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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Zhang, Lianzeng; Liu, He On a discrete-time risk model with time-dependent claims and impulsive dividend payments. (English) Zbl 1454.91211 Scand. Actuar. J. 2020, No. 8, 736-753 (2020); correction ibid. 2020, No. 8, i-ii (2020). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{L. Zhang} and \textit{H. Liu}, Scand. Actuar. J. 2020, No. 8, 736--753 (2020; Zbl 1454.91211) Full Text: DOI
Mai, Jan-Frederik The infinite extendibility problem for exchangeable real-valued random vectors. (English) Zbl 1459.60078 Probab. Surv. 17, 677-753 (2020). MSC: 60G09 60E05 62H99 PDFBibTeX XMLCite \textit{J.-F. Mai}, Probab. Surv. 17, 677--753 (2020; Zbl 1459.60078) Full Text: DOI arXiv Euclid
Fang, Rui; Wang, Boyang Stochastic comparisons on sample extremes from independent or dependent gamma samples. (English) Zbl 1453.60053 Statistics 54, No. 4, 841-855 (2020). MSC: 60E15 62G30 PDFBibTeX XMLCite \textit{R. Fang} and \textit{B. Wang}, Statistics 54, No. 4, 841--855 (2020; Zbl 1453.60053) Full Text: DOI
Li, Rong; Bi, Xiuchun; Zhang, Shuguang Large deviations for sums of claims in a general renewal risk model with the regression dependent structure. (English) Zbl 1447.62052 Stat. Probab. Lett. 165, Article ID 108857, 6 p. (2020). MSC: 62G32 62E20 60F10 PDFBibTeX XMLCite \textit{R. Li} et al., Stat. Probab. Lett. 165, Article ID 108857, 6 p. (2020; Zbl 1447.62052) Full Text: DOI
Aleksandrov, Boris; Weiß, Christian H. Parameter estimation and diagnostic tests for INMA(1) processes. (English) Zbl 1460.62142 Test 29, No. 1, 196-232 (2020). MSC: 62M10 62F03 62F10 62J20 60G10 PDFBibTeX XMLCite \textit{B. Aleksandrov} and \textit{C. H. Weiß}, Test 29, No. 1, 196--232 (2020; Zbl 1460.62142) Full Text: DOI
Mai, Jan-Frederik Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. (English) Zbl 1448.62065 Depend. Model. 7, 202-214 (2019). MSC: 62H05 62H10 60E05 26A48 PDFBibTeX XMLCite \textit{J.-F. Mai}, Depend. Model. 7, 202--214 (2019; Zbl 1448.62065) Full Text: DOI
Das, Bikramjit; Fasen-Hartmann, Vicky Conditional excess risk measures and multivariate regular variation. (English) Zbl 1434.60085 Stat. Risk. Model. 36, No. 1-4, 1-23 (2019). MSC: 60F10 60G50 60G70 PDFBibTeX XMLCite \textit{B. Das} and \textit{V. Fasen-Hartmann}, Stat. Risk. Model. 36, No. 1--4, 1--23 (2019; Zbl 1434.60085) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Nguyen, Quang Huy; Robert, Christian Y. Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models. (English) Zbl 1480.60140 Methodol. Comput. Appl. Probab. 21, No. 2, 461-490 (2019). MSC: 60G70 62H05 65C05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 21, No. 2, 461--490 (2019; Zbl 1480.60140) Full Text: DOI arXiv
Ragulina, Olena The risk model with stochastic premiums and a multi-layer dividend strategy. (English) Zbl 1427.91240 Mod. Stoch., Theory Appl. 6, No. 3, 285-309 (2019). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{O. Ragulina}, Mod. Stoch., Theory Appl. 6, No. 3, 285--309 (2019; Zbl 1427.91240) Full Text: DOI arXiv
Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne; Robert, Christian Y. Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. (English) Zbl 1419.62120 J. Multivariate Anal. 172, 59-83 (2019). MSC: 62H05 62H30 60E05 PDFBibTeX XMLCite \textit{H. Cossette} et al., J. Multivariate Anal. 172, 59--83 (2019; Zbl 1419.62120) Full Text: DOI
Côté, Marie-Pier; Genest, Christian Dependence in a background risk model. (English) Zbl 1419.62295 J. Multivariate Anal. 172, 28-46 (2019). MSC: 62P05 62H05 62H20 91B30 60E05 PDFBibTeX XMLCite \textit{M.-P. Côté} and \textit{C. Genest}, J. Multivariate Anal. 172, 28--46 (2019; Zbl 1419.62295) Full Text: DOI
Jiang, Xiao; Nadarajah, Saralees Efficient expressions for moments of dependent random sums using copulas. (English) Zbl 1433.60022 J. Comput. Appl. Math. 353, 130-139 (2019). MSC: 60G50 60E05 62H05 62P05 91G05 PDFBibTeX XMLCite \textit{X. Jiang} and \textit{S. Nadarajah}, J. Comput. Appl. Math. 353, 130--139 (2019; Zbl 1433.60022) Full Text: DOI Link
Léveillé, Ghislain; Hamel, Emmanuel Compound trend renewal process with discounted claims: a unified approach. (English) Zbl 1411.91295 Scand. Actuar. J. 2019, No. 3, 228-246 (2019). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{G. Léveillé} and \textit{E. Hamel}, Scand. Actuar. J. 2019, No. 3, 228--246 (2019; Zbl 1411.91295) Full Text: DOI
Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar Parisian types of ruin probabilities for a class of dependent risk-reserve processes. (English) Zbl 1418.91230 Scand. Actuar. J. 2019, No. 1, 32-61 (2019). MSC: 91B30 60G51 62P05 PDFBibTeX XMLCite \textit{M. Bladt} et al., Scand. Actuar. J. 2019, No. 1, 32--61 (2019; Zbl 1418.91230) Full Text: DOI Link
Peng, Jiangyan; Wang, Dingcheng Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments. (English) Zbl 1492.91083 Stochastics 90, No. 3, 432-471 (2018). MSC: 91B05 60G51 60K05 91G05 PDFBibTeX XMLCite \textit{J. Peng} and \textit{D. Wang}, Stochastics 90, No. 3, 432--471 (2018; Zbl 1492.91083) Full Text: DOI
Deng, Yingchun; Liu, Juan; Huang, Ya; Li, Man; Zhou, Jieming On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates. (English) Zbl 1508.91128 Commun. Stat., Theory Methods 47, No. 23, 5867-5883 (2018). MSC: 91B05 60K10 62P05 PDFBibTeX XMLCite \textit{Y. Deng} et al., Commun. Stat., Theory Methods 47, No. 23, 5867--5883 (2018; Zbl 1508.91128) Full Text: DOI
Barmalzan, Ghobad; Najafabadi, Amir. T. Payandeh; Balakrishnan, Narayanaswamy Some new results on aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios. (English) Zbl 1508.62245 Commun. Stat., Theory Methods 47, No. 11, 2779-2794 (2018). MSC: 62P05 60E15 91G05 PDFBibTeX XMLCite \textit{G. Barmalzan} et al., Commun. Stat., Theory Methods 47, No. 11, 2779--2794 (2018; Zbl 1508.62245) Full Text: DOI
Hillairet, Caroline; Jiao, Ying; Réveillac, Anthony Pricing formulae for derivatives in insurance using Malliavin calculus. (English) Zbl 1435.62373 Probab. Uncertain. Quant. Risk 3, Paper No. 7, 19 p. (2018). MSC: 62P05 60G55 91G30 62M10 PDFBibTeX XMLCite \textit{C. Hillairet} et al., Probab. Uncertain. Quant. Risk 3, Paper No. 7, 19 p. (2018; Zbl 1435.62373) Full Text: DOI arXiv
