Dussap, Florian Nonparametric estimation of the expected discounted penalty function in the compound Poisson model. (English) Zbl 07524971 Electron. J. Stat. 16, No. 1, 2124-2174 (2022). MSC: 62G05 62P05 91G70 PDF BibTeX XML Cite \textit{F. Dussap}, Electron. J. Stat. 16, No. 1, 2124--2174 (2022; Zbl 07524971) Full Text: DOI Link OpenURL
Zhang, Aili; Chen, Ping; Li, Shuanming; Wang, Wenyuan Risk modelling on liquidations with Lévy processes. (English) Zbl 07426988 Appl. Math. Comput. 412, Article ID 126584, 23 p. (2022). MSC: 60G51 91B05 91G05 PDF BibTeX XML Cite \textit{A. Zhang} et al., Appl. Math. Comput. 412, Article ID 126584, 23 p. (2022; Zbl 07426988) Full Text: DOI arXiv OpenURL
Xie, Jiayi; Zhang, Zhimin Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation. (English) Zbl 1476.91038 J. Comput. Appl. Math. 399, Article ID 113703, 22 p. (2022). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B05 65D15 60G51 60K10 PDF BibTeX XML Cite \textit{J. Xie} and \textit{Z. Zhang}, J. Comput. Appl. Math. 399, Article ID 113703, 22 p. (2022; Zbl 1476.91038) Full Text: DOI OpenURL
Akar, Nail; Gursoy, Omer; Horvath, Gabor; Telek, Miklos Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication. (English) Zbl 1480.60210 Methodol. Comput. Appl. Probab. 23, No. 4, 1257-1283 (2021). MSC: 60J25 65C40 60K25 60J65 PDF BibTeX XML Cite \textit{N. Akar} et al., Methodol. Comput. Appl. Probab. 23, No. 4, 1257--1283 (2021; Zbl 1480.60210) Full Text: DOI OpenURL
Cheung, Eric C. K.; Zhang, Zhimin Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. (English) Zbl 1479.91315 Scand. Actuar. J. 2021, No. 9, 804-831 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{E. C. K. Cheung} and \textit{Z. Zhang}, Scand. Actuar. J. 2021, No. 9, 804--831 (2021; Zbl 1479.91315) Full Text: DOI OpenURL
Arnone, Massimo; Bianchi, Michele Leonardo; Quaranta, Anna Grazia; Tassinari, Gian Luca Catastrophic risks and the pricing of catastrophe equity put options. (English) Zbl 07432767 Comput. Manag. Sci. 18, No. 2, 213-237 (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{M. Arnone} et al., Comput. Manag. Sci. 18, No. 2, 213--237 (2021; Zbl 07432767) Full Text: DOI OpenURL
Dibu, A. S.; Jacob, M. J.; Papaioannou, Apostolos D.; Ramsden, Lewis Delayed capital injections for a risk process with Markovian arrivals. (English) Zbl 1476.60127 Methodol. Comput. Appl. Probab. 23, No. 3, 1057-1076 (2021). MSC: 60J25 91B05 45B05 PDF BibTeX XML Cite \textit{A. S. Dibu} et al., Methodol. Comput. Appl. Probab. 23, No. 3, 1057--1076 (2021; Zbl 1476.60127) Full Text: DOI OpenURL
Wang, Wei; He, Jingmin Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest. (English) Zbl 07399077 Period. Math. Hung. 82, No. 1, 39-55 (2021). MSC: 60J99 91G05 PDF BibTeX XML Cite \textit{W. Wang} and \textit{J. He}, Period. Math. Hung. 82, No. 1, 39--55 (2021; Zbl 07399077) Full Text: DOI OpenURL
Esquível, M. L.; Mota, P. P.; Pina, J. P. 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 PDF BibTeX XML Cite \textit{M. L. Esquível} et al., Theory Probab. Appl. 66, No. 2, 326--335 (2021; Zbl 1470.91304) Full Text: DOI OpenURL
Azcue, Pablo; Muler, Nora A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme. (English) Zbl 1468.49027 Appl. Math. Optim. 83, No. 3, 1613-1649 (2021). MSC: 49L12 49L25 35F21 91B64 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Appl. Math. Optim. 83, No. 3, 1613--1649 (2021; Zbl 1468.49027) Full Text: DOI arXiv OpenURL
Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang Fourier-cosine method for finite-time Gerber-shiu functions. (English) Zbl 07364336 SIAM J. Sci. Comput. 43, No. 3, B650-B677 (2021). MSC: 68Q25 68R10 68U05 PDF BibTeX XML Cite \textit{X. Li} et al., SIAM J. Sci. Comput. 43, No. 3, B650--B677 (2021; Zbl 07364336) Full Text: DOI OpenURL
