Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne Exchangeable FGM copulas. (English) Zbl 07807058 Adv. Appl. Probab. 56, No. 1, 205-234 (2024). MSC: 62H05 60E15 60E05 PDFBibTeX XMLCite \textit{C. Blier-Wong} et al., Adv. Appl. Probab. 56, No. 1, 205--234 (2024; Zbl 07807058) Full Text: DOI arXiv OA License
Liu, Dongming; Liu, Xiaozi; Jiang, Guanghao The topological structures of the spaces of diagonal and opposite diagonal functions with the uniform metric. (English) Zbl 07802359 Topology Appl. 344, Article ID 108800, 13 p. (2024). MSC: 60E05 54C35 57N20 PDFBibTeX XMLCite \textit{D. Liu} et al., Topology Appl. 344, Article ID 108800, 13 p. (2024; Zbl 07802359) Full Text: DOI
Li, Jinzhu Asymptotic results on tail moment and tail central moment for dependent risks. (English) Zbl 07806760 Adv. Appl. Probab. 55, No. 4, 1116-1143 (2023). MSC: 62P05 62H20 60E05 PDFBibTeX XMLCite \textit{J. Li}, Adv. Appl. Probab. 55, No. 4, 1116--1143 (2023; Zbl 07806760) Full Text: DOI
Garcin, Matthieu; Guégan, Dominique; Hassani, Bertrand A multivariate quantile based on Kendall ordering. (English) Zbl 07792653 REVSTAT 21, No. 1, 77-96 (2023). MSC: 62H05 PDFBibTeX XMLCite \textit{M. Garcin} et al., REVSTAT 21, No. 1, 77--96 (2023; Zbl 07792653) Full Text: DOI
Perreault, Samuel; Nešlehová, Johanna G.; Duchesne, Thierry Hypothesis tests for structured rank correlation matrices. (English) Zbl 07784953 J. Am. Stat. Assoc. 118, No. 544, 2889-2900 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Perreault} et al., J. Am. Stat. Assoc. 118, No. 544, 2889--2900 (2023; Zbl 07784953) Full Text: DOI arXiv
Genest, Christian; Hron, Karel; Nešlehová, Johanna G. Orthogonal decomposition of multivariate densities in Bayes spaces and relation with their copula-based representation. (English) Zbl 07740039 J. Multivariate Anal. 198, Article ID 105228, 24 p. (2023). MSC: 62Hxx 62H05 62R10 PDFBibTeX XMLCite \textit{C. Genest} et al., J. Multivariate Anal. 198, Article ID 105228, 24 p. (2023; Zbl 07740039) Full Text: DOI arXiv
Wu, Yi; Wang, Wei; Wang, Xuejun Sufficient and necessary conditions for the strong consistency of LS estimators in simple linear EV regression models. (English) Zbl 1520.62007 J. Stat. Comput. Simulation 93, No. 8, 1244-1262 (2023). MSC: 62F12 62J05 PDFBibTeX XMLCite \textit{Y. Wu} et al., J. Stat. Comput. Simulation 93, No. 8, 1244--1262 (2023; Zbl 1520.62007) Full Text: DOI
Górecki, J.; Hofert, M. Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions. (English) Zbl 07739789 J. Stat. Comput. Simulation 93, No. 13, 2321-2355 (2023). MSC: 62-XX 62H12 62F10 62H99 65C60 PDFBibTeX XMLCite \textit{J. Górecki} and \textit{M. Hofert}, J. Stat. Comput. Simulation 93, No. 13, 2321--2355 (2023; Zbl 07739789) Full Text: DOI
Wu, Yi; Wang, Xuejun Marcinkiewicz-Zygmund type strong law of large numbers for weighted sums of random variables with infinite moment and its applications. (English) Zbl 07739727 J. Stat. Comput. Simulation 93, No. 11, 1694-1715 (2023). MSC: 62-XX 60F15 62G05 62G20 PDFBibTeX XMLCite \textit{Y. Wu} and \textit{X. Wang}, J. Stat. Comput. Simulation 93, No. 11, 1694--1715 (2023; Zbl 07739727) Full Text: DOI
Chen, Zezhun; Dassios, Angelos; Tzougas, George Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression. (English) Zbl 07732390 Comput. Stat. 38, No. 2, 955-977 (2023). MSC: 62-08 PDFBibTeX XMLCite \textit{Z. Chen} et al., Comput. Stat. 38, No. 2, 955--977 (2023; Zbl 07732390) Full Text: DOI
Kafando, Delwendé Abdoul-Kabir; Béré, Frédéric; Konané, Victorien; Nitiéma, Pierre Clovis Extension of the compound Poisson model via the Spearman copula. (English) Zbl 07727212 Far East J. Theor. Stat. 67, No. 2, 147-184 (2023). MSC: 91G05 60K10 62H05 45J05 PDFBibTeX XMLCite \textit{D. A. K. Kafando} et al., Far East J. Theor. Stat. 67, No. 2, 147--184 (2023; Zbl 07727212) Full Text: DOI
Tzougas, George; di Cerchiara, Alice Pignatelli Bivariate mixed Poisson regression models with varying dispersion. (English) Zbl 1521.91321 N. Am. Actuar. J. 27, No. 2, 211-241 (2023). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Tzougas} and \textit{A. P. di Cerchiara}, N. Am. Actuar. J. 27, No. 2, 211--241 (2023; Zbl 1521.91321) Full Text: DOI
