Liu, Xijun; Gao, Qingwu; Dong, Zimai Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims. (English) Zbl 07803299 Stoch. Models 40, No. 1, 97-122 (2024). MSC: 62E20 62P05 91B30 PDFBibTeX XMLCite \textit{X. Liu} et al., Stoch. Models 40, No. 1, 97--122 (2024; Zbl 07803299) Full Text: DOI
Yang, Yang; Bian, Tongxin; Chen, Shaoying Tail behavior of discounted portfolio loss under upper tail comonotonicity. (English) Zbl 07799967 J. Ind. Manag. Optim. 20, No. 3, 1296-1317 (2024). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 20, No. 3, 1296--1317 (2024; Zbl 07799967) Full Text: DOI
Yang, Yang; Chen, Shaoying; Yuen, Kam Chuen Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance. (English) Zbl 07791016 Sci. China, Math. 67, No. 1, 163-186 (2024). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{Y. Yang} et al., Sci. China, Math. 67, No. 1, 163--186 (2024; Zbl 07791016) Full Text: DOI
Peng, Ling; Tan, Xiangyong; Xiao, Peiwen; Rizk, Zeinab; Liu, Xiaohui Expectile trace regression via low-rank and group sparsity regularization. (English) Zbl 07803287 Statistics 57, No. 6, 1469-1489 (2023). MSC: 62J99 62H12 PDFBibTeX XMLCite \textit{L. Peng} et al., Statistics 57, No. 6, 1469--1489 (2023; Zbl 07803287) Full Text: DOI
Wen, Limin; Han, Fei The optimal retrospective reinsurance with the minimum risk-adjusted value. (Chinese. English summary) Zbl 07793064 Chin. J. Appl. Probab. Stat. 39, No. 3, 347-362 (2023). MSC: 62G35 PDFBibTeX XMLCite \textit{L. Wen} and \textit{F. Han}, Chin. J. Appl. Probab. Stat. 39, No. 3, 347--362 (2023; Zbl 07793064) Full Text: Link
Alcaraz, Angelo; Ciuperca, Gabriela Automatic selection by penalized asymmetric \(L_q\)-norm in a high-dimensional model with grouped variables. (English) Zbl 07757624 Statistics 57, No. 5, 1202-1238 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Alcaraz} and \textit{G. Ciuperca}, Statistics 57, No. 5, 1202--1238 (2023; Zbl 07757624) Full Text: DOI arXiv
Wang, Shijie; Yang, Yueli; Liu, Yang; Yang, Lianqiang Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims. (English) Zbl 1517.62081 Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 76, 13 p. (2023). MSC: 62P05 62E10 91B05 PDFBibTeX XMLCite \textit{S. Wang} et al., Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 76, 13 p. (2023; Zbl 1517.62081) Full Text: DOI
Gao, Suhao; Yu, Zhen Parametric expectile regression and its application for premium calculation. (English) Zbl 1520.91326 Insur. Math. Econ. 111, 242-256 (2023). MSC: 91G05 62P05 62F99 PDFBibTeX XMLCite \textit{S. Gao} and \textit{Z. Yu}, Insur. Math. Econ. 111, 242--256 (2023; Zbl 1520.91326) Full Text: DOI
Pan, Yingli; Liu, Zhan; Song, Guangyu Weighted expectile regression with covariates missing at random. (English) Zbl 07713670 Commun. Stat., Simulation Comput. 52, No. 3, 1057-1076 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Pan} et al., Commun. Stat., Simulation Comput. 52, No. 3, 1057--1076 (2023; Zbl 07713670) Full Text: DOI
Wang, Kaiyong; Yang, Yang; Yuen, Kam Chuen The uniform asymptotics for the tail of Poisson shot noise process with dependent and heavy-tailed shocks. (English) Zbl 1524.62090 J. Math. Res. Appl. 43, No. 3, 335-349 (2023). MSC: 62E20 62P05 60F10 PDFBibTeX XMLCite \textit{K. Wang} et al., J. Math. Res. Appl. 43, No. 3, 335--349 (2023; Zbl 1524.62090) Full Text: DOI
Shen, Xinmei; Du, Kailin Uniform approximation for the tail behavior of bidimensional randomly weighted sums. (English) Zbl 1514.62035 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 26, 25 p. (2023). MSC: 62E20 26A12 60E05 PDFBibTeX XMLCite \textit{X. Shen} and \textit{K. Du}, Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 26, 25 p. (2023; Zbl 1514.62035) Full Text: DOI
Zhu, Dan; Yin, Chuancun Optimal reinsurance policy under a new distortion risk measure. (English) Zbl 07706307 Commun. Stat., Theory Methods 52, No. 12, 4151-4164 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{D. Zhu} and \textit{C. Yin}, Commun. Stat., Theory Methods 52, No. 12, 4151--4164 (2023; Zbl 07706307) Full Text: DOI