Yuan, Haili; Hu, Yijun Optimal investment for an insurer under liquid reserves. (English) Zbl 1474.91164 J. Ind. Manag. Optim. 17, No. 1, 339-355 (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{H. Yuan} and \textit{Y. Hu}, J. Ind. Manag. Optim. 17, No. 1, 339--355 (2021; Zbl 1474.91164) Full Text: DOI OpenURL
Su, Wen; Shi, Benxuan; Wang, Yunyun Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion. (English) Zbl 07529979 Commun. Stat., Theory Methods 49, No. 23, 5686-5708 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{W. Su} et al., Commun. Stat., Theory Methods 49, No. 23, 5686--5708 (2020; Zbl 07529979) Full Text: DOI OpenURL
Li, Yuying; Sendova, Kristina P. A surplus process involving a compound Poisson counting process and applications. (English) Zbl 07528735 Commun. Stat., Theory Methods 49, No. 13, 3238-3256 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Li} and \textit{K. P. Sendova}, Commun. Stat., Theory Methods 49, No. 13, 3238--3256 (2020; Zbl 07528735) Full Text: DOI OpenURL
Zdeb, Martyna; Teuerle, Marek A. Parisian ruin probability – the De Vylder type approximation. (English) Zbl 07490576 Math. Appl. (Warsaw) 48, No. 2, 157-171 (2020). MSC: 91B30 97M30 PDF BibTeX XML Cite \textit{M. Zdeb} and \textit{M. A. Teuerle}, Math. Appl. (Warsaw) 48, No. 2, 157--171 (2020; Zbl 07490576) Full Text: DOI OpenURL
Gajek, Lesław; Rudź, Marcin Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model. (English) Zbl 1455.91222 Methodol. Comput. Appl. Probab. 22, No. 4, 1507-1528 (2020). MSC: 91G05 60J20 PDF BibTeX XML Cite \textit{L. Gajek} and \textit{M. Rudź}, Methodol. Comput. Appl. Probab. 22, No. 4, 1507--1528 (2020; Zbl 1455.91222) Full Text: DOI OpenURL
Ragulina, Olena Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy. (English) Zbl 1461.91257 Mod. Stoch., Theory Appl. 7, No. 3, 245-265 (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 PDF BibTeX XML Cite \textit{O. Ragulina}, Mod. Stoch., Theory Appl. 7, No. 3, 245--265 (2020; Zbl 1461.91257) Full Text: DOI OpenURL
Avram, Florin; Grahovac, Danijel; Vardar-Acar, Ceren The \(W, Z\) scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems. (English) Zbl 1461.60028 ESAIM, Probab. Stat. 24, 454-525 (2020). MSC: 60G51 60G40 60J45 PDF BibTeX XML Cite \textit{F. Avram} et al., ESAIM, Probab. Stat. 24, 454--525 (2020; Zbl 1461.60028) Full Text: DOI arXiv OpenURL
Xie, Jiayi; Zhang, Zhimin Statistical estimation for some dividend problems under the compound Poisson risk model. (English) Zbl 1452.91284 Insur. Math. Econ. 95, 101-115 (2020). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{J. Xie} and \textit{Z. Zhang}, Insur. Math. Econ. 95, 101--115 (2020; Zbl 1452.91284) Full Text: DOI OpenURL
Aurzada, Frank; Buck, Micha Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital. (English) Zbl 1452.91258 Eur. Actuar. J. 10, No. 1, 261-269 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{F. Aurzada} and \textit{M. Buck}, Eur. Actuar. J. 10, No. 1, 261--269 (2020; Zbl 1452.91258) Full Text: DOI arXiv OpenURL
Akahori, Jirô; Constantinescu, Corina; Miyagi, Kei Itô calculus for Cramér-Lundberg model. (English) Zbl 1448.91251 JSIAM Lett. 12, 25-28 (2020). MSC: 91G05 60K10 60H30 PDF BibTeX XML Cite \textit{J. Akahori} et al., JSIAM Lett. 12, 25--28 (2020; Zbl 1448.91251) Full Text: DOI OpenURL
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre Ruin-based risk measures in discrete-time risk models. (English) Zbl 1447.91132 Insur. Math. Econ. 93, 246-261 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{H. Cossette} et al., Insur. Math. Econ. 93, 246--261 (2020; Zbl 1447.91132) Full Text: DOI OpenURL