Fu, Ke-Ang; Wang, Jiangfeng Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times. (English) Zbl 07720156 Commun. Stat., Theory Methods 52, No. 17, 6266-6274 (2023). MSC: 60F10 91B30 60K05 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{J. Wang}, Commun. Stat., Theory Methods 52, No. 17, 6266--6274 (2023; Zbl 07720156) Full Text: DOI
Lauzier, Jean-Gabriel; Lin, Liyuan; Wang, Ruodu Pairwise counter-monotonicity. (English) Zbl 1520.91336 Insur. Math. Econ. 111, 279-287 (2023). MSC: 91G05 PDFBibTeX XMLCite \textit{J.-G. Lauzier} et al., Insur. Math. Econ. 111, 279--287 (2023; Zbl 1520.91336) Full Text: DOI arXiv
Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne Risk aggregation with FGM copulas. (English) Zbl 1520.91312 Insur. Math. Econ. 111, 102-120 (2023). MSC: 91G05 60E15 62H05 PDFBibTeX XMLCite \textit{C. Blier-Wong} et al., Insur. Math. Econ. 111, 102--120 (2023; Zbl 1520.91312) Full Text: DOI arXiv
Godin, Frédéric; Hamel, Emmanuel; Gaillardetz, Patrice; Hon-Man Ng, Edwin Risk allocation through Shapley decompositions, with applications to variable annuities. (English) Zbl 1520.91327 ASTIN Bull. 53, No. 2, 311-331 (2023). MSC: 91G05 PDFBibTeX XMLCite \textit{F. Godin} et al., ASTIN Bull. 53, No. 2, 311--331 (2023; Zbl 1520.91327) Full Text: DOI
Delong, Łukasz; Kozak, Anna The use of autoencoders for training neural networks with mixed categorical and numerical features. (English) Zbl 1520.91322 ASTIN Bull. 53, No. 2, 213-232 (2023). MSC: 91G05 68T07 PDFBibTeX XMLCite \textit{Ł. Delong} and \textit{A. Kozak}, ASTIN Bull. 53, No. 2, 213--232 (2023; Zbl 1520.91322) Full Text: DOI
Gudmundarson, R. L.; Guerra, M.; Moura, A. B. On some effects of dependencies on an insurer’s risk exposure, probability of ruin, and optimal premium loading. (English) Zbl 1520.91328 Eur. Actuar. J. 13, No. 1, 341-373 (2023). MSC: 91G05 PDFBibTeX XMLCite \textit{R. L. Gudmundarson} et al., Eur. Actuar. J. 13, No. 1, 341--373 (2023; Zbl 1520.91328) Full Text: DOI
Wang, Boyang; Fang, Rui Stochastic comparisons on extreme order statistics from observations associated by FGM copula. (English) Zbl 07706251 Commun. Stat., Theory Methods 52, No. 10, 3492-3510 (2023). MSC: 60E15 62G30 PDFBibTeX XMLCite \textit{B. Wang} and \textit{R. Fang}, Commun. Stat., Theory Methods 52, No. 10, 3492--3510 (2023; Zbl 07706251) Full Text: DOI
Youn Ahn, Jae; Jeong, Himchan; Lu, Yang A simple Bayesian state-space approach to the collective risk models. (English) Zbl 1524.62520 Scand. Actuar. J. 2023, No. 5, 509-529 (2023). Reviewer: James P. Howard II (Columbia) MSC: 62P05 62F15 91B05 91G05 PDFBibTeX XMLCite \textit{J. Youn Ahn} et al., Scand. Actuar. J. 2023, No. 5, 509--529 (2023; Zbl 1524.62520) Full Text: DOI arXiv
Hanbali, Hamza; Linders, Daniël; Dhaene, Jan Value-at-risk, tail value-at-risk and upper tail transform of the sum of two counter-monotonic random variables. (English) Zbl 1512.91172 Scand. Actuar. J. 2023, No. 3, 219-243 (2023). MSC: 91G70 PDFBibTeX XMLCite \textit{H. Hanbali} et al., Scand. Actuar. J. 2023, No. 3, 219--243 (2023; Zbl 1512.91172) Full Text: DOI
Ota, Shuhei Multivariate Farlie-Gumbel-Morgenstern copula and its application to reliability data analysis. (Japanese. English summary) Zbl 07670293 J. Jpn. Stat. Soc., Jpn. Issue 52, No. 2, 177-201 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Ota}, J. Jpn. Stat. Soc., Jpn. Issue 52, No. 2, 177--201 (2023; Zbl 07670293) Full Text: DOI
He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, Kazutoshi The Gerber-Shiu discounted penalty function: a review from practical perspectives. (English) Zbl 1508.91474 Insur. Math. Econ. 109, 1-28 (2023). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{Y. He} et al., Insur. Math. Econ. 109, 1--28 (2023; Zbl 1508.91474) Full Text: DOI arXiv
Xie, Jiehua; Yang, Jingping; Zhu, Wenhao; Zou, Wei A generalization of Archimedean and Marshall-Olkin copulas family. (English) Zbl 1522.62040 Fuzzy Sets Syst. 428, 1-33 (2022). MSC: 62H05 PDFBibTeX XMLCite \textit{J. Xie} et al., Fuzzy Sets Syst. 428, 1--33 (2022; Zbl 1522.62040) Full Text: DOI
Gribkova, N. V.; Su, J.; Zitikis, R. Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants. (English) Zbl 1507.91179 Insur. Math. Econ. 107, 199-222 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{N. V. Gribkova} et al., Insur. Math. Econ. 107, 199--222 (2022; Zbl 1507.91179) Full Text: DOI