Ressel, Paul A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. (English) Zbl 1434.62085 Depend. Model. 6, 356-368 (2018). MSC: 62H05 26A48 26B40 62N05 60E05 PDFBibTeX XMLCite \textit{P. Ressel}, Depend. Model. 6, 356--368 (2018; Zbl 1434.62085) Full Text: DOI
Shen, Xin-mei; Fu, Ke-ang; Zhong, Xue-ting Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model. (English) Zbl 1424.60029 Appl. Math., Ser. B (Engl. Ed.) 33, No. 4, 491-502 (2018). MSC: 60F10 60G50 60K05 62P05 91B30 PDFBibTeX XMLCite \textit{X.-m. Shen} et al., Appl. Math., Ser. B (Engl. Ed.) 33, No. 4, 491--502 (2018; Zbl 1424.60029) Full Text: DOI
Jordanova, Pavlina K.; Stehlík, Milan On multivariate modifications of Cramer-Lundberg risk model with constant intensities. (English) Zbl 1411.62140 Stochastic Anal. Appl. 36, No. 5, 858-882 (2018). MSC: 62H12 62P05 60G10 45J05 PDFBibTeX XMLCite \textit{P. K. Jordanova} and \textit{M. Stehlík}, Stochastic Anal. Appl. 36, No. 5, 858--882 (2018; Zbl 1411.62140) Full Text: DOI arXiv
Drekic, Steve; Woo, Jae-Kyung; Xu, Ran A threshold-based risk process with a waiting period to pay dividends. (English) Zbl 1412.60064 J. Ind. Manag. Optim. 14, No. 3, 1179-1201 (2018). MSC: 60G50 60K05 91B30 62P05 PDFBibTeX XMLCite \textit{S. Drekic} et al., J. Ind. Manag. Optim. 14, No. 3, 1179--1201 (2018; Zbl 1412.60064) Full Text: DOI
Usseglio-Carleve, Antoine Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors. (English) Zbl 1409.62218 Electron. J. Stat. 12, No. 2, 4057-4093 (2018). MSC: 62P05 62H12 60E05 62G32 62G08 91G70 PDFBibTeX XMLCite \textit{A. Usseglio-Carleve}, Electron. J. Stat. 12, No. 2, 4057--4093 (2018; Zbl 1409.62218) Full Text: DOI arXiv Euclid
Fu, Ke-Ang; Yu, Chenglong On a two-dimensional risk model with time-dependent claim sizes and risky investments. (English) Zbl 1458.62242 J. Comput. Appl. Math. 344, 367-380 (2018). MSC: 62P05 60F99 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{C. Yu}, J. Comput. Appl. Math. 344, 367--380 (2018; Zbl 1458.62242) Full Text: DOI Link
Zhang, Yiying; Li, Xiaohu; Cheung, Ka Chun On heterogeneity in the individual model with both dependent claim occurrences and severities. (English) Zbl 1390.91219 ASTIN Bull. 48, No. 2, 817-839 (2018). MSC: 91B30 60E15 62P05 91G10 PDFBibTeX XMLCite \textit{Y. Zhang} et al., ASTIN Bull. 48, No. 2, 817--839 (2018; Zbl 1390.91219) Full Text: DOI
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach. (English) Zbl 1390.91222 ASTIN Bull. 48, No. 2, 779-815 (2018). MSC: 91B30 60G51 62H05 62P05 PDFBibTeX XMLCite \textit{W. Zhu} et al., ASTIN Bull. 48, No. 2, 779--815 (2018; Zbl 1390.91222) Full Text: DOI
Fu, Ke-Ang; Li, Jie Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals. (English) Zbl 1390.60103 Commun. Stat., Theory Methods 47, No. 3, 698-707 (2018). MSC: 60F10 91B30 60K05 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{J. Li}, Commun. Stat., Theory Methods 47, No. 3, 698--707 (2018; Zbl 1390.60103) Full Text: DOI
Czarna, Irmina; Palmowski, Zbigniew; Świątek, Przemysław Discrete time ruin probability with Parisian delay. (English) Zbl 1402.91188 Scand. Actuar. J. 2017, No. 10, 854-869 (2017). MSC: 91B30 60K10 60G51 62P05 PDFBibTeX XMLCite \textit{I. Czarna} et al., Scand. Actuar. J. 2017, No. 10, 854--869 (2017; Zbl 1402.91188) Full Text: DOI arXiv