Li, Xin; Liu, Haibo; Tang, Qihe; Zhu, Jinxia Liquidation risk in insurance under contemporary regulatory frameworks. (English) Zbl 1446.91067 Insur. Math. Econ. 93, 36-49 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{X. Li} et al., Insur. Math. Econ. 93, 36--49 (2020; Zbl 1446.91067) Full Text: DOI OpenURL
Zhai, Jia; Zheng, Haitao; Bai, Manying; Jiang, Yunyun An uncertain alternating renewal insurance risk model. (English) Zbl 1459.91167 Math. Probl. Eng. 2020, Article ID 3856323, 13 p. (2020). MSC: 91G05 62P05 60K05 91G70 PDF BibTeX XML Cite \textit{J. Zhai} et al., Math. Probl. Eng. 2020, Article ID 3856323, 13 p. (2020; Zbl 1459.91167) Full Text: DOI OpenURL
Palmowski, Zbigniew; Vatamidou, Eleni 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 Stoch. Models 36, No. 2, 337-363 (2020). MSC: 60J28 60G70 91G05 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{E. Vatamidou}, Stoch. Models 36, No. 2, 337--363 (2020; Zbl 1451.60087) Full Text: DOI arXiv OpenURL
Peng, Xuanhua; Su, Wen; Zhang, Zhimin On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy. (English) Zbl 1449.91107 J. Ind. Manag. Optim. 16, No. 4, 1967-1986 (2020). MSC: 91G05 60K10 60J74 45K05 PDF BibTeX XML Cite \textit{X. Peng} et al., J. Ind. Manag. Optim. 16, No. 4, 1967--1986 (2020; Zbl 1449.91107) Full Text: DOI OpenURL
Liu, Zhang; Chen, Ping; Hu, Yijun On the dual risk model with diffusion under a mixed dividend strategy. (English) Zbl 07197515 Appl. Math. Comput. 376, Article ID 125115, 19 p. (2020). MSC: 91G05 45K05 PDF BibTeX XML Cite \textit{Z. Liu} et al., Appl. Math. Comput. 376, Article ID 125115, 19 p. (2020; Zbl 07197515) Full Text: DOI OpenURL
Sendova, Kristina P.; Zhang, Ruixi Maximum surplus and \(R_n\) class of distributions with an application to dividends. (English) Zbl 1433.91145 J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60K10 45K05 PDF BibTeX XML Cite \textit{K. P. Sendova} and \textit{R. Zhang}, J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020; Zbl 1433.91145) Full Text: DOI OpenURL
Bazyari, Abouzar; Roozegar, Rasool Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model. (English) Zbl 07530884 Commun. Stat., Theory Methods 48, No. 5, 1284-1304 (2019). MSC: 62G32 62F99 62E20 PDF BibTeX XML Cite \textit{A. Bazyari} and \textit{R. Roozegar}, Commun. Stat., Theory Methods 48, No. 5, 1284--1304 (2019; Zbl 07530884) Full Text: DOI OpenURL
Gao, Zhongqin; He, Jingmin The Gerber-Shiu function for the compound Poisson omega model with a three-step premium rate. (English) Zbl 07529905 Commun. Stat., Theory Methods 48, No. 24, 6019-6037 (2019). MSC: 62P20 91B30 62-XX PDF BibTeX XML Cite \textit{Z. Gao} and \textit{J. He}, Commun. Stat., Theory Methods 48, No. 24, 6019--6037 (2019; Zbl 07529905) Full Text: DOI OpenURL
Wang, Yunyun; Yu, Wenguang; Huang, Yujuan Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income. (English) Zbl 1453.91040 Discrete Dyn. Nat. Soc. 2019, Article ID 5071268, 18 p. (2019). MSC: 91B05 60K10 62P05 PDF BibTeX XML Cite \textit{Y. Wang} et al., Discrete Dyn. Nat. Soc. 2019, Article ID 5071268, 18 p. (2019; Zbl 1453.91040) Full Text: DOI OpenURL
Huang, Yujuan; Yu, Wenguang; Pan, Yu; Cui, Chaoran Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model. (English) Zbl 1453.91039 Discrete Dyn. Nat. Soc. 2019, Article ID 3607201, 15 p. (2019). MSC: 91B05 60G51 62P05 PDF BibTeX XML Cite \textit{Y. Huang} et al., Discrete Dyn. Nat. Soc. 2019, Article ID 3607201, 15 p. (2019; Zbl 1453.91039) Full Text: DOI OpenURL
Geiger, Daniel J.; Adekpedjou, Akim On corrected phase-type approximations of the time value of ruin with heavy tails. (English) Zbl 1436.62069 Stat. Risk. Model. 36, No. 1-4, 57-75 (2019). MSC: 62E17 91B05 62P20 PDF BibTeX XML Cite \textit{D. J. Geiger} and \textit{A. Adekpedjou}, Stat. Risk. Model. 36, No. 1--4, 57--75 (2019; Zbl 1436.62069) Full Text: DOI OpenURL