Mercè Claramunt, M.; Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre Basis risk management and randomly scaled uncertainty. (English) Zbl 1508.91481 Insur. Math. Econ. 107, 123-139 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{M. Mercè Claramunt} et al., Insur. Math. Econ. 107, 123--139 (2022; Zbl 1508.91481) Full Text: DOI
Hanbali, Hamza; Dhaene, Jan; Linders, Daniël Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables. (English) Zbl 1508.91473 Insur. Math. Econ. 107, 22-37 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{H. Hanbali} et al., Insur. Math. Econ. 107, 22--37 (2022; Zbl 1508.91473) Full Text: DOI
Kang, Yao; Wang, Dehui; Lu, Feilong; Wang, Shuhui Flexible INAR(1) models for equidispersed, underdispersed or overdispersed counts. (English) Zbl 07643163 J. Korean Stat. Soc. 51, No. 4, 1268-1301 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Kang} et al., J. Korean Stat. Soc. 51, No. 4, 1268--1301 (2022; Zbl 07643163) Full Text: DOI
Wu, Yi; Wang, Xuejun Uniformly complete consistency of frequency polygon estimation for dependent samples and an application. (English) Zbl 1528.62020 Statistics 56, No. 6, 1270-1289 (2022). MSC: 62G05 62G20 PDFBibTeX XMLCite \textit{Y. Wu} and \textit{X. Wang}, Statistics 56, No. 6, 1270--1289 (2022; Zbl 1528.62020) Full Text: DOI
Hu, Miaomiao; Tan, Jiyang Moments of deficit duration and its proportion in general compound binomial model. (English) Zbl 1507.91184 Results Appl. Math. 16, Article ID 100326, 15 p. (2022). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{M. Hu} and \textit{J. Tan}, Results Appl. Math. 16, Article ID 100326, 15 p. (2022; Zbl 1507.91184) Full Text: DOI
Oh, Rosy; Kim, Joseph H. T.; Ahn, Jae Youn Designing a bonus-malus system reflecting the claim size under the dependent frequency-severity model. (English) Zbl 1507.91189 Probab. Eng. Inf. Sci. 36, No. 4, 963-987 (2022). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 PDFBibTeX XMLCite \textit{R. Oh} et al., Probab. Eng. Inf. Sci. 36, No. 4, 963--987 (2022; Zbl 1507.91189) Full Text: DOI arXiv
Navarro, Jorge; Sarabia, José María Copula representations for the sum of dependent risks: models and comparisons. (English) Zbl 07621883 Probab. Eng. Inf. Sci. 36, No. 2, 320-340 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Navarro} and \textit{J. M. Sarabia}, Probab. Eng. Inf. Sci. 36, No. 2, 320--340 (2022; Zbl 07621883) Full Text: DOI
Yang, Yang; Liu, Shuang; Yuen, Kam Chuen Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model. (English) Zbl 07621022 J. Theor. Probab. 35, No. 4, 2600-2621 (2022). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Theor. Probab. 35, No. 4, 2600--2621 (2022; Zbl 07621022) Full Text: DOI
Jiang, Wenjun; Ren, Jiandong Evaluating the tail risk of multivariate aggregate losses. (English) Zbl 1508.91475 ASTIN Bull. 52, No. 3, 921-952 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{J. Ren}, ASTIN Bull. 52, No. 3, 921--952 (2022; Zbl 1508.91475) Full Text: DOI
Tsanakas, Andreas; Zhu, Rui Selecting bivariate copula models using image recognition. (English) Zbl 1524.62238 ASTIN Bull. 52, No. 3, 707-734 (2022). MSC: 62H05 PDFBibTeX XMLCite \textit{A. Tsanakas} and \textit{R. Zhu}, ASTIN Bull. 52, No. 3, 707--734 (2022; Zbl 1524.62238) Full Text: DOI
Susam, Selim Orhun A compound positively dependent Farlie-Gumbel-Morgenstern bivariate copula. (English) Zbl 07607853 İstatistik 14, No. 1, 11-16 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{S. O. Susam}, İstatistik 14, No. 1, 11--16 (2022; Zbl 07607853) Full Text: Link
Chukova, Stefanka; Minkova, Leda; Paralloi, Silvana Hypogeometric distribution and related discrete time point process. (English) Zbl 07607852 İstatistik 14, No. 1, 1-10 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Chukova} et al., İstatistik 14, No. 1, 1--10 (2022; Zbl 07607852) Full Text: Link
Barakat, H. M.; Alawady, M. A.; Husseiny, I. A.; Mansour, G. M. Sarmanov family of bivariate distributions: statistical properties – concomitants of order statistics – information measures. (English) Zbl 1496.62085 Bull. Malays. Math. Sci. Soc. (2) 45, Suppl. 1, 49-83 (2022). MSC: 62G30 62B10 62H05 62H10 PDFBibTeX XMLCite \textit{H. M. Barakat} et al., Bull. Malays. Math. Sci. Soc. (2) 45, 49--83 (2022; Zbl 1496.62085) Full Text: DOI