Cojocaru, Ionica Ruin probabilities in multivariate risk models with periodic common shock. (English) Zbl 1401.91119 Scand. Actuar. J. 2017, No. 2, 159-174 (2017). MSC: 91B30 62P05 60G44 60J75 PDFBibTeX XMLCite \textit{I. Cojocaru}, Scand. Actuar. J. 2017, No. 2, 159--174 (2017; Zbl 1401.91119) Full Text: DOI
Ragulina, Olena The risk model with stochastic premiums, dependence and a threshold dividend strategy. (English) Zbl 1410.91284 Mod. Stoch., Theory Appl. 4, No. 4, 315-351 (2017). MSC: 91B30 60G55 62P05 35R09 PDFBibTeX XMLCite \textit{O. Ragulina}, Mod. Stoch., Theory Appl. 4, No. 4, 315--351 (2017; Zbl 1410.91284) Full Text: DOI arXiv
Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Étienne; Mtalai, Itre Hierarchical Archimedean copulas through multivariate compound distributions. (English) Zbl 1395.62112 Insur. Math. Econ. 76, 1-13 (2017). MSC: 62H05 60E05 62P05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 76, 1--13 (2017; Zbl 1395.62112) Full Text: DOI
Fu, Ke-Ang; Shen, Xinmei Moderate deviations for sums of dependent claims in a size-dependent renewal risk model. (English) Zbl 1368.62035 Commun. Stat., Theory Methods 46, No. 7, 3235-3243 (2017). MSC: 62E20 60F10 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{X. Shen}, Commun. Stat., Theory Methods 46, No. 7, 3235--3243 (2017; Zbl 1368.62035) Full Text: DOI
Albrecht, Peter; Huggenberger, Markus The fundamental theorem of mutual insurance. (English) Zbl 1394.91183 Insur. Math. Econ. 75, 180-188 (2017). MSC: 91B30 91B16 60G42 PDFBibTeX XMLCite \textit{P. Albrecht} and \textit{M. Huggenberger}, Insur. Math. Econ. 75, 180--188 (2017; Zbl 1394.91183) Full Text: DOI
Peng, Jiangyan; Wang, Dingcheng Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns. (English) Zbl 1367.60106 J. Ind. Manag. Optim. 13, No. 1, 155-185 (2017). MSC: 60K05 60G51 62P05 91B30 PDFBibTeX XMLCite \textit{J. Peng} and \textit{D. Wang}, J. Ind. Manag. Optim. 13, No. 1, 155--185 (2017; Zbl 1367.60106) Full Text: DOI
Ratovomirija, Gildas; Tamraz, Maissa; Vernic, Raluca On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation. (English) Zbl 1394.62145 Insur. Math. Econ. 74, 197-209 (2017). MSC: 62P05 62H05 60E05 91B30 PDFBibTeX XMLCite \textit{G. Ratovomirija} et al., Insur. Math. Econ. 74, 197--209 (2017; Zbl 1394.62145) Full Text: DOI arXiv
Fu, Ke-Ang; Li, Jie Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model. (English) Zbl 1364.91068 Commun. Stat., Theory Methods 46, No. 5, 2559-2570 (2017). MSC: 91B30 60K10 62E20 62P05 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{J. Li}, Commun. Stat., Theory Methods 46, No. 5, 2559--2570 (2017; Zbl 1364.91068) Full Text: DOI
Zhang, Shuo; Wang, Dehui; Yu, Shihang Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process. (English) Zbl 1362.60026 J. Inequal. Appl. 2017, Paper No. 82, 7 p. (2017). MSC: 60F10 60K05 60G40 91B30 PDFBibTeX XMLCite \textit{S. Zhang} et al., J. Inequal. Appl. 2017, Paper No. 82, 7 p. (2017; Zbl 1362.60026) Full Text: DOI
Vernic, Raluca Capital allocation for Sarmanov’s class of distributions. (English) Zbl 1358.60034 Methodol. Comput. Appl. Probab. 19, No. 1, 311-330 (2017). MSC: 60E05 62P05 91B30 PDFBibTeX XMLCite \textit{R. Vernic}, Methodol. Comput. Appl. Probab. 19, No. 1, 311--330 (2017; Zbl 1358.60034) Full Text: DOI