Dimitrova, Dimitrina S.; Ignatov, Zvetan G.; Kaishev, Vladimir K. Ruin and deficit under claim arrivals with the order statistics property. (English) Zbl 1427.91078 Methodol. Comput. Appl. Probab. 21, No. 2, 511-530 (2019). MSC: 91B05 60K30 60G55 60G51 91G05 PDF BibTeX XML Cite \textit{D. S. Dimitrova} et al., Methodol. Comput. Appl. Probab. 21, No. 2, 511--530 (2019; Zbl 1427.91078) Full Text: DOI OpenURL
Landriault, David; Li, Bin; Shi, Tianxiang; Xu, Di On the distribution of classic and some exotic ruin times. (English) Zbl 1427.91235 Insur. Math. Econ. 89, 38-45 (2019). MSC: 91G05 60K10 PDF BibTeX XML Cite \textit{D. Landriault} et al., Insur. Math. Econ. 89, 38--45 (2019; Zbl 1427.91235) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{O. Ragulina}, Mod. Stoch., Theory Appl. 6, No. 3, 285--309 (2019; Zbl 1427.91240) Full Text: DOI arXiv OpenURL
He, Jingmin; Gao, Zhongqin; Wang, Bingbing Omega model for a jump-diffusion process with a two-step premium rate. (English) Zbl 1428.62497 J. Korean Stat. Soc. 48, No. 3, 426-438 (2019). MSC: 62P20 91B05 60J60 60J76 PDF BibTeX XML Cite \textit{J. He} et al., J. Korean Stat. Soc. 48, No. 3, 426--438 (2019; Zbl 1428.62497) Full Text: DOI OpenURL
Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R. An application of fractional differential equations to risk theory. (English) Zbl 1432.91097 Finance Stoch. 23, No. 4, 1001-1024 (2019). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 91G05 60K05 26A33 PDF BibTeX XML Cite \textit{C. D. Constantinescu} et al., Finance Stoch. 23, No. 4, 1001--1024 (2019; Zbl 1432.91097) Full Text: DOI arXiv OpenURL
Preischl, M.; Thonhauser, S. Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model. (English) Zbl 1410.91282 Insur. Math. Econ. 87, 82-91 (2019). MSC: 91B30 93E20 60K10 60J75 PDF BibTeX XML Cite \textit{M. Preischl} and \textit{S. Thonhauser}, Insur. Math. Econ. 87, 82--91 (2019; Zbl 1410.91282) Full Text: DOI arXiv OpenURL
Zou, W.; Xie, J. H. A risk process with delayed claims and constant dividend barrier. (English) Zbl 1459.91170 Theory Probab. Appl. 64, No. 1, 103-123 (2019) and Teor. Veroyatn. Primen. 64, No. 1, 126-150 (2019). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 45J05 PDF BibTeX XML Cite \textit{W. Zou} and \textit{J. H. Xie}, Theory Probab. Appl. 64, No. 1, 103--123 (2019; Zbl 1459.91170) Full Text: DOI OpenURL
Cheung, Eric C. K.; Feng, Runhuan Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times. (English) Zbl 1411.91271 Scand. Actuar. J. 2019, No. 5, 355-386 (2019). MSC: 91B30 60G51 PDF BibTeX XML Cite \textit{E. C. K. Cheung} and \textit{R. Feng}, Scand. Actuar. J. 2019, No. 5, 355--386 (2019; Zbl 1411.91271) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi; Sendova, Kristina P. The expected discounted penalty function: from infinite time to finite time. (English) Zbl 1411.91303 Scand. Actuar. J. 2019, No. 4, 336-354 (2019). MSC: 91B30 35Q91 45K05 PDF BibTeX XML Cite \textit{S. Li} et al., Scand. Actuar. J. 2019, No. 4, 336--354 (2019; Zbl 1411.91303) Full Text: DOI OpenURL
Wang, Wenyuan; Zhang, Zhimin Computing the Gerber-Shiu function by frame duality projection. (English) Zbl 1411.91320 Scand. Actuar. J. 2019, No. 4, 291-307 (2019). MSC: 91B30 60G51 60K10 PDF BibTeX XML Cite \textit{W. Wang} and \textit{Z. Zhang}, Scand. Actuar. J. 2019, No. 4, 291--307 (2019; Zbl 1411.91320) Full Text: DOI OpenURL
Yang, Yang; Su, Wen; Zhang, Zhimin Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion. (English) Zbl 1450.62133 Stat. Probab. Lett. 146, 147-155 (2019). MSC: 62P05 62G07 91G70 PDF BibTeX XML Cite \textit{Y. Yang} et al., Stat. Probab. Lett. 146, 147--155 (2019; Zbl 1450.62133) Full Text: DOI OpenURL