Tomita, Masashi; Takaoka, Koichiro; Ishizaka, Motokazu On the ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes. (English) Zbl 1498.91369 J. Appl. Probab. 59, No. 3, 849-859 (2022). MSC: 91G05 60G55 62P05 PDFBibTeX XMLCite \textit{M. Tomita} et al., J. Appl. Probab. 59, No. 3, 849--859 (2022; Zbl 1498.91369) Full Text: DOI
Cheung, Eric C. K.; Peralta, Oscar; Woo, Jae-Kyung Multivariate matrix-exponential affine mixtures and their applications in risk theory. (English) Zbl 1498.91354 Insur. Math. Econ. 106, 364-389 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} et al., Insur. Math. Econ. 106, 364--389 (2022; Zbl 1498.91354) Full Text: DOI arXiv
Hanbali, Hamza; Linders, Daniël Monotone tail functions: definitions, properties, and application to risk-reducing strategies. (English) Zbl 1495.91025 J. Comput. Appl. Math. 416, Article ID 114484, 20 p. (2022). MSC: 91B05 91G05 62P05 PDFBibTeX XMLCite \textit{H. Hanbali} and \textit{D. Linders}, J. Comput. Appl. Math. 416, Article ID 114484, 20 p. (2022; Zbl 1495.91025) Full Text: DOI
Liu, Juan; Huang, Ya; Xiang, Xuyan; Zhou, Jieming On a discrete interaction risk model with delayed claims and randomized dividends. (English) Zbl 07565487 Commun. Stat., Theory Methods 51, No. 15, 5241-5257 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{J. Liu} et al., Commun. Stat., Theory Methods 51, No. 15, 5241--5257 (2022; Zbl 07565487) Full Text: DOI
Moutanabbir, Khouzeima; Abdelrahman, Hassan Bivariate Sarmanov phase-type distributions for joint lifetimes modeling. (English) Zbl 1489.62331 Methodol. Comput. Appl. Probab. 24, No. 2, 1093-1118 (2022). MSC: 62P05 62N05 60E05 62H20 91G05 PDFBibTeX XMLCite \textit{K. Moutanabbir} and \textit{H. Abdelrahman}, Methodol. Comput. Appl. Probab. 24, No. 2, 1093--1118 (2022; Zbl 1489.62331) Full Text: DOI
Adékambi, Franck; Takouda, Essodina On the discounted penalty function in a perturbed Erlang renewal risk model with dependence. (English) Zbl 1496.60106 Methodol. Comput. Appl. Probab. 24, No. 2, 481-513 (2022). MSC: 60K05 91G05 PDFBibTeX XMLCite \textit{F. Adékambi} and \textit{E. Takouda}, Methodol. Comput. Appl. Probab. 24, No. 2, 481--513 (2022; Zbl 1496.60106) Full Text: DOI
Guan, Guohui; Hu, Xiang On the analysis of a discrete-time risk model with INAR(1) processes. (English) Zbl 1492.91293 Scand. Actuar. J. 2022, No. 2, 115-138 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Guan} and \textit{X. Hu}, Scand. Actuar. J. 2022, No. 2, 115--138 (2022; Zbl 1492.91293) Full Text: DOI
Hu, Xiang; Zhang, Lianzeng Multivariate distributions with time and cross-dependence: aggregation and capital allocation. (English) Zbl 1492.91297 ASTIN Bull. 52, No. 2, 669-706 (2022). MSC: 91G05 62P05 62H10 PDFBibTeX XMLCite \textit{X. Hu} and \textit{L. Zhang}, ASTIN Bull. 52, No. 2, 669--706 (2022; Zbl 1492.91297) Full Text: DOI
Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne Stochastic representation of FGM copulas using multivariate Bernoulli random variables. (English) Zbl 07533782 Comput. Stat. Data Anal. 173, Article ID 107506, 24 p. (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{C. Blier-Wong} et al., Comput. Stat. Data Anal. 173, Article ID 107506, 24 p. (2022; Zbl 07533782) Full Text: DOI
Xiao, Lin Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm. (English) Zbl 1510.91067 Appl. Math. Comput. 424, Article ID 126969, 26 p. (2022). MSC: 91B05 60J20 PDFBibTeX XMLCite \textit{L. Xiao}, Appl. Math. Comput. 424, Article ID 126969, 26 p. (2022; Zbl 1510.91067) Full Text: DOI
Cai, Jun; Jia, Huameng; Mao, Tiantian A multivariate CVaR risk measure from the perspective of portfolio risk management. (English) Zbl 1490.91248 Scand. Actuar. J. 2022, No. 3, 189-215 (2022). MSC: 91G70 PDFBibTeX XMLCite \textit{J. Cai} et al., Scand. Actuar. J. 2022, No. 3, 189--215 (2022; Zbl 1490.91248) Full Text: DOI
Yuan, Meng; Lu, Dawei Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure. (English) Zbl 1484.62127 Stat. Probab. Lett. 185, Article ID 109440, 9 p. (2022). MSC: 62P05 60F10 62E20 91B05 PDFBibTeX XMLCite \textit{M. Yuan} and \textit{D. Lu}, Stat. Probab. Lett. 185, Article ID 109440, 9 p. (2022; Zbl 1484.62127) Full Text: DOI
