management of funds with assets and liabilities in presence of solvency requirements, Optimal reinsurance design under solvency constraints, Maβtheoretische Ergänzungen zur Risikotheorie, Uncertain renewal process with general rewards, Zero utility principles coinciding on binary risks, Measuring the suboptimality of dividend controls in a Brownian risk model, Confidence intervals for the ratio of two variances, Credibility Estimation of Distribution Functions with Applications to Experience Rating in General Insurance, Optimal Reinsurance Design: A Mean-Variance Approach, AN ITERATIVITY CONDITION FOR THE MEAN-VALUE PRINCIPLE UNDER CUMULATIVE PROSPECT THEORY, Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends, Optimal Dividends, Optimal Investment for an Insurer to Minimize Its Probability of Ruin, On the Time Value of Ruin, A coverage probability of bootstrap-t confidence interval for the variance, Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times, On the stochastic increasingness of future claims in the Bühlmann linear credibility premium, Limit-determination for the excess-of-loss treaty in case of simple retrocession, ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING, STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE, Discrete Lundberg-type bounds with actuarial applications, On Mixed and Compound Mixed Poisson Distributions, An application of nonparametric regression estimation in credibility theory, On comparison of the principles of equivalent utility and its applications, Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators, A Simple Method to Study Sensitivity of BMP's, Utility Functions, On Optimal Dividend Strategies In The Compound Poisson Model, Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model, Strategies for Dividend Distribution: A Review