Zhang, Zhimin; Su, Wen Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion. (English) Zbl 1405.62149 J. Comput. Appl. Math. 346, 133-149 (2019). MSC: 62P05 60G51 91B30 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{W. Su}, J. Comput. Appl. Math. 346, 133--149 (2019; Zbl 1405.62149) Full Text: DOI OpenURL
Su, Wen; Yong, Yaodi; Zhang, Zhimin Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion. (English) Zbl 1402.91216 J. Math. Anal. Appl. 469, No. 2, 705-729 (2019). MSC: 91B30 62P05 62G05 60J70 PDF BibTeX XML Cite \textit{W. Su} et al., J. Math. Anal. Appl. 469, No. 2, 705--729 (2019; Zbl 1402.91216) Full Text: DOI OpenURL
Cheung, Eric C. K.; Liu, Haibo; Willmot, Gordon E. Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps. (English) Zbl 1427.91077 Appl. Math. Comput. 331, 358-377 (2018). MSC: 91B05 60K10 91G05 PDF BibTeX XML Cite \textit{E. C. K. Cheung} et al., Appl. Math. Comput. 331, 358--377 (2018; Zbl 1427.91077) Full Text: DOI OpenURL
Navickienė, Olga; Sprindys, Jonas; Šiaulys, Jonas Ruin probability for the bi-seasonal discrete time risk model with dependent claims. (English) Zbl 1425.91231 Mod. Stoch., Theory Appl. 6, No. 1, 133-144 (2019). MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{O. Navickienė} et al., Mod. Stoch., Theory Appl. 6, No. 1, 133--144 (2018; Zbl 1425.91231) Full Text: DOI arXiv OpenURL
Woo, Jae-Kyung; Liu, Haibo Discounted aggregate claim costs until ruin in the discrete-time renewal risk model. (English) Zbl 1411.91324 Methodol. Comput. Appl. Probab. 20, No. 4, 1285-1318 (2018). MSC: 91B30 60K10 PDF BibTeX XML Cite \textit{J.-K. Woo} and \textit{H. Liu}, Methodol. Comput. Appl. Probab. 20, No. 4, 1285--1318 (2018; Zbl 1411.91324) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Drekic} et al., J. Ind. Manag. Optim. 14, No. 3, 1179--1201 (2018; Zbl 1412.60064) Full Text: DOI OpenURL
Zhang, Zhimin; Cheung, Eric C. K. A note on a Lévy insurance risk model under periodic dividend decisions. (English) Zbl 1412.60068 J. Ind. Manag. Optim. 14, No. 1, 35-63 (2018). MSC: 60G51 60J75 91B30 62P05 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{E. C. K. Cheung}, J. Ind. Manag. Optim. 14, No. 1, 35--63 (2018; Zbl 1412.60068) Full Text: DOI OpenURL
Preischl, Michael; Thonhauser, Stefan; Tichy, Robert F. 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 PDF BibTeX XML Cite \textit{M. Preischl} et al., in: Contemporary computational mathematics -- a celebration of the 80th birthday of Ian Sloan. In 2 volumes. Cham: Springer. 1051--1074 (2018; Zbl 1405.65177) Full Text: DOI arXiv OpenURL
Shiraishi, Hiroshi; Lu, Zudi Semiparametric estimation in the optimal dividend barrier for the classical risk model. (English) Zbl 1418.91257 Scand. Actuar. J. 2018, No. 9, 845-862 (2018). MSC: 91B30 62P05 91G50 PDF BibTeX XML Cite \textit{H. Shiraishi} and \textit{Z. Lu}, Scand. Actuar. J. 2018, No. 9, 845--862 (2018; Zbl 1418.91257) Full Text: DOI Link OpenURL
Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao Moments of renewal shot-noise processes and their applications. (English) Zbl 1418.91243 Scand. Actuar. J. 2018, No. 8, 727-752 (2018). MSC: 91B30 60K10 62P05 60G55 91G40 PDF BibTeX XML Cite \textit{J. Jang} et al., Scand. Actuar. J. 2018, No. 8, 727--752 (2018; Zbl 1418.91243) Full Text: DOI Link OpenURL
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin Dividends: from refracting to ratcheting. (English) Zbl 1417.91260 Insur. Math. Econ. 83, 47-58 (2018). MSC: 91B30 60G51 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Insur. Math. Econ. 83, 47--58 (2018; Zbl 1417.91260) Full Text: DOI OpenURL