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (English) Zbl 1484.91366 Insur. Math. Econ. 103, 96-118 (2022). MSC: 91G05 45K05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 103, 96--118 (2022; Zbl 1484.91366) Full Text: DOI
Li, Jinzhu Asymptotic results on marginal expected shortfalls for dependent risks. (English) Zbl 1484.91393 Insur. Math. Econ. 102, 146-168 (2022). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{J. Li}, Insur. Math. Econ. 102, 146--168 (2022; Zbl 1484.91393) Full Text: DOI
Vernic, Raluca; Bolancé, Catalina; Alemany, Ramon Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims. (English) Zbl 1484.91410 Insur. Math. Econ. 102, 111-125 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{R. Vernic} et al., Insur. Math. Econ. 102, 111--125 (2022; Zbl 1484.91410) Full Text: DOI
Marri, Fouad; Moutanabbir, Khouzeima Risk aggregation and capital allocation using a new generalized Archimedean copula. (English) Zbl 1484.91398 Insur. Math. Econ. 102, 75-90 (2022). MSC: 91G05 91G70 62H05 PDFBibTeX XMLCite \textit{F. Marri} and \textit{K. Moutanabbir}, Insur. Math. Econ. 102, 75--90 (2022; Zbl 1484.91398) Full Text: DOI arXiv
Fu, Ke-Ang; Liu, Yang; Wang, Jiangfeng Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times. (English) Zbl 1480.91075 Stat. Probab. Lett. 184, Article ID 109365, 7 p. (2022). MSC: 91B05 60F10 PDFBibTeX XMLCite \textit{K.-A. Fu} et al., Stat. Probab. Lett. 184, Article ID 109365, 7 p. (2022; Zbl 1480.91075) Full Text: DOI
Wang, Bingjie; Yan, Jigao; Cheng, Dongya Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims. (English) Zbl 1478.91055 Japan J. Ind. Appl. Math. 39, No. 1, 177-194 (2022). MSC: 91B05 62P05 60K10 91G05 PDFBibTeX XMLCite \textit{B. Wang} et al., Japan J. Ind. Appl. Math. 39, No. 1, 177--194 (2022; Zbl 1478.91055) Full Text: DOI
Alexeev, Vitali; Ignatieva, Katja; Liyanage, Thusitha Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals. (English) Zbl 07676040 Stud. Nonlinear Dyn. Econom. 25, No. 2, Article ID 20180094, 20 p. (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{V. Alexeev} et al., Stud. Nonlinear Dyn. Econom. 25, No. 2, Article ID 20180094, 20 p. (2021; Zbl 07676040) Full Text: DOI
Bingham, Nick H.; Ostaszewski, Adam J. Extremes and regular variation. (English) Zbl 1496.60055 Chaumont, Loïc (ed.) et al., A lifetime of excursions through random walks and Lévy processes. A volume in honour of Ron Doney’s 80th birthday. Cham: Birkhäuser. Prog. Probab. 78, 121-137 (2021). MSC: 60G70 60-02 PDFBibTeX XMLCite \textit{N. H. Bingham} and \textit{A. J. Ostaszewski}, Prog. Probab. 78, 121--137 (2021; Zbl 1496.60055) Full Text: DOI arXiv
Kang, Yao; Wang, Dehui; Cheng, Jianhua Risk models based on copulas for premiums and claim sizes. (English) Zbl 07533665 Commun. Stat., Theory Methods 50, No. 10, 2250-2269 (2021). MSC: 60J65 62P05 62-XX PDFBibTeX XMLCite \textit{Y. Kang} et al., Commun. Stat., Theory Methods 50, No. 10, 2250--2269 (2021; Zbl 07533665) Full Text: DOI
Sun, Fuyun; Li, Yuelei On the improved thinning risk model under a periodic dividend barrier strategy. (English) Zbl 1525.91165 AIMS Math. 6, No. 12, 13448-13463 (2021). MSC: 91G10 60K10 62P05 60G51 60K05 PDFBibTeX XMLCite \textit{F. Sun} and \textit{Y. Li}, AIMS Math. 6, No. 12, 13448--13463 (2021; Zbl 1525.91165) Full Text: DOI
Yıldırım Külekci, Bükre; Selcuk-Kestel, A. Sevtap Assessment of longevity risk: credibility approach. (English) Zbl 1521.62539 J. Appl. Stat. 48, No. 13-15, 2695-2713 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{B. Yıldırım Külekci} and \textit{A. S. Selcuk-Kestel}, J. Appl. Stat. 48, No. 13--15, 2695--2713 (2021; Zbl 1521.62539) Full Text: DOI
Jessup, Sébastien; Boucher, Jean-Philippe; Pigeon, Mathieu On fitting dependent nonhomogeneous loss models to unearned premium risk. (English) Zbl 1489.91220 N. Am. Actuar. J. 25, No. 4, 524-542 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{S. Jessup} et al., N. Am. Actuar. J. 25, No. 4, 524--542 (2021; Zbl 1489.91220) Full Text: DOI
Ota, Shuhei; Kimura, Mitsuhiro Effective estimation algorithm for parameters of multivariate Farlie-Gumbel-Morgenstern copula. (English) Zbl 1478.62113 Jpn. J. Stat. Data Sci. 4, No. 2, 1049-1078 (2021). MSC: 62H05 62H12 62E20 62N05 PDFBibTeX XMLCite \textit{S. Ota} and \textit{M. Kimura}, Jpn. J. Stat. Data Sci. 4, No. 2, 1049--1078 (2021; Zbl 1478.62113) Full Text: DOI