Yuen, Kam Chuen; Chen, Mi; Wat, Kam Pui On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends. (English) Zbl 1354.91081 J. Comput. Appl. Math. 311, 239-251 (2017). MSC: 91B30 60J20 PDFBibTeX XMLCite \textit{K. C. Yuen} et al., J. Comput. Appl. Math. 311, 239--251 (2017; Zbl 1354.91081) Full Text: DOI
Eryilmaz, Serkan; Gebizlioglu, Omer L. Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences. (English) Zbl 1353.62113 J. Comput. Appl. Math. 313, 235-242 (2017). MSC: 62P05 91B30 60J20 PDFBibTeX XMLCite \textit{S. Eryilmaz} and \textit{O. L. Gebizlioglu}, J. Comput. Appl. Math. 313, 235--242 (2017; Zbl 1353.62113) Full Text: DOI
Liu, Chaolin; Zhang, Zhimin; Yang, Hu A note on a discrete time MAP risk model. (English) Zbl 1410.91276 J. Comput. Appl. Math. 309, 111-121 (2017). MSC: 91B30 60J20 60J60 PDFBibTeX XMLCite \textit{C. Liu} et al., J. Comput. Appl. Math. 309, 111--121 (2017; Zbl 1410.91276) Full Text: DOI
Dimitrova, Dimitrina S.; Kaishev, Vladimir K.; Zhao, Shouqi On the evaluation of finite-time ruin probabilities in a dependent risk model. (English) Zbl 1410.60044 Appl. Math. Comput. 275, 268-286 (2016). MSC: 60G40 91B30 91G70 91G60 PDFBibTeX XMLCite \textit{D. S. Dimitrova} et al., Appl. Math. Comput. 275, 268--286 (2016; Zbl 1410.60044) Full Text: DOI Link
Jiang, Wuyuan; Yang, Zhaojun The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula. (English) Zbl 1401.91149 Scand. Actuar. J. 2016, No. 5, 385-397 (2016). MSC: 91B30 62E15 62P05 60K05 45J05 44A10 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{Z. Yang}, Scand. Actuar. J. 2016, No. 5, 385--397 (2016; Zbl 1401.91149) Full Text: DOI
Cheung, Eric C. K.; Woo, Jae-Kyung On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes. (English) Zbl 1401.91109 Scand. Actuar. J. 2016, No. 1, 63-91 (2016). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{E. C. K. Cheung} and \textit{J.-K. Woo}, Scand. Actuar. J. 2016, No. 1, 63--91 (2016; Zbl 1401.91109) Full Text: DOI Link
Sarabia, José María; Gómez-Déniz, Emilio; Prieto, Faustino; Jordá, Vanesa Risk aggregation in multivariate dependent Pareto distributions. (English) Zbl 1371.91107 Insur. Math. Econ. 71, 154-163 (2016). MSC: 91B30 62P05 60E05 62E15 PDFBibTeX XMLCite \textit{J. M. Sarabia} et al., Insur. Math. Econ. 71, 154--163 (2016; Zbl 1371.91107) Full Text: DOI arXiv
Woo, Jae-Kyung On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays. (English) Zbl 1371.91110 Insur. Math. Econ. 70, 354-363 (2016). MSC: 91B30 60K10 62E15 62P05 PDFBibTeX XMLCite \textit{J.-K. Woo}, Insur. Math. Econ. 70, 354--363 (2016; Zbl 1371.91110) Full Text: DOI Link
Sordo, Miguel A. A multivariate extension of the increasing convex order to compare risks. (English) Zbl 1370.60036 Insur. Math. Econ. 68, 224-230 (2016). MSC: 60E15 62H05 91B30 PDFBibTeX XMLCite \textit{M. A. Sordo}, Insur. Math. Econ. 68, 224--230 (2016; Zbl 1370.60036) Full Text: DOI
Tan, JiYang; Yang, XiangQun; Li, ZiQiang; Cheng, YangJin A Markov decision problem in a risk model with interest rate and Markovian environment. (English) Zbl 1343.60108 Sci. China, Math. 59, No. 1, 191-204 (2016). MSC: 60J20 60J10 90C40 60G51 49J55 93E20 91B30 PDFBibTeX XMLCite \textit{J. Tan} et al., Sci. China, Math. 59, No. 1, 191--204 (2016; Zbl 1343.60108) Full Text: DOI