Ben Salah, Zied; Garrido, José On fair reinsurance premiums; capital injections in a perturbed risk model. (English) Zbl 1416.91157 Insur. Math. Econ. 82, 11-20 (2018). MSC: 91B30 60G51 60K10 PDF BibTeX XML Cite \textit{Z. Ben Salah} and \textit{J. Garrido}, Insur. Math. Econ. 82, 11--20 (2018; Zbl 1416.91157) Full Text: DOI arXiv OpenURL
Zhang, Zhimin; Su, Wen A new efficient method for estimating the Gerber-Shiu function in the classical risk model. (English) Zbl 1416.91229 Scand. Actuar. J. 2018, No. 5, 426-449 (2018). MSC: 91B30 60K10 62G05 62P05 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{W. Su}, Scand. Actuar. J. 2018, No. 5, 426--449 (2018; Zbl 1416.91229) Full Text: DOI OpenURL
Kim, So-Yeun; Ko, Bangwon On the discounted \(K\)th moment of the deficit at ruin in the delayed renewal risk model. (English) Zbl 1406.91199 Lobachevskii J. Math. 39, No. 3, 348-354 (2018). MSC: 91B30 62P05 60K10 PDF BibTeX XML Cite \textit{S.-Y. Kim} and \textit{B. Ko}, Lobachevskii J. Math. 39, No. 3, 348--354 (2018; Zbl 1406.91199) Full Text: DOI OpenURL
Ahn, Soohan; Badescu, Andrei L.; Cheung, Eric C. K.; Kim, Jeong-Rae An IBNR-RBNS insurance risk model with marked Poisson arrivals. (English) Zbl 1400.91238 Insur. Math. Econ. 79, 26-42 (2018). MSC: 91B30 62P05 60J25 60K10 PDF BibTeX XML Cite \textit{S. Ahn} et al., Insur. Math. Econ. 79, 26--42 (2018; Zbl 1400.91238) Full Text: DOI OpenURL
Grahovac, Danijel Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims. (English) Zbl 1407.91136 Methodol. Comput. Appl. Probab. 20, No. 1, 273-288 (2018). MSC: 91B30 60G51 62G32 62P05 PDF BibTeX XML Cite \textit{D. Grahovac}, Methodol. Comput. Appl. Probab. 20, No. 1, 273--288 (2018; Zbl 1407.91136) Full Text: DOI OpenURL
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei Joint insolvency analysis of a shared MAP risk process: a capital allocation application. (English) Zbl 1414.91168 N. Am. Actuar. J. 21, No. 2, 178-192 (2017). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Cai} et al., N. Am. Actuar. J. 21, No. 2, 178--192 (2017; Zbl 1414.91168) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi Distributional study of finite-time ruin related problems for the classical risk model. (English) Zbl 1427.91079 Appl. Math. Comput. 315, 319-330 (2017). MSC: 91B05 62P05 60K05 91G05 PDF BibTeX XML Cite \textit{S. Li} and \textit{Y. Lu}, Appl. Math. Comput. 315, 319--330 (2017; Zbl 1427.91079) Full Text: DOI OpenURL
Zhang, Zhimin; Han, Xiao The compound Poisson risk model under a mixed dividend strategy. (English) Zbl 1427.91080 Appl. Math. Comput. 315, 1-12 (2017). MSC: 91B05 62P05 91G05 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{X. Han}, Appl. Math. Comput. 315, 1--12 (2017; Zbl 1427.91080) Full Text: DOI OpenURL
Yang, Chen; Sendova, Kristian P.; Li, Zhong On the Parisian ruin of the dual Lévy risk model. (English) Zbl 1416.91226 J. Appl. Probab. 54, No. 4, 1193-1212 (2017). MSC: 91B30 60G51 60K10 PDF BibTeX XML Cite \textit{C. Yang} et al., J. Appl. Probab. 54, No. 4, 1193--1212 (2017; Zbl 1416.91226) Full Text: DOI OpenURL
Zhang, Zhimin Estimating the Gerber-Shiu function by Fourier-Sinc series expansion. (English) Zbl 1402.91219 Scand. Actuar. J. 2017, No. 10, 898-919 (2017). MSC: 91B30 60K10 62P05 62F12 PDF BibTeX XML Cite \textit{Z. Zhang}, Scand. Actuar. J. 2017, No. 10, 898--919 (2017; Zbl 1402.91219) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{I. Czarna} et al., Scand. Actuar. J. 2017, No. 10, 854--869 (2017; Zbl 1402.91188) Full Text: DOI arXiv OpenURL
Zhang, Zhimin Nonparametric estimation of the finite time ruin probability in the classical risk model. (English) Zbl 1401.91215 Scand. Actuar. J. 2017, No. 5, 452-469 (2017). MSC: 91B30 60B15 62G05 62G20 62P05 PDF BibTeX XML Cite \textit{Z. Zhang}, Scand. Actuar. J. 2017, No. 5, 452--469 (2017; Zbl 1401.91215) Full Text: DOI OpenURL