Yang, Wenzhi; Liu, Huanshuo; Wang, Yiwei; Wang, Xuejun Data-driven estimation of change-points with mean shift. (English) Zbl 1512.62026 J. Korean Stat. Soc. 52, No. 1, 130-153 (2023). MSC: 62E20 62F12 PDFBibTeX XMLCite \textit{W. Yang} et al., J. Korean Stat. Soc. 52, No. 1, 130--153 (2023; Zbl 1512.62026) Full Text: DOI
Geng, Bingzhen; Liu, Zaiming; Wang, Shijie A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*. (English) Zbl 07683107 Lith. Math. J. 63, No. 1, 81-91 (2023). MSC: 62E20 60H20 PDFBibTeX XMLCite \textit{B. Geng} et al., Lith. Math. J. 63, No. 1, 81--91 (2023; Zbl 07683107) Full Text: DOI
Pan, Yingli; Zhao, Xiaoluo; Wei, Sha; Liu, Zhan High-dimensional expectile regression incorporating graphical structure among predictors. (English) Zbl 07677414 J. Stat. Comput. Simulation 93, No. 2, 231-248 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Pan} et al., J. Stat. Comput. Simulation 93, No. 2, 231--248 (2023; Zbl 07677414) Full Text: DOI
Li, Jinzhu Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims. (English) Zbl 1524.62512 J. Ind. Manag. Optim. 19, No. 6, 3840-3853 (2023). MSC: 62P05 60K10 62E20 91B05 PDFBibTeX XMLCite \textit{J. Li}, J. Ind. Manag. Optim. 19, No. 6, 3840--3853 (2023; Zbl 1524.62512) Full Text: DOI
Litimein, Ouahiba; Laksaci, Ali; Mechab, Boubaker; Bouzebda, Salim Local linear estimate of the functional expectile regression. (English) Zbl 1499.62139 Stat. Probab. Lett. 192, Article ID 109682, 12 p. (2023). MSC: 62G08 62G10 62G35 62G07 62G32 62G30 62H12 62R10 PDFBibTeX XMLCite \textit{O. Litimein} et al., Stat. Probab. Lett. 192, Article ID 109682, 12 p. (2023; Zbl 1499.62139) Full Text: DOI
Zhu, Jian Zhang; Liu, Zhang; Wang, Xin Yan; Hu, Yi Jun Optimal reinsurance with probabilistic constraints under distortion risk measure. (Chinese. English summary) Zbl 07822719 Acta Math. Sin., Chin. Ser. 65, No. 6, 1123-1136 (2022). MSC: 62P05 PDFBibTeX XMLCite \textit{J. Z. Zhu} et al., Acta Math. Sin., Chin. Ser. 65, No. 6, 1123--1136 (2022; Zbl 07822719) Full Text: DOI
Wang, Wei; Wu, Yi; Wang, Wenqin; Zhou, Kai; Chen, Kan; Tao, Xinran Hajek-Renyi-type inequality for \((\alpha, \beta)\)-mixing sequences and its application to change-point model. (English) Zbl 1509.60077 J. Inequal. Appl. 2022, Paper No. 130, 13 p. (2022). MSC: 60E15 62F12 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Inequal. Appl. 2022, Paper No. 130, 13 p. (2022; Zbl 1509.60077) Full Text: DOI
Barry, Amadou; Oualkacha, Karim; Charpentier, Arthur A new GEE method to account for heteroscedasticity using asymmetric least-square regressions. (English) Zbl 07611116 J. Appl. Stat. 49, No. 14, 3564-3590 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Barry} et al., J. Appl. Stat. 49, No. 14, 3564--3590 (2022; Zbl 07611116) Full Text: DOI arXiv
Ciuperca, Gabriela Real-time detection of a change-point in a linear expectile model. (English) Zbl 1493.62090 Stat. Pap. 63, No. 4, 1323-1367 (2022). MSC: 62F05 62J07 62L10 PDFBibTeX XMLCite \textit{G. Ciuperca}, Stat. Pap. 63, No. 4, 1323--1367 (2022; Zbl 1493.62090) Full Text: DOI arXiv
Ciuperca, Gabriela; Dulac, Nicolas Multiple change-points estimation in linear regression models via an adaptive Lasso expectile loss function. (English) Zbl 07557992 J. Stat. Theory Pract. 16, No. 3, Paper No. 38, 39 p. (2022). MSC: 62Jxx 62Gxx 62Fxx PDFBibTeX XMLCite \textit{G. Ciuperca} and \textit{N. Dulac}, J. Stat. Theory Pract. 16, No. 3, Paper No. 38, 39 p. (2022; Zbl 07557992) Full Text: DOI
Li, Xiang; Zhang, Yi; Zhao, Jun An improved algorithm for high-dimensional continuous threshold expectile model with variance heterogeneity. (English) Zbl 07546447 J. Stat. Comput. Simulation 92, No. 8, 1590-1617 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{X. Li} et al., J. Stat. Comput. Simulation 92, No. 8, 1590--1617 (2022; Zbl 07546447) Full Text: DOI
Yang, Qing; Zhang, Yi Change-point detection for the link function in a single-index model. (English) Zbl 1487.62041 Stat. Probab. Lett. 186, Article ID 109468, 10 p. (2022). MSC: 62G10 62G08 62E20 62G20 PDFBibTeX XMLCite \textit{Q. Yang} and \textit{Y. Zhang}, Stat. Probab. Lett. 186, Article ID 109468, 10 p. (2022; Zbl 1487.62041) Full Text: DOI