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng A reduced-form model for correlated defaults with regime-switching shot noise intensities. (English) Zbl 1343.60117 Methodol. Comput. Appl. Probab. 18, No. 2, 459-486 (2016). MSC: 60J28 60J27 60H30 60H10 60G55 91G40 91G80 60G46 PDFBibTeX XMLCite \textit{Y. Dong} et al., Methodol. Comput. Appl. Probab. 18, No. 2, 459--486 (2016; Zbl 1343.60117) Full Text: DOI
Yu, Shihang Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process. (English) Zbl 1338.60088 J. Inequal. Appl. 2016, Paper No. 140, 10 p. (2016). MSC: 60F10 60G55 62J05 91B30 PDFBibTeX XMLCite \textit{S. Yu}, J. Inequal. Appl. 2016, Paper No. 140, 10 p. (2016; Zbl 1338.60088) Full Text: DOI
Kacem, Manel; Loisel, Stéphane; Maume-Deschamps, Véronique Some mixing properties of conditionally independent processes. (English) Zbl 1338.60070 Commun. Stat., Theory Methods 45, No. 5, 1241-1259 (2016). MSC: 60F05 60E15 60G10 91B30 PDFBibTeX XMLCite \textit{M. Kacem} et al., Commun. Stat., Theory Methods 45, No. 5, 1241--1259 (2016; Zbl 1338.60070) Full Text: DOI
Shen, Xinmei; Xu, Menghao; Mills, Ebenezer Fiifi Emire Atta Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model. (English) Zbl 1337.60033 Stat. Probab. Lett. 114, 6-13 (2016). MSC: 60F10 60K05 91B30 PDFBibTeX XMLCite \textit{X. Shen} et al., Stat. Probab. Lett. 114, 6--13 (2016; Zbl 1337.60033) Full Text: DOI
Vernic, Raluca On the distribution of a sum of Sarmanov distributed random variables. (English) Zbl 1336.60024 J. Theor. Probab. 29, No. 1, 118-142 (2016). MSC: 60E05 62E15 60-08 91B30 PDFBibTeX XMLCite \textit{R. Vernic}, J. Theor. Probab. 29, No. 1, 118--142 (2016; Zbl 1336.60024) Full Text: DOI
Eryilmaz, Serkan Compound Markov negative binomial distribution. (English) Zbl 1323.60092 J. Comput. Appl. Math. 292, 1-6 (2016). MSC: 60J10 60E05 PDFBibTeX XMLCite \textit{S. Eryilmaz}, J. Comput. Appl. Math. 292, 1--6 (2016; Zbl 1323.60092) Full Text: DOI
Li, Zhong; Sendova, Kristina P. On a ruin model with both interclaim times and premiums depending on claim sizes. (English) Zbl 1398.91342 Scand. Actuar. J. 2015, No. 3, 245-265 (2015). MSC: 91B30 62P05 60K10 PDFBibTeX XMLCite \textit{Z. Li} and \textit{K. P. Sendova}, Scand. Actuar. J. 2015, No. 3, 245--265 (2015; Zbl 1398.91342) Full Text: DOI
Fu, Keang; Qiu, Yuyang; Wang, Anding Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims. (English) Zbl 1349.91135 Appl. Math., Ser. B (Engl. Ed.) 30, No. 3, 347-360 (2015). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{K. Fu} et al., Appl. Math., Ser. B (Engl. Ed.) 30, No. 3, 347--360 (2015; Zbl 1349.91135) Full Text: DOI
Zhang, Jiesong; Xiao, Qingxian Optimal investment of a time-dependent renewal risk model with stochastic return. (English) Zbl 1333.91040 J. Inequal. Appl. 2015, Paper No. 181, 12 p. (2015). MSC: 91B30 60K10 60G51 PDFBibTeX XMLCite \textit{J. Zhang} and \textit{Q. Xiao}, J. Inequal. Appl. 2015, Paper No. 181, 12 p. (2015; Zbl 1333.91040) Full Text: DOI
