## Found 379 Documents (Results 1–100)

100
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### Nonparametric estimation of the expected discounted penalty function in the compound Poisson model. (English)Zbl 07524971

MSC:  62G05 62P05 91G70
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### Risk modelling on liquidations with Lévy processes. (English)Zbl 07426988

MSC:  60G51 91B05 91G05
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### Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. (English)Zbl 1479.91315

MSC:  91G05 91G30
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MSC:  90Bxx
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### Delayed capital injections for a risk process with Markovian arrivals. (English)Zbl 1476.60127

MSC:  60J25 91B05 45B05
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### Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest. (English)Zbl 07399077

MSC:  60J99 91G05
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### On a stochastic model for a cooperative banking scheme for microcredit. (English)Zbl 1470.91304

Theory Probab. Appl. 66, No. 2, 326-335 (2021) and Teor. Veroyatn. Primen. 66, No. 2, 402-414 (2021).
MSC:  91G40 60G55
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### Fourier-cosine method for finite-time Gerber-shiu functions. (English)Zbl 07364336

MSC:  68Q25 68R10 68U05
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### Optimal investment for an insurer under liquid reserves. (English)Zbl 1474.91164

MSC:  91G05 93E20
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MSC:  62-XX
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MSC:  62-XX
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### Parisian ruin probability – the De Vylder type approximation. (English)Zbl 07490576

MSC:  91B30 97M30
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### Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model. (English)Zbl 1455.91222

MSC:  91G05 60J20
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MSC:  91G05
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### The $$W, Z$$ scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems. (English)Zbl 1461.60028

MSC:  60G51 60G40 60J45
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### Statistical estimation for some dividend problems under the compound Poisson risk model. (English)Zbl 1452.91284

MSC:  91G05 62P05
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MSC:  91G05
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### Itô calculus for Cramér-Lundberg model. (English)Zbl 1448.91251

MSC:  91G05 60K10 60H30
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### Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps. (English)Zbl 1451.60087

MSC:  60J28 60G70 91G05
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### On the dual risk model with diffusion under a mixed dividend strategy. (English)Zbl 07197515

MSC:  91G05 45K05
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### Maximum surplus and $$R_n$$ class of distributions with an application to dividends. (English)Zbl 1433.91145

MSC:  91G05 60K10 45K05
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### Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model. (English)Zbl 07530884

MSC:  62G32 62F99 62E20
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### The Gerber-Shiu function for the compound Poisson omega model with a three-step premium rate. (English)Zbl 07529905

MSC:  62P20 91B30 62-XX
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### Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income. (English)Zbl 1453.91040

MSC:  91B05 60K10 62P05
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### Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model. (English)Zbl 1453.91039

MSC:  91B05 60G51 62P05
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### On corrected phase-type approximations of the time value of ruin with heavy tails. (English)Zbl 1436.62069

MSC:  62E17 91B05 62P20
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### On the distribution of classic and some exotic ruin times. (English)Zbl 1427.91235

MSC:  91G05 60K10
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### The risk model with stochastic premiums and a multi-layer dividend strategy. (English)Zbl 1427.91240

MSC:  91G05 60K10
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### An application of fractional differential equations to risk theory. (English)Zbl 1432.91097

MSC:  91G05 60K05 26A33
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### Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model. (English)Zbl 1410.91282

MSC:  91B30 93E20 60K10 60J75
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### Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times. (English)Zbl 1411.91271

MSC:  91B30 60G51
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### The expected discounted penalty function: from infinite time to finite time. (English)Zbl 1411.91303

MSC:  91B30 35Q91 45K05
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### Computing the Gerber-Shiu function by frame duality projection. (English)Zbl 1411.91320

MSC:  91B30 60G51 60K10
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### Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion. (English)Zbl 1450.62133

MSC:  62P05 62G07 91G70
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### Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion. (English)Zbl 1405.62149

MSC:  62P05 60G51 91B30
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### Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion. (English)Zbl 1402.91216

MSC:  91B30 62P05 62G05 60J70
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### Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps. (English)Zbl 1427.91077

MSC:  91B05 60K10 91G05
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### Ruin probability for the bi-seasonal discrete time risk model with dependent claims. (English)Zbl 1425.91231

MSC:  91B30 91B70
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### Discounted aggregate claim costs until ruin in the discrete-time renewal risk model. (English)Zbl 1411.91324

MSC:  91B30 60K10
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### A threshold-based risk process with a waiting period to pay dividends. (English)Zbl 1412.60064

MSC:  60G50 60K05 91B30 62P05
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### A note on a Lévy insurance risk model under periodic dividend decisions. (English)Zbl 1412.60068

MSC:  60G51 60J75 91B30 62P05
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### Integral equations, quasi-Monte Carlo methods and risk modeling. (English)Zbl 1405.65177

Dick, Josef (ed.) et al., Contemporary computational mathematics – a celebration of the 80th birthday of Ian Sloan. In 2 volumes. Cham: Springer (ISBN 978-3-319-72455-3/hbk; 978-3-319-72456-0/ebook). 1051-1074 (2018).
MSC:  65R20 65C30 65C05 45B05 65C40 65D30 91B30
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### Semiparametric estimation in the optimal dividend barrier for the classical risk model. (English)Zbl 1418.91257

MSC:  91B30 62P05 91G50
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### Moments of renewal shot-noise processes and their applications. (English)Zbl 1418.91243

MSC:  91B30 60K10 62P05 60G55 91G40
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### Dividends: from refracting to ratcheting. (English)Zbl 1417.91260