Jing, Haojie; Peng, Jiangyan; Jiang, Zhiquan; Bao, Qian Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations. (English) Zbl 07533658 Commun. Stat., Theory Methods 51, No. 11, 3761-3786 (2022). MSC: 62P05 62E20 62-XX PDFBibTeX XMLCite \textit{H. Jing} et al., Commun. Stat., Theory Methods 51, No. 11, 3761--3786 (2022; Zbl 07533658) Full Text: DOI
Rachdi, Mustapha; Laksaci, Ali; Al-Kandari, Noriah M. Expectile regression for spatial functional data analysis (sFDA). (English) Zbl 07532799 Metrika 85, No. 5, 627-655 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{M. Rachdi} et al., Metrika 85, No. 5, 627--655 (2022; Zbl 07532799) Full Text: DOI
Taggart, Robert J. Point forecasting and forecast evaluation with generalized Huber loss. (English) Zbl 1493.62029 Electron. J. Stat. 16, No. 1, 201-231 (2022). MSC: 62C05 91B06 PDFBibTeX XMLCite \textit{R. J. Taggart}, Electron. J. Stat. 16, No. 1, 201--231 (2022; Zbl 1493.62029) Full Text: DOI arXiv Link
Ngatchou-Wandji, Joseph; Elharfaoui, Echarif; Harel, Michel On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations. (English) Zbl 1493.62086 Stat. Pap. 63, No. 1, 287-316 (2022). MSC: 62F03 62M10 PDFBibTeX XMLCite \textit{J. Ngatchou-Wandji} et al., Stat. Pap. 63, No. 1, 287--316 (2022; Zbl 1493.62086) Full Text: DOI
Zhao, Jun; Yan, Guan’ao; Zhang, Yi Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity. (English) Zbl 07504782 Stat. Pap. 63, No. 1, 1-28 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{J. Zhao} et al., Stat. Pap. 63, No. 1, 1--28 (2022; Zbl 07504782) Full Text: DOI arXiv
Qian, Huan; Geng, Bingzhen; Wang, Shijie Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables. (English) Zbl 1493.62072 Lith. Math. J. 62, No. 1, 113-122 (2022). MSC: 62E20 60G70 PDFBibTeX XMLCite \textit{H. Qian} et al., Lith. Math. J. 62, No. 1, 113--122 (2022; Zbl 1493.62072) Full Text: DOI
Almanjahie, Ibrahim M.; Bouzebda, Salim; Kaid, Zoulikha; Laksaci, Ali Nonparametric estimation of expectile regression in functional dependent data. (English) Zbl 07476221 J. Nonparametric Stat. 34, No. 1, 250-281 (2022). Reviewer: Gilles Stupfler (Angers) MSC: 62G08 62G10 62G35 62G07 62G32 62G30 62H12 62R10 PDFBibTeX XMLCite \textit{I. M. Almanjahie} et al., J. Nonparametric Stat. 34, No. 1, 250--281 (2022; Zbl 07476221) Full Text: DOI
Almanjahie, Ibrahim M.; Bouzebda, Salim; Chikr Elmezouar, Zouaoui; Laksaci, Ali The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors. (English) Zbl 1493.62151 Stat. Risk. Model. 38, No. 3-4, 47-63 (2022). MSC: 62G05 62G08 62G20 62H12 PDFBibTeX XMLCite \textit{I. M. Almanjahie} et al., Stat. Risk. Model. 38, No. 3--4, 47--63 (2022; Zbl 1493.62151) Full Text: DOI
Zhao, Jun; Zhang, Yi; Wu, Sheng; Shen, Liming Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression. (English) Zbl 1479.62079 J. Comput. Appl. Math. 403, Article ID 113862, 13 p. (2022). MSC: 62M10 62G05 62G08 65C05 PDFBibTeX XMLCite \textit{J. Zhao} et al., J. Comput. Appl. Math. 403, Article ID 113862, 13 p. (2022; Zbl 1479.62079) Full Text: DOI
Jiang, Rong; Peng, Yexun; Deng, Yufei Variable selection and debiased estimation for single-index expectile model. (English) Zbl 1521.62052 Aust. N. Z. J. Stat. 63, No. 4, 658-673 (2021). MSC: 62G08 62J07 62G15 PDFBibTeX XMLCite \textit{R. Jiang} et al., Aust. N. Z. J. Stat. 63, No. 4, 658--673 (2021; Zbl 1521.62052) Full Text: DOI
Adam, Cécile; Gijbels, Irène Partially linear expectile regression using local polynomial fitting. (English) Zbl 07645399 Daouia, Abdelaati (ed.) et al., Advances in contemporary statistics and econometrics. Festschrift in honor of Christine Thomas-Agnan. Cham: Springer. 139-160 (2021). MSC: 62P20 PDFBibTeX XMLCite \textit{C. Adam} and \textit{I. Gijbels}, in: Advances in contemporary statistics and econometrics. Festschrift in honor of Christine Thomas-Agnan. Cham: Springer. 139--160 (2021; Zbl 07645399) Full Text: DOI
Tang, Chuan-Fa; Wang, Dewei; El Barmi, Hammou; Tebbs, Joshua M. Testing for positive quadrant dependence. (English) Zbl 07632831 Am. Stat. 75, No. 1, 23-30 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{C.-F. Tang} et al., Am. Stat. 75, No. 1, 23--30 (2021; Zbl 07632831) Full Text: DOI