Assa, Hirbod; Constantinescu, Corina On the risk consistency and monotonicity of ruin theory. (English) Zbl 1480.91181 Eur. Actuar. J. 11, No. 2, 709-715 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Assa} and \textit{C. Constantinescu}, Eur. Actuar. J. 11, No. 2, 709--715 (2021; Zbl 1480.91181) Full Text: DOI
Araiza Iturria, Carlos Andrés; Godin, Frédéric; Mailhot, Mélina Tweedie double GLM loss triangles with dependence within and across business lines. (English) Zbl 1480.91180 Eur. Actuar. J. 11, No. 2, 619-653 (2021). MSC: 91G05 91B70 62P05 PDFBibTeX XMLCite \textit{C. A. Araiza Iturria} et al., Eur. Actuar. J. 11, No. 2, 619--653 (2021; Zbl 1480.91180) Full Text: DOI arXiv
Lefèvre, Claude On partially Schur-constant models and their associated copulas. (English) Zbl 1493.62272 Depend. Model. 9, 225-242 (2021). MSC: 62H05 62H10 60G09 PDFBibTeX XMLCite \textit{C. Lefèvre}, Depend. Model. 9, 225--242 (2021; Zbl 1493.62272) Full Text: DOI
Furman, Edward; Kye, Yisub; Su, Jianxi A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited. (English) Zbl 1479.91321 N. Am. Actuar. J. 25, No. 3, 395-416 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{E. Furman} et al., N. Am. Actuar. J. 25, No. 3, 395--416 (2021; Zbl 1479.91321) Full Text: DOI
Chen, Mi; Hu, Xiang On the evaluation of risk models with bivariate integer-valued time series. (English) Zbl 1480.62174 Lith. Math. J. 61, No. 4, 425-444 (2021). MSC: 62M10 62H12 62P05 91B05 PDFBibTeX XMLCite \textit{M. Chen} and \textit{X. Hu}, Lith. Math. J. 61, No. 4, 425--444 (2021; Zbl 1480.62174) Full Text: DOI
Brandt, Nikolai M.; Eckwert, Bernhard; Várdy, Felix Bayesian learning with variable prior. (English) Zbl 1484.62015 J. Math. Econ. 97, Article ID 102544, 9 p. (2021). MSC: 62C10 91B06 PDFBibTeX XMLCite \textit{N. M. Brandt} et al., J. Math. Econ. 97, Article ID 102544, 9 p. (2021; Zbl 1484.62015) Full Text: DOI
Youn Ahn, Jae; Jeong, Himchan; Lu, Yang On the ordering of credibility factors. (English) Zbl 1475.91322 Insur. Math. Econ. 101, 626-638 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{J. Youn Ahn} et al., Insur. Math. Econ. 101, 626--638 (2021; Zbl 1475.91322) Full Text: DOI arXiv
Tzougas, George; Pignatelli di Cerchiara, Alice The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking. (English) Zbl 1475.91319 Insur. Math. Econ. 101, 602-625 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Tzougas} and \textit{A. Pignatelli di Cerchiara}, Insur. Math. Econ. 101, 602--625 (2021; Zbl 1475.91319) Full Text: DOI
Mohammed, Nawaf; Furman, Edward; Su, Jianxi Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (English) Zbl 1475.91313 Insur. Math. Econ. 101, 425-436 (2021). MSC: 91G05 91B32 91G70 PDFBibTeX XMLCite \textit{N. Mohammed} et al., Insur. Math. Econ. 101, 425--436 (2021; Zbl 1475.91313) Full Text: DOI arXiv
Swishchuk, Anatoliy; Zagst, Rudi; Zeller, Gabriela Hawkes processes in insurance: risk model, application to empirical data and optimal investment. (English) Zbl 1475.91317 Insur. Math. Econ. 101, 107-124 (2021). MSC: 91G05 60G55 PDFBibTeX XMLCite \textit{A. Swishchuk} et al., Insur. Math. Econ. 101, 107--124 (2021; Zbl 1475.91317) Full Text: DOI
Li, Hong; Lu, Yang; Zhu, Wenjun Dynamic Bayesian ratemaking: a Markov chain approximation approach. (English) Zbl 1475.91309 N. Am. Actuar. J. 25, No. 2, 186-205 (2021). MSC: 91G05 60J20 PDFBibTeX XMLCite \textit{H. Li} et al., N. Am. Actuar. J. 25, No. 2, 186--205 (2021; Zbl 1475.91309) Full Text: DOI
Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano A. A multi-year microlevel collective risk model. (English) Zbl 1471.91479 Insur. Math. Econ. 100, 309-328 (2021). MSC: 91G05 62H05 PDFBibTeX XMLCite \textit{R. Oh} et al., Insur. Math. Econ. 100, 309--328 (2021; Zbl 1471.91479) Full Text: DOI arXiv
Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre On \(s\)-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. (English) Zbl 1471.91467 Scand. Actuar. J. 2021, No. 6, 476-504 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{C. Lefèvre} et al., Scand. Actuar. J. 2021, No. 6, 476--504 (2021; Zbl 1471.91467) Full Text: DOI