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang Lévy insurance risk process with Poissonian taxation. (English) Zbl 1401.91216 Scand. Actuar. J. 2017, No. 1, 51-87 (2017). MSC: 91B30 91B64 60G51 62P05 60J75 60K10 PDF BibTeX XML Cite \textit{Z. Zhang} et al., Scand. Actuar. J. 2017, No. 1, 51--87 (2017; Zbl 1401.91216) Full Text: DOI Link OpenURL
Zhang, Zhimin Approximating the density of the time to ruin via Fourier-cosine series expansion. (English) Zbl 1390.91326 ASTIN Bull. 47, No. 1, 169-198 (2017). MSC: 91G60 91B30 62P05 PDF BibTeX XML Cite \textit{Z. Zhang}, ASTIN Bull. 47, No. 1, 169--198 (2017; Zbl 1390.91326) Full Text: DOI OpenURL
Cheung, Eric C. K.; Wong, Jeff T. Y. On the dual risk model with Parisian implementation delays in dividend payments. (English) Zbl 1394.91204 Eur. J. Oper. Res. 257, No. 1, 159-173 (2017). MSC: 91B30 60G51 62P05 PDF BibTeX XML Cite \textit{E. C. K. Cheung} and \textit{J. T. Y. Wong}, Eur. J. Oper. Res. 257, No. 1, 159--173 (2017; Zbl 1394.91204) Full Text: DOI OpenURL
Avram, Florin; Zhou, Xiaowen 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 PDF BibTeX XML Cite \textit{F. Avram} and \textit{X. Zhou}, Theory Probab. Math. Stat. 95, 17--40 (2017; Zbl 1382.60071) Full Text: DOI arXiv OpenURL
Guérin, Hélène; Renaud, Jean-François On the distribution of cumulative Parisian ruin. (English) Zbl 1397.91285 Insur. Math. Econ. 73, 116-123 (2017). MSC: 91B30 60G51 60K10 60G44 60J65 PDF BibTeX XML Cite \textit{H. Guérin} and \textit{J.-F. Renaud}, Insur. Math. Econ. 73, 116--123 (2017; Zbl 1397.91285) Full Text: DOI arXiv OpenURL
Young, Virginia R. Purchasing casualty insurance to avoid lifetime ruin. (English) Zbl 1397.91296 Insur. Math. Econ. 77, 133-142 (2017). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{V. R. Young}, Insur. Math. Econ. 77, 133--142 (2017; Zbl 1397.91296) Full Text: DOI OpenURL
Woo, Jae-Kyung; Xu, Ran; Yang, Hailiang Gerber-Shiu analysis with two-sided acceptable levels. (English) Zbl 1364.91071 J. Comput. Appl. Math. 321, 185-210 (2017). MSC: 91B30 60K10 60K20 PDF BibTeX XML Cite \textit{J.-K. Woo} et al., J. Comput. Appl. Math. 321, 185--210 (2017; Zbl 1364.91071) Full Text: DOI OpenURL
Zhang, Zhimin; Yang, Yang; Liu, Chaolin On a perturbed compound Poisson model with varying premium rates. (English) Zbl 1364.91076 J. Ind. Manag. Optim. 13, No. 2, 721-736 (2017). MSC: 91B30 60K10 62P05 PDF BibTeX XML Cite \textit{Z. Zhang} et al., J. Ind. Manag. Optim. 13, No. 2, 721--736 (2017; Zbl 1364.91076) Full Text: DOI OpenURL
Shimizu, Yasutaka; Zhang, Zhimin Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus. (English) Zbl 1394.62147 Insur. Math. Econ. 74, 84-98 (2017). MSC: 62P05 60G51 62M05 62G20 91B30 PDF BibTeX XML Cite \textit{Y. Shimizu} and \textit{Z. Zhang}, Insur. Math. Econ. 74, 84--98 (2017; Zbl 1394.62147) Full Text: DOI OpenURL
Chen, Shumin; Zeng, Yan; Hao, Zhifeng Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model. (English) Zbl 1394.91202 Insur. Math. Econ. 74, 31-45 (2017). MSC: 91B30 60J75 93E20 PDF BibTeX XML Cite \textit{S. Chen} et al., Insur. Math. Econ. 74, 31--45 (2017; Zbl 1394.91202) Full Text: DOI OpenURL
Wang, Houchun; Ling, Nengxiang On the Gerber-Shiu function with random discount rate. (English) Zbl 1360.62067 Commun. Stat., Theory Methods 46, No. 1, 210-220 (2017). MSC: 62E20 60K05 PDF BibTeX XML Cite \textit{H. Wang} and \textit{N. Ling}, Commun. Stat., Theory Methods 46, No. 1, 210--220 (2017; Zbl 1360.62067) Full Text: DOI OpenURL