Pan, Yingli Distributed optimization and statistical learning for large-scale penalized expectile regression. (English) Zbl 1485.62048 J. Korean Stat. Soc. 50, No. 1, 290-314 (2021). MSC: 62G08 62J07 62P10 PDFBibTeX XMLCite \textit{Y. Pan}, J. Korean Stat. Soc. 50, No. 1, 290--314 (2021; Zbl 1485.62048) Full Text: DOI
Xu, Q. F.; Ding, X. H.; Jiang, C. X.; Yu, K. M.; Shi, L. An elastic-net penalized expectile regression with applications. (English) Zbl 1521.62526 J. Appl. Stat. 48, No. 12, 2205-2230 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{Q. F. Xu} et al., J. Appl. Stat. 48, No. 12, 2205--2230 (2021; Zbl 1521.62526) Full Text: DOI
Liu, Jiajun; Yang, Yang Asymptotics for systemic risk with dependent heavy-tailed losses. (English) Zbl 1471.91610 ASTIN Bull. 51, No. 2, 571-605 (2021). MSC: 91G45 62P05 PDFBibTeX XMLCite \textit{J. Liu} and \textit{Y. Yang}, ASTIN Bull. 51, No. 2, 571--605 (2021; Zbl 1471.91610) Full Text: DOI
Zhao, Yanchun; Mao, Tiantian; Yang, Fan Estimation of the Haezendonck-Goovaerts risk measure for extreme risks. (English) Zbl 1471.91492 Scand. Actuar. J. 2021, No. 7, 599-622 (2021). Reviewer: Weiping Li (Stillwater) MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{Y. Zhao} et al., Scand. Actuar. J. 2021, No. 7, 599--622 (2021; Zbl 1471.91492) Full Text: DOI
Ciuperca, Gabriela Variable selection in high-dimensional linear model with possibly asymmetric errors. (English) Zbl 1510.62293 Comput. Stat. Data Anal. 155, Article ID 107112, 19 p. (2021). MSC: 62J05 62J07 62G08 62G20 62H12 PDFBibTeX XMLCite \textit{G. Ciuperca}, Comput. Stat. Data Anal. 155, Article ID 107112, 19 p. (2021; Zbl 1510.62293) Full Text: DOI arXiv
Salazar Flores, Yuri; Díaz Hernández, Adán Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach. (English) Zbl 1464.62286 J. Stat. Theory Pract. 15, No. 1, Paper No. 9, 9 p. (2021). MSC: 62H05 62G05 62G32 62M10 60F10 60G55 62P05 PDFBibTeX XMLCite \textit{Y. Salazar Flores} and \textit{A. Díaz Hernández}, J. Stat. Theory Pract. 15, No. 1, Paper No. 9, 9 p. (2021; Zbl 1464.62286) Full Text: DOI
Weng, Chengguo Discussion on the paper “Optimal reinsurance design based on risk measures: a review” by Yichun Chi and Jun Cai. (English) Zbl 07660217 Stat. Theory Relat. Fields 4, No. 1, 16-19 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{C. Weng}, Stat. Theory Relat. Fields 4, No. 1, 16--19 (2020; Zbl 07660217) Full Text: DOI
Cai, Jun; Chi, Yichun Optimal reinsurance designs based on risk measures: a review. (English) Zbl 07660215 Stat. Theory Relat. Fields 4, No. 1, 1-13 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{J. Cai} and \textit{Y. Chi}, Stat. Theory Relat. Fields 4, No. 1, 1--13 (2020; Zbl 07660215) Full Text: DOI
Shen, Xinmei; Ge, Mingyue; Fu, Ke-Ang Approximation of the tail probabilities for bidimensional randomly weighted sums with dependent components. (English) Zbl 07619772 Probab. Eng. Inf. Sci. 34, No. 1, 112-130 (2020). MSC: 62-XX 60-XX PDFBibTeX XMLCite \textit{X. Shen} et al., Probab. Eng. Inf. Sci. 34, No. 1, 112--130 (2020; Zbl 07619772) Full Text: DOI
Lin, Jianxi Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima. (English) Zbl 1511.60067 Commun. Stat., Theory Methods 49, No. 11, 2648-2670 (2020). MSC: 60G50 60G70 62E20 62P05 91B05 PDFBibTeX XMLCite \textit{J. Lin}, Commun. Stat., Theory Methods 49, No. 11, 2648--2670 (2020; Zbl 1511.60067) Full Text: DOI
Gao, Qingwu; Liu, Xijun Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory. (English) Zbl 1484.62026 J. Korean Stat. Soc. 49, No. 2, 596-624 (2020). MSC: 62E20 60G70 62P05 PDFBibTeX XMLCite \textit{Q. Gao} and \textit{X. Liu}, J. Korean Stat. Soc. 49, No. 2, 596--624 (2020; Zbl 1484.62026) Full Text: DOI
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics. (English) Zbl 1469.91066 Quant. Finance 20, No. 11, 1849-1878 (2020). MSC: 91G70 62M10 PDFBibTeX XMLCite \textit{R. Gerlach} et al., Quant. Finance 20, No. 11, 1849--1878 (2020; Zbl 1469.91066) Full Text: DOI Link