Zhang, Zhehao; Chen, Gemai Some specific density functions of aggregated discounted claims with dependent risks. (English) Zbl 1471.91491 Results Appl. Math. 11, Article ID 100168, 9 p. (2021). MSC: 91G05 62P05 60G55 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{G. Chen}, Results Appl. Math. 11, Article ID 100168, 9 p. (2021; Zbl 1471.91491) Full Text: DOI
Ahn, Jae Youn; Fuchs, Sebastian; Oh, Rosy A copula transformation in multivariate mixed discrete-continuous models. (English) Zbl 1467.62072 Fuzzy Sets Syst. 415, 54-75 (2021). MSC: 62H05 PDFBibTeX XMLCite \textit{J. Y. Ahn} et al., Fuzzy Sets Syst. 415, 54--75 (2021; Zbl 1467.62072) Full Text: DOI arXiv
Fu, Ke-ang; Shen, Xin-mei; Li, Hui-jie Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model. (English) Zbl 1470.60086 Acta Math. Appl. Sin., Engl. Ser. 37, No. 3, 539-547 (2021). MSC: 60F10 91G05 60K05 PDFBibTeX XMLCite \textit{K.-a. Fu} et al., Acta Math. Appl. Sin., Engl. Ser. 37, No. 3, 539--547 (2021; Zbl 1470.60086) Full Text: DOI
Nadarajah, Saralees; Kwong, Hok Shing; Tank, Fatih Compound sum distributions with dependence. (English) Zbl 1471.62260 Statistics 55, No. 2, 409-425 (2021). Reviewer: Fraser Daly (Edinburgh) MSC: 62E15 60E05 62P20 PDFBibTeX XMLCite \textit{S. Nadarajah} et al., Statistics 55, No. 2, 409--425 (2021; Zbl 1471.62260) Full Text: DOI
Ji, Liuyan; Tan, Ken Seng; Yang, Fan Tail dependence and heavy tailedness in extreme risks. (English) Zbl 1467.91142 Insur. Math. Econ. 99, 282-293 (2021). MSC: 91G05 62P05 62H05 62G32 PDFBibTeX XMLCite \textit{L. Ji} et al., Insur. Math. Econ. 99, 282--293 (2021; Zbl 1467.91142) Full Text: DOI Link
Beck, Nicholas; Di Bernardino, Elena; Mailhot, Mélina Semi-parametric estimation of multivariate extreme expectiles. (English) Zbl 1467.62084 J. Multivariate Anal. 184, Article ID 104758, 23 p. (2021). MSC: 62H12 62G32 60F10 60G70 90C53 PDFBibTeX XMLCite \textit{N. Beck} et al., J. Multivariate Anal. 184, Article ID 104758, 23 p. (2021; Zbl 1467.62084) Full Text: DOI HAL
Wang, Zijia; Landriault, David; Li, Shu An insurance risk process with a generalized income process: a solvency analysis. (English) Zbl 1466.91272 Insur. Math. Econ. 98, 133-146 (2021). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{Z. Wang} et al., Insur. Math. Econ. 98, 133--146 (2021; Zbl 1466.91272) Full Text: DOI
Torrado, Nuria; Navarro, Jorge Ranking the extreme claim amounts in dependent individual risk models. (English) Zbl 1466.91271 Scand. Actuar. J. 2021, No. 3, 218-247 (2021). MSC: 91G05 60E15 62P05 65H05 PDFBibTeX XMLCite \textit{N. Torrado} and \textit{J. Navarro}, Scand. Actuar. J. 2021, No. 3, 218--247 (2021; Zbl 1466.91271) Full Text: DOI
Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo On copula-based collective risk models: from elliptical copulas to vine copulas. (English) Zbl 1467.91148 Scand. Actuar. J. 2021, No. 1, 1-33 (2021). MSC: 91G05 62P05 62H05 PDFBibTeX XMLCite \textit{R. Oh} et al., Scand. Actuar. J. 2021, No. 1, 1--33 (2021; Zbl 1467.91148) Full Text: DOI
Górecki, Jan; Hofert, Marius; Okhrin, Ostap Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation. (English) Zbl 1510.62227 Comput. Stat. Data Anal. 155, Article ID 107109, 28 p. (2021). MSC: 62H05 62-08 PDFBibTeX XMLCite \textit{J. Górecki} et al., Comput. Stat. Data Anal. 155, Article ID 107109, 28 p. (2021; Zbl 1510.62227) Full Text: DOI arXiv
Chaoubi, Ihsan; Cossette, Hélène; Marceau, Etienne; Robert, Christian Y. Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs. (English) Zbl 1510.62225 Comput. Stat. Data Anal. 154, Article ID 107071, 33 p. (2021). MSC: 62H05 PDFBibTeX XMLCite \textit{I. Chaoubi} et al., Comput. Stat. Data Anal. 154, Article ID 107071, 33 p. (2021; Zbl 1510.62225) Full Text: DOI
Bulinskaya, E. V.; Shigida, B. I. Sensitivity analysis of some applied probability models. (English. Russian original) Zbl 1462.62527 J. Math. Sci., New York 254, No. 4, 456-468 (2021); translation from Fundam. Prikl. Mat. 22, No. 3, 19-35 (2018). MSC: 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{E. V. Bulinskaya} and \textit{B. I. Shigida}, J. Math. Sci., New York 254, No. 4, 456--468 (2021; Zbl 1462.62527); translation from Fundam. Prikl. Mat. 22, No. 3, 19--35 (2018) Full Text: DOI Link