MSC:  91B30 60G51
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### On fair reinsurance premiums; capital injections in a perturbed risk model. (English)Zbl 1416.91157

MSC:  91B30 60G51 60K10
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### A new efficient method for estimating the Gerber-Shiu function in the classical risk model. (English)Zbl 1416.91229

MSC:  91B30 60K10 62G05 62P05
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### On the discounted $$K$$th moment of the deficit at ruin in the delayed renewal risk model. (English)Zbl 1406.91199

MSC:  91B30 62P05 60K10
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### An IBNR-RBNS insurance risk model with marked Poisson arrivals. (English)Zbl 1400.91238

MSC:  91B30 62P05 60J25 60K10
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### Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims. (English)Zbl 1407.91136

MSC:  91B30 60G51 62G32 62P05
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MSC:  91B30
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### The compound Poisson risk model under a mixed dividend strategy. (English)Zbl 1427.91080

MSC:  91B05 62P05 91G05
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### On the Parisian ruin of the dual Lévy risk model. (English)Zbl 1416.91226

MSC:  91B30 60G51 60K10
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### Estimating the Gerber-Shiu function by Fourier-Sinc series expansion. (English)Zbl 1402.91219

MSC:  91B30 60K10 62P05 62F12
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### Discrete time ruin probability with Parisian delay. (English)Zbl 1402.91188

MSC:  91B30 60K10 60G51 62P05
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### Nonparametric estimation of the finite time ruin probability in the classical risk model. (English)Zbl 1401.91215

MSC:  91B30 60B15 62G05 62G20 62P05
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### Lévy insurance risk process with Poissonian taxation. (English)Zbl 1401.91216

MSC:  91B30 91B64 60G51 62P05 60J75 60K10
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### Approximating the density of the time to ruin via Fourier-cosine series expansion. (English)Zbl 1390.91326

MSC:  91G60 91B30 62P05
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### On the dual risk model with Parisian implementation delays in dividend payments. (English)Zbl 1394.91204

MSC:  91B30 60G51 62P05
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### On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications. (English)Zbl 1382.60071

Theory Probab. Math. Stat. 95, 17-40 (2017) and Teor. Jmovirn. Mat. Stat. 95, 14-36 (2016).
MSC:  60G51 60K30 60J75
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### On the distribution of cumulative Parisian ruin. (English)Zbl 1397.91285

MSC:  91B30 60G51 60K10 60G44 60J65
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MSC:  91B30 91G10 93E20
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### Gerber-Shiu analysis with two-sided acceptable levels. (English)Zbl 1364.91071

MSC:  91B30 60K10 60K20
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### On a perturbed compound Poisson model with varying premium rates. (English)Zbl 1364.91076

MSC:  91B30 60K10 62P05
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### Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus. (English)Zbl 1394.62147

MSC:  62P05 60G51 62M05 62G20 91B30
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### Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model. (English)Zbl 1394.91202

MSC:  91B30 60J75 93E20
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### On the Gerber-Shiu function with random discount rate. (English)Zbl 1360.62067

MSC:  62E20 60K05
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### On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy. (English)Zbl 1360.62505

MSC:  62P05 91B30
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### Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier. (English)Zbl 1360.60159

MSC:  60K05 60G40 60K10 60G50 91B30
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### Asymptotic results for a Markov-modulated risk process with stochastic investment. (English)Zbl 1410.91285

MSC:  91B30 60J20 60K10
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### A note on ruin problems in perturbed classical risk models. (English)Zbl 1463.91033

MSC:  91B05 60K10
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### On the time and the number of claims when the surplus drops below a certain level. (English)Zbl 1401.91165

MSC:  91B30 62E15 62P05
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### On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes. (English)Zbl 1401.91109

MSC:  91B30 60K10
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### Gerber-Shiu analysis of a risk model with capital injections. (English)Zbl 1394.91209

MSC:  91B30 60K10 62P05
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### Ornstein-Uhlenback type Omega model. (English)Zbl 1361.60079

MSC:  60K10 91B30
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### Number of jumps in two-sided first-exit problems for a compound Poisson process. (English)Zbl 1349.91146

MSC:  91B30 60G40 60J75
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### On a dual risk model perturbed by diffusion with dividend threshold. (English)Zbl 1351.60109

MSC:  60J60 60J70 60J75 60G51 60G55 91B70 91B30 49J55 93E20
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### Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes. (English)Zbl 1344.60046

MSC:  60G51 60J99 91B30
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### The Markov additive risk process under an Erlangized dividend barrier strategy. (English)Zbl 1338.91081

MSC:  91B30 60K20
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### Exit identities for Lévy processes observed at Poisson arrival times. (English)Zbl 1338.60125

MSC:  60G51 60G55 91B30
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### On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model. (English)Zbl 1334.90063

MSC:  90B70 62E99 91D35
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### On the analysis of ruin-related quantities in the delayed renewal risk model. (English)Zbl 1348.91158

MSC:  91B30 60K10 60K05 62P05
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### Gerber-Shiu functionals for classical risk processes perturbed by an $$\alpha$$-stable motion. (English)Zbl 1348.91159

MSC:  91B30 60K10 62P05
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### A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model. (English)Zbl 1355.60117

MSC:  60K10 62E17 91B30
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MSC:  91B30
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### The finite time ruin probability in a risk model with capital injections. (English)Zbl 1398.91350

MSC:  91B30 62P05 60K10
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### On a ruin model with both interclaim times and premiums depending on claim sizes. (English)Zbl 1398.91342

MSC:  91B30 62P05 60K10
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### On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion. (English)Zbl 1410.91275

MSC:  91B30 44A10 60J60
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