Dorea, Chang Yu; Ferreira, Débora B.; Oliveira, Magno A. Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks. (English) Zbl 1467.62070 Braz. J. Probab. Stat. 34, No. 4, 858-867 (2020). MSC: 62G32 60F10 60K20 62P30 PDFBibTeX XMLCite \textit{C. Y. Dorea} et al., Braz. J. Probab. Stat. 34, No. 4, 858--867 (2020; Zbl 1467.62070) Full Text: DOI Euclid
Sofronov, Georgy (ed.); Wendler, Martin (ed.); Liebscher, Volkmar (ed.) Editorial for the special issue: Change point detection. (English) Zbl 1445.00028 Stat. Pap. 61, No. 4, 1347-1349 (2020). MSC: 00B25 62-06 PDFBibTeX XMLCite \textit{G. Sofronov} (ed.) et al., Stat. Pap. 61, No. 4, 1347--1349 (2020; Zbl 1445.00028) 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
Cheng, Fengyang A note on randomly weighted sums of dependent subexponential random variables. (English) Zbl 1439.60031 Chin. Ann. Math., Ser. B 41, No. 3, 441-450 (2020). MSC: 60F15 62P05 PDFBibTeX XMLCite \textit{F. Cheng}, Chin. Ann. Math., Ser. B 41, No. 3, 441--450 (2020; Zbl 1439.60031) Full Text: DOI
Yang, Yang; Jiang, Tao; Wang, Kaiyong; Yuen, Kam C. Interplay of financial and insurance risks in dependent discrete-time risk models. (English) Zbl 1436.62501 Stat. Probab. Lett. 162, Article ID 108752, 11 p. (2020). MSC: 62P05 62E10 91B05 62H10 62M10 PDFBibTeX XMLCite \textit{Y. Yang} et al., Stat. Probab. Lett. 162, Article ID 108752, 11 p. (2020; Zbl 1436.62501) Full Text: DOI
Chen, Yiqing A Kesten-type bound for sums of randomly weighted subexponential random variables. (English) Zbl 1440.62195 Stat. Probab. Lett. 158, Article ID 108661, 8 p. (2020). MSC: 62H10 62E20 62H05 62K10 62P05 PDFBibTeX XMLCite \textit{Y. Chen}, Stat. Probab. Lett. 158, Article ID 108661, 8 p. (2020; Zbl 1440.62195) Full Text: DOI
Chen, Jikun; Xu, Hui; Cheng, Fengyang The product distribution of dependent random variables with applications to a discrete-time risk model. (English) Zbl 07539715 Commun. Stat., Theory Methods 48, No. 13, 3325-3340 (2019). MSC: 62E10 60E05 PDFBibTeX XMLCite \textit{J. Chen} et al., Commun. Stat., Theory Methods 48, No. 13, 3325--3340 (2019; Zbl 07539715) Full Text: DOI arXiv
Guo, Fenglong; Wang, Dingcheng; Peng, Jiangyan Tail asymptotic of discounted aggregate claims with compound dependence under risky investment. (English) Zbl 07530626 Commun. Stat., Theory Methods 48, No. 4, 810-830 (2019). MSC: 62E20 62P05 PDFBibTeX XMLCite \textit{F. Guo} et al., Commun. Stat., Theory Methods 48, No. 4, 810--830 (2019; Zbl 07530626) Full Text: DOI
Fang, Ying; Wang, Xia; Liu, Hongli; Li, Tong Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles. (English) Zbl 07529912 Commun. Stat., Theory Methods 48, No. 24, 6134-6154 (2019). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Fang} et al., Commun. Stat., Theory Methods 48, No. 24, 6134--6154 (2019; Zbl 07529912) Full Text: DOI
Cheng, Zailei; Seol, Youngsoo Precise deviations for Cox processes with a shot noise intensity. (English) Zbl 07529893 Commun. Stat., Theory Methods 48, No. 23, 5850-5861 (2019). MSC: 60G55 60F05 60F10 62-XX PDFBibTeX XMLCite \textit{Z. Cheng} and \textit{Y. Seol}, Commun. Stat., Theory Methods 48, No. 23, 5850--5861 (2019; Zbl 07529893) Full Text: DOI arXiv
Stupfler, Gilles On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails. (English) Zbl 1434.62039 Extremes 22, No. 4, 749-769 (2019). MSC: 62G05 62G20 62G30 62G32 60F05 PDFBibTeX XMLCite \textit{G. Stupfler}, Extremes 22, No. 4, 749--769 (2019; Zbl 1434.62039) Full Text: DOI
Birghila, Corina; Pflug, Georg Ch. Optimal XL-insurance under Wasserstein-type ambiguity. (English) Zbl 1425.91213 Insur. Math. Econ. 88, 30-43 (2019). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{C. Birghila} and \textit{G. Ch. Pflug}, Insur. Math. Econ. 88, 30--43 (2019; Zbl 1425.91213) Full Text: DOI Link
Lin, Jianxi Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples. (English) Zbl 1427.62013 Stat. Probab. Lett. 153, 37-47 (2019). MSC: 62E20 60G50 62P05 62G32 91B05 PDFBibTeX XMLCite \textit{J. Lin}, Stat. Probab. Lett. 153, 37--47 (2019; Zbl 1427.62013) Full Text: DOI