Chen, Yiqing; White, Toby; Yuen, Kam Chuen Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times. (English) Zbl 1460.91215 Insur. Math. Econ. 97, 1-6 (2021). MSC: 91G05 60F10 60G50 60K05 PDFBibTeX XMLCite \textit{Y. Chen} et al., Insur. Math. Econ. 97, 1--6 (2021; Zbl 1460.91215) Full Text: DOI
Furman, Edward; Kye, Yisub; Su, Jianxi Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. (English) Zbl 1460.91221 Insur. Math. Econ. 96, 153-167 (2021). MSC: 91G05 91G45 PDFBibTeX XMLCite \textit{E. Furman} et al., Insur. Math. Econ. 96, 153--167 (2021; Zbl 1460.91221) Full Text: DOI
Oh, Rosy; Lee, Youngju; Zhu, Dan; Ahn, Jae Youn Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information. (English) Zbl 1460.91235 Insur. Math. Econ. 96, 127-139 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{R. Oh} et al., Insur. Math. Econ. 96, 127--139 (2021; Zbl 1460.91235) Full Text: DOI arXiv
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon Fitting multivariate Erlang mixtures to data: a roughness penalty approach. (English) Zbl 1459.62199 J. Comput. Appl. Math. 386, Article ID 113216, 18 p. (2021). MSC: 62P05 62H30 62H12 62N01 60L90 PDFBibTeX XMLCite \textit{W. Gui} et al., J. Comput. Appl. Math. 386, Article ID 113216, 18 p. (2021; Zbl 1459.62199) Full Text: DOI
Vernic, Raluca On a class of bivariate mixed Sarmanov distributions. (English) Zbl 1521.62079 Aust. N. Z. J. Stat. 62, No. 2, 186-211 (2020). MSC: 62H10 60E05 62H20 PDFBibTeX XMLCite \textit{R. Vernic}, Aust. N. Z. J. Stat. 62, No. 2, 186--211 (2020; Zbl 1521.62079) Full Text: DOI
Loukissas, Fotios Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model. (English) Zbl 07530004 Commun. Stat., Theory Methods 49, No. 24, 6112-6120 (2020). MSC: 60F10 60F05 60G05 62-XX PDFBibTeX XMLCite \textit{F. Loukissas}, Commun. Stat., Theory Methods 49, No. 24, 6112--6120 (2020; Zbl 07530004) Full Text: DOI
Chen, Mi; Hu, Xiang Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process. (English) Zbl 1511.91036 Commun. Stat., Theory Methods 49, No. 16, 3985-4001 (2020). MSC: 91B05 62M10 62P05 PDFBibTeX XMLCite \textit{M. Chen} and \textit{X. Hu}, Commun. Stat., Theory Methods 49, No. 16, 3985--4001 (2020; Zbl 1511.91036) Full Text: DOI
Li, Jiahui; Yuen, Kam Chuen; Chen, Mi A discrete-time risk model with Poisson ARCH claim-number process. (English) Zbl 1511.91038 Commun. Stat., Theory Methods 49, No. 16, 3965-3984 (2020). MSC: 91B05 62M10 62P05 PDFBibTeX XMLCite \textit{J. Li} et al., Commun. Stat., Theory Methods 49, No. 16, 3965--3984 (2020; Zbl 1511.91038) Full Text: DOI
Cuberos, A.; Masiello, E.; Maume-Deschamps, V. Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables. (English) Zbl 1511.62102 Commun. Stat., Theory Methods 49, No. 12, 3044-3062 (2020). MSC: 62H05 62G05 62H20 PDFBibTeX XMLCite \textit{A. Cuberos} et al., Commun. Stat., Theory Methods 49, No. 12, 3044--3062 (2020; Zbl 1511.62102) Full Text: DOI
Kang, Yao; Wang, Dehui; Yang, Kai; Zhang, Yulin A new thinning-based \(\mathrm{INAR}(1)\) process for underdispersed or overdispersed counts. (English) Zbl 1484.62112 J. Korean Stat. Soc. 49, No. 2, 324-349 (2020). MSC: 62M10 62J20 PDFBibTeX XMLCite \textit{Y. Kang} et al., J. Korean Stat. Soc. 49, No. 2, 324--349 (2020; Zbl 1484.62112) Full Text: DOI
Dibu, A. S.; Jacob, M. J. Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier. (English) Zbl 1470.91225 Joshua, V. C. (ed.) et al., Applied probability and stochastic processes. Selected papers based on the presentations at the international conference, Kerala, India, January, 7–10 2019. In honour of Prof. Dr. A. Krishnamoorthy. Singapore: Springer. Infosys Sci. Found. Ser., 235-262 (2020). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{A. S. Dibu} and \textit{M. J. Jacob}, in: Applied probability and stochastic processes. Selected papers based on the presentations at the international conference, Kerala, India, January, 7--10 2019. In honour of Prof. Dr. A. Krishnamoorthy. Singapore: Springer. 235--262 (2020; Zbl 1470.91225) Full Text: DOI
Denuit, Michel Size-biased risk measures of compound sums. (English) Zbl 1461.91242 N. Am. Actuar. J. 24, No. 4, 512-532 (2020). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{M. Denuit}, N. Am. Actuar. J. 24, No. 4, 512--532 (2020; Zbl 1461.91242) Full Text: DOI Link