Yang, Yang; Ignatavičiūtė, Eglė; Šiaulys, Jonas Conditional tail expectation of randomly weighted sums with heavy-tailed distributions. (English) Zbl 1328.60040 Stat. Probab. Lett. 105, 20-28 (2015). MSC: 60E05 60F10 62E20 PDFBibTeX XMLCite \textit{Y. Yang} et al., Stat. Probab. Lett. 105, 20--28 (2015; Zbl 1328.60040) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Perreault, Samuel On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. (English) Zbl 1348.91137 Insur. Math. Econ. 64, 214-224 (2015). MSC: 91B30 60E05 62H05 62P05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 64, 214--224 (2015; Zbl 1348.91137) Full Text: DOI
Jin, Fang; Ou, Hui; Yang, Xiang Qun A periodic dividend problem with inconstant barrier in Markovian environment. (English) Zbl 1319.60183 Acta Math. Sin., Engl. Ser. 31, No. 2, 281-294 (2015). MSC: 60K37 60J10 60J20 91B30 PDFBibTeX XMLCite \textit{F. Jin} et al., Acta Math. Sin., Engl. Ser. 31, No. 2, 281--294 (2015; Zbl 1319.60183) Full Text: DOI
Hao, Yuan-yuan; Yang, Hu A ruin model with compound Poisson income and dependence between claim sizes and claim intervals. (English) Zbl 1319.91096 Acta Math. Appl. Sin., Engl. Ser. 31, No. 2, 445-452 (2015). MSC: 91B30 60J25 PDFBibTeX XMLCite \textit{Y.-y. Hao} and \textit{H. Yang}, Acta Math. Appl. Sin., Engl. Ser. 31, No. 2, 445--452 (2015; Zbl 1319.91096) Full Text: DOI
Cossette, Hélène; Larrivée-Hardy, Etienne; Marceau, Etienne; Trufin, Julien A note on compound renewal risk models with dependence. (English) Zbl 1325.91028 J. Comput. Appl. Math. 285, 295-311 (2015). MSC: 91B30 60K10 65C50 91G60 PDFBibTeX XMLCite \textit{H. Cossette} et al., J. Comput. Appl. Math. 285, 295--311 (2015; Zbl 1325.91028) Full Text: DOI
Thampi, K. K. Finite time ruin probability of the compound renewal model with constant interest rate and weakly negatively dependent claims with heavy tails. (English) Zbl 1359.62469 Int. Game Theory Rev. 17, No. 1, Article ID 1540011, 14 p. (2015). Reviewer: Jonas Šiaulys (Vilnius) MSC: 62P05 60K10 62E10 91B30 PDFBibTeX XMLCite \textit{K. K. Thampi}, Int. Game Theory Rev. 17, No. 1, Article ID 1540011, 14 p. (2015; Zbl 1359.62469) Full Text: DOI
Ma, Dongxing; Wang, Dehui; Cheng, Jianhua Bidimensional discrete-time risk models based on bivariate claim count time series. (English) Zbl 1308.91091 J. Inequal. Appl. 2015, Paper No. 105, 22 p. (2015). MSC: 91B30 62M10 91B84 60F10 PDFBibTeX XMLCite \textit{D. Ma} et al., J. Inequal. Appl. 2015, Paper No. 105, 22 p. (2015; Zbl 1308.91091) Full Text: DOI
Liu, Donghai; Liu, Zaiming; Peng, Dan The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier. (English) Zbl 1406.91201 Abstr. Appl. Anal. 2014, Article ID 730174, 7 p. (2014). MSC: 91B30 60K10 45J05 PDFBibTeX XMLCite \textit{D. Liu} et al., Abstr. Appl. Anal. 2014, Article ID 730174, 7 p. (2014; Zbl 1406.91201) Full Text: DOI
Landriault, David; Lee, Wing Yan; Willmot, Gordon E.; Woo, Jae-Kyung A note on deficit analysis in dependency models involving Coxian claim amounts. (English) Zbl 1401.91157 Scand. Actuar. J. 2014, No. 5, 405-423 (2014). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{D. Landriault} et al., Scand. Actuar. J. 2014, No. 5, 405--423 (2014; Zbl 1401.91157) Full Text: DOI Link