Chen, Yiqing; Yang, Yang Bivariate regular variation among randomly weighted sums in general insurance. (English) Zbl 1422.91334 Eur. Actuar. J. 9, No. 1, 301-322 (2019). MSC: 91B30 62P05 62E20 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{Y. Yang}, Eur. Actuar. J. 9, No. 1, 301--322 (2019; Zbl 1422.91334) Full Text: DOI
Chen, Yu; Chen, Dan; Gao, Wenxue Extensions of Breiman’s theorem of product of dependent random variables with applications to ruin theory. (English) Zbl 1431.62065 Commun. Math. Stat. 7, No. 1, 1-23 (2019). Reviewer: Thorsten Dickhaus (Berlin) MSC: 62E20 60G70 62H05 62P20 PDFBibTeX XMLCite \textit{Y. Chen} et al., Commun. Math. Stat. 7, No. 1, 1--23 (2019; Zbl 1431.62065) Full Text: DOI
Xun, Li; Zhou, Yangzhi; Zhou, Yong A generalization of expected shortfall based capital allocation. (English) Zbl 1412.62139 Stat. Probab. Lett. 146, 193-199 (2019). MSC: 62P05 62G07 62G20 PDFBibTeX XMLCite \textit{L. Xun} et al., Stat. Probab. Lett. 146, 193--199 (2019; Zbl 1412.62139) Full Text: DOI
Xu, Hui; Cheng, Fengyang; Wang, Yuebao; Cheng, Dongya A necessary and sufficient condition for the subexponentiality of the product convolution. (English) Zbl 1443.60018 Adv. Appl. Probab. 50, No. 1, 57-73 (2018). MSC: 60E05 91G40 62E20 PDFBibTeX XMLCite \textit{H. Xu} et al., Adv. Appl. Probab. 50, No. 1, 57--73 (2018; Zbl 1443.60018) Full Text: DOI arXiv
Chen, Yu; Gao, Yu; Gao, Wenxue; Zhang, Weiping Second-order asymptotics of the risk concentration of a portfolio with deflated risks. (English) Zbl 1427.91252 Math. Probl. Eng. 2018, Article ID 4689479, 12 p. (2018). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{Y. Chen} et al., Math. Probl. Eng. 2018, Article ID 4689479, 12 p. (2018; Zbl 1427.91252) Full Text: DOI
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil Extremes for multivariate expectiles. (English) Zbl 1408.62106 Stat. Risk. Model. 35, No. 3-4, 111-140 (2018). MSC: 62H12 62G32 91G70 PDFBibTeX XMLCite \textit{V. Maume-Deschamps} et al., Stat. Risk. Model. 35, No. 3--4, 111--140 (2018; Zbl 1408.62106) Full Text: DOI
Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. (English) Zbl 1418.91259 Scand. Actuar. J. 2018, No. 8, 661-680 (2018). MSC: 91B30 91G10 62P05 62G05 PDFBibTeX XMLCite \textit{X. Wang} et al., Scand. Actuar. J. 2018, No. 8, 661--680 (2018; Zbl 1418.91259) Full Text: DOI
Wang, Shi-jie; Zhang, Chuan-wei; Wang, Xue-jun; Wang, Wen-sheng The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks. (English) Zbl 1401.62217 Acta Math. Appl. Sin., Engl. Ser. 34, No. 3, 553-565 (2018). MSC: 62P05 91B30 62E20 PDFBibTeX XMLCite \textit{S.-j. Wang} et al., Acta Math. Appl. Sin., Engl. Ser. 34, No. 3, 553--565 (2018; Zbl 1401.62217) Full Text: DOI
Cheng, Fengyang; Cheng, Dongya Randomly weighted sums of dependent subexponential random variables with applications to risk theory. (English) Zbl 1396.62021 Scand. Actuar. J. 2018, No. 3, 191-202 (2018). MSC: 62E20 91B30 PDFBibTeX XMLCite \textit{F. Cheng} and \textit{D. Cheng}, Scand. Actuar. J. 2018, No. 3, 191--202 (2018; Zbl 1396.62021) Full Text: DOI
Liu, Hongli; Fang, Ying Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer. (English) Zbl 1403.91199 J. Appl. Math. Comput. 57, No. 1-2, 85-104 (2018). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Liu} and \textit{Y. Fang}, J. Appl. Math. Comput. 57, No. 1--2, 85--104 (2018; Zbl 1403.91199) Full Text: DOI
Liu, Rongfei; Wang, Dingcheng; Guo, Fenglong The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks. (English) Zbl 1390.91197 Commun. Stat., Theory Methods 47, No. 7, 1529-1550 (2018). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{R. Liu} et al., Commun. Stat., Theory Methods 47, No. 7, 1529--1550 (2018; Zbl 1390.91197) Full Text: DOI
Wang, Kaiyong; Gao, Miaomiao; Yang, Yang; Chen, Yang Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks. (English) Zbl 1458.62255 Lith. Math. J. 58, No. 1, 113-125 (2018). MSC: 62P05 62E10 62H12 91B05 91G05 PDFBibTeX XMLCite \textit{K. Wang} et al., Lith. Math. J. 58, No. 1, 113--125 (2018; Zbl 1458.62255) Full Text: DOI
Tillier, Charles; Wintenberger, Olivier Regular variation of a random length sequence of random variables and application to risk assessment. (English) Zbl 1391.60120 Extremes 21, No. 1, 27-56 (2018). MSC: 60G70 91B30 62P05 62P10 PDFBibTeX XMLCite \textit{C. Tillier} and \textit{O. Wintenberger}, Extremes 21, No. 1, 27--56 (2018; Zbl 1391.60120) Full Text: DOI arXiv HAL
Li, Jinzhu On the joint tail behavior of randomly weighted sums of heavy-tailed random variables. (English) Zbl 1499.62082 J. Multivariate Anal. 164, 40-53 (2018). MSC: 62E20 60E05 PDFBibTeX XMLCite \textit{J. Li}, J. Multivariate Anal. 164, 40--53 (2018; Zbl 1499.62082) Full Text: DOI
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. (English) Zbl 1414.91174 N. Am. Actuar. J. 21, No. 3, 417-432 (2017). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{Y. Chi} et al., N. Am. Actuar. J. 21, No. 3, 417--432 (2017; Zbl 1414.91174) Full Text: DOI
Lo, Ambrose A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. (English) Zbl 1402.91208 Scand. Actuar. J. 2017, No. 7, 584-605 (2017). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{A. Lo}, Scand. Actuar. J. 2017, No. 7, 584--605 (2017; Zbl 1402.91208) Full Text: DOI
Weng, Chengguo; Zhuang, Sheng Chao CDF formulation for solving an optimal reinsurance problem. (English) Zbl 1401.91200 Scand. Actuar. J. 2017, No. 5, 395-418 (2017). MSC: 91B30 62P05 62E15 PDFBibTeX XMLCite \textit{C. Weng} and \textit{S. C. Zhuang}, Scand. Actuar. J. 2017, No. 5, 395--418 (2017; Zbl 1401.91200) Full Text: DOI
Cheung, Ka Chun; Lo, Ambrose Characterizations of optimal reinsurance treaties: a cost-benefit approach. (English) Zbl 1401.91112 Scand. Actuar. J. 2017, No. 1, 1-28 (2017). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{K. C. Cheung} and \textit{A. Lo}, Scand. Actuar. J. 2017, No. 1, 1--28 (2017; Zbl 1401.91112) Full Text: DOI
Lo, Ambrose A Neyman-Pearson perspective on optimal reinsurance with constraints. (English) Zbl 1390.91199 ASTIN Bull. 47, No. 2, 467-499 (2017). MSC: 91B30 62P05 91G70 PDFBibTeX XMLCite \textit{A. Lo}, ASTIN Bull. 47, No. 2, 467--499 (2017; Zbl 1390.91199) Full Text: DOI
Fu, Ke-Ang; Ng, Cheuk Yin Andrew Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments. (English) Zbl 1377.91109 Stat. Probab. Lett. 125, 227-235 (2017). MSC: 91B30 60K10 62P05 62E20 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{C. Y. A. Ng}, Stat. Probab. Lett. 125, 227--235 (2017; Zbl 1377.91109) Full Text: DOI
Chi, Yichun; Liu, Fangda Optimal insurance design in the presence of exclusion clauses. (English) Zbl 1396.91296 Insur. Math. Econ. 76, 185-195 (2017). MSC: 91B30 62P05 91G70 PDFBibTeX XMLCite \textit{Y. Chi} and \textit{F. Liu}, Insur. Math. Econ. 76, 185--195 (2017; Zbl 1396.91296) Full Text: DOI
Liu, Qing; Peng, Liang; Wang, Xing Haezendonck-Goovaerts risk measure with a heavy tailed loss. (English) Zbl 1395.91256 Insur. Math. Econ. 76, 28-47 (2017). MSC: 91B30 62G32 62P05 PDFBibTeX XMLCite \textit{Q. Liu} et al., Insur. Math. Econ. 76, 28--47 (2017; Zbl 1395.91256) 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
Yang, Yang; Zhang, Ting; Yuen, Kam C. Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations. (English) Zbl 1364.91072 J. Comput. Appl. Math. 321, 143-159 (2017). MSC: 91B30 62E10 62P05 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Comput. Appl. Math. 321, 143--159 (2017; Zbl 1364.91072) Full Text: DOI
Zhang, Ting; Fang, Xi-Nian; Liu, Jie; Yang, Yang Asymptotics for the partial sum and its maximum of dependent random variables. (English) Zbl 1381.60073 Lith. Math. J. 57, No. 1, 142-153 (2017). MSC: 60F05 60E05 60G70 62E20 PDFBibTeX XMLCite \textit{T. Zhang} et al., Lith. Math. J. 57, No. 1, 142--153 (2017; Zbl 1381.60073) Full Text: DOI
Yu, Changjun; Cheng, Dongya Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails. (English) Zbl 1360.62068 Commun. Stat., Theory Methods 46, No. 2, 591-601 (2017). MSC: 62E20 62P05 PDFBibTeX XMLCite \textit{C. Yu} and \textit{D. Cheng}, Commun. Stat., Theory Methods 46, No. 2, 591--601 (2017; Zbl 1360.62068) Full Text: DOI
Liu, Qing; Mao, Tiantian; Hu, Taizhong Closure properties of the second-order regular variation under convolutions. (English) Zbl 1360.60099 Commun. Stat., Theory Methods 46, No. 1, 104-119 (2017). MSC: 60G70 62P05 91B30 PDFBibTeX XMLCite \textit{Q. Liu} et al., Commun. Stat., Theory Methods 46, No. 1, 104--119 (2017; Zbl 1360.60099) Full Text: DOI
Sun, Haoze; Weng, Chengguo; Zhang, Yi Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework. (English) Zbl 1394.91232 Insur. Math. Econ. 72, 197-214 (2017). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Sun} et al., Insur. Math. Econ. 72, 197--214 (2017; Zbl 1394.91232) Full Text: DOI
Wang, Wenyuan; Peng, Xingchun Reinsurer’s optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures. (English) Zbl 1414.91241 J. Comput. Appl. Math. 315, 142-160 (2017). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Peng}, J. Comput. Appl. Math. 315, 142--160 (2017; Zbl 1414.91241) Full Text: DOI
Yang, Haizhong; Gao, Wei; Li, Jinzhu Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. (English) Zbl 1401.91204 Scand. Actuar. J. 2016, No. 1, 1-17 (2016). MSC: 91B30 60F05 62P05 62E10 41A60 PDFBibTeX XMLCite \textit{H. Yang} et al., Scand. Actuar. J. 2016, No. 1, 1--17 (2016; Zbl 1401.91204) Full Text: DOI
Payandeh Najafabadi, Amir T.; Bazaz, Ali Panahi An optimal co-reinsurance strategy. (English) Zbl 1369.91092 Insur. Math. Econ. 69, 149-155 (2016). MSC: 91B30 62F15 62P05 PDFBibTeX XMLCite \textit{A. T. Payandeh Najafabadi} and \textit{A. P. Bazaz}, Insur. Math. Econ. 69, 149--155 (2016; Zbl 1369.91092) Full Text: DOI
Shen, Xinmei; Tian, Hailan Precise large deviations for sums of two-dimensional random vectors with dependent components of heavy tails. (English) Zbl 1349.60075 Commun. Stat., Theory Methods 45, No. 21, 6357-6368 (2016). MSC: 60G50 62P05 60F10 PDFBibTeX XMLCite \textit{X. Shen} and \textit{H. Tian}, Commun. Stat., Theory Methods 45, No. 21, 6357--6368 (2016; Zbl 1349.60075) Full Text: DOI
Hu, Xiang; Zhang, Lianzeng Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance. (English) Zbl 1349.91141 Methodol. Comput. Appl. Probab. 18, No. 3, 675-689 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{X. Hu} and \textit{L. Zhang}, Methodol. Comput. Appl. Probab. 18, No. 3, 675--689 (2016; Zbl 1349.91141) Full Text: DOI
Wang, Xing; Peng, Liang Inference for intermediate Haezendonck-Goovaerts risk measure. (English) Zbl 1369.91101 Insur. Math. Econ. 68, 231-240 (2016). MSC: 91B30 62P05 62G20 PDFBibTeX XMLCite \textit{X. Wang} and \textit{L. Peng}, Insur. Math. Econ. 68, 231--240 (2016; Zbl 1369.91101) Full Text: DOI
Lu, ZhiYi; Meng, LiLi; Wang, Yujin; Shen, Qingjie Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit. (English) Zbl 1369.91091 Insur. Math. Econ. 68, 92-100 (2016). MSC: 91B30 62P05 91G70 PDFBibTeX XMLCite \textit{Z. Lu} et al., Insur. Math. Econ. 68, 92--100 (2016; Zbl 1369.91091) Full Text: DOI
Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod Marginal indemnification function formulation for optimal reinsurance. (English) Zbl 1348.91196 Insur. Math. Econ. 67, 65-76 (2016). MSC: 91B30 91B16 62P05 PDFBibTeX XMLCite \textit{S. C. Zhuang} et al., Insur. Math. Econ. 67, 65--76 (2016; Zbl 1348.91196) Full Text: DOI
Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas Asymptotics for randomly weighted and stopped dependent sums. (English) Zbl 1338.62065 Stochastics 88, No. 2, 300-319 (2016). MSC: 62E20 62P05 PDFBibTeX XMLCite \textit{Y. Yang} et al., Stochastics 88, No. 2, 300--319 (2016; Zbl 1338.62065) Full Text: DOI
Zhang, Xuepeng; Liang, Zhibin Optimal layer reinsurance on the maximization of the adjustment coefficient. (English) Zbl 1331.91104 Numer. Algebra Control Optim. 6, No. 1, 21-34 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{X. Zhang} and \textit{Z. Liang}, Numer. Algebra Control Optim. 6, No. 1, 21--34 (2016; Zbl 1331.91104) Full Text: DOI
Asimit, Alexandru V.; Badescu, Alexandru M.; Haberman, Steven; Kim, Eun-Seok Efficient risk allocation within a non-life insurance group under Solvency II regime. (English) Zbl 1348.91126 Insur. Math. Econ. 66, 69-76 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., Insur. Math. Econ. 66, 69--76 (2016; Zbl 1348.91126) Full Text: DOI