Xie, Jie-Hua; Zou, Wei On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy. (English) Zbl 1360.62505 Commun. Stat., Theory Methods 46, No. 4, 1898-1915 (2017). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{J.-H. Xie} and \textit{W. Zou}, Commun. Stat., Theory Methods 46, No. 4, 1898--1915 (2017; Zbl 1360.62505) Full Text: DOI OpenURL
Boutsikas, Michael V.; Politis, Konstadinos Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier. (English) Zbl 1360.60159 Methodol. Comput. Appl. Probab. 19, No. 1, 75-95 (2017). MSC: 60K05 60G40 60K10 60G50 91B30 PDF BibTeX XML Cite \textit{M. V. Boutsikas} and \textit{K. Politis}, Methodol. Comput. Appl. Probab. 19, No. 1, 75--95 (2017; Zbl 1360.60159) Full Text: DOI OpenURL
Ramsden, Lewis; Papaioannou, Apostolos D. Asymptotic results for a Markov-modulated risk process with stochastic investment. (English) Zbl 1410.91285 J. Comput. Appl. Math. 313, 38-53 (2017). MSC: 91B30 60J20 60K10 PDF BibTeX XML Cite \textit{L. Ramsden} and \textit{A. D. Papaioannou}, J. Comput. Appl. Math. 313, 38--53 (2017; Zbl 1410.91285) Full Text: DOI OpenURL
Liu, Peng; Zhang, Chunsheng; Ji, Lanpeng A note on ruin problems in perturbed classical risk models. (English) Zbl 1463.91033 Stat. Probab. Lett. 120, 28-33 (2017). MSC: 91B05 60K10 PDF BibTeX XML Cite \textit{P. Liu} et al., Stat. Probab. Lett. 120, 28--33 (2017; Zbl 1463.91033) Full Text: DOI arXiv OpenURL
Shiraishi, Hiroshi Review of statistical actuarial risk modelling. (English) Zbl 1426.62308 Cogent Math. 3, Article ID 1123945, 31 p. (2016). MSC: 62P05 62-02 91G05 91B05 PDF BibTeX XML Cite \textit{H. Shiraishi}, Cogent Math. 3, Article ID 1123945, 31 p. (2016; Zbl 1426.62308) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi On the time and the number of claims when the surplus drops below a certain level. (English) Zbl 1401.91165 Scand. Actuar. J. 2016, No. 5, 420-445 (2016). MSC: 91B30 62E15 62P05 PDF BibTeX XML Cite \textit{S. Li} and \textit{Y. Lu}, Scand. Actuar. J. 2016, No. 5, 420--445 (2016; Zbl 1401.91165) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \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 OpenURL
Dickson, David C. M.; Qazvini, Marjan Gerber-Shiu analysis of a risk model with capital injections. (English) Zbl 1394.91209 Eur. Actuar. J. 6, No. 2, 409-440 (2016). MSC: 91B30 60K10 62P05 PDF BibTeX XML Cite \textit{D. C. M. Dickson} and \textit{M. Qazvini}, Eur. Actuar. J. 6, No. 2, 409--440 (2016; Zbl 1394.91209) Full Text: DOI OpenURL
Wang, Xiulian; Wang, Wei; Zhang, Chunsheng Ornstein-Uhlenback type Omega model. (English) Zbl 1361.60079 Front. Math. China 11, No. 3, 737-751 (2016). MSC: 60K10 91B30 PDF BibTeX XML Cite \textit{X. Wang} et al., Front. Math. China 11, No. 3, 737--751 (2016; Zbl 1361.60079) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi; Jin, Can Number of jumps in two-sided first-exit problems for a compound Poisson process. (English) Zbl 1349.91146 Methodol. Comput. Appl. Probab. 18, No. 3, 747-764 (2016). MSC: 91B30 60G40 60J75 PDF BibTeX XML Cite \textit{S. Li} et al., Methodol. Comput. Appl. Probab. 18, No. 3, 747--764 (2016; Zbl 1349.91146) Full Text: DOI OpenURL
Zhi, Hui; Pu, Jiangyan On a dual risk model perturbed by diffusion with dividend threshold. (English) Zbl 1351.60109 Chin. Ann. Math., Ser. B 37, No. 5, 777-792 (2016). MSC: 60J60 60J70 60J75 60G51 60G55 91B70 91B30 49J55 93E20 PDF BibTeX XML Cite \textit{H. Zhi} and \textit{J. Pu}, Chin. Ann. Math., Ser. B 37, No. 5, 777--792 (2016; Zbl 1351.60109) Full Text: DOI OpenURL
Baurdoux, Erik J.; Pardo, Juan Carlos; Pérez, José Luis; Renaud, Jean-François Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes. (English) Zbl 1344.60046 J. Appl. Probab. 53, No. 2, 572-584 (2016). MSC: 60G51 60J99 91B30 PDF BibTeX XML Cite \textit{E. J. Baurdoux} et al., J. Appl. Probab. 53, No. 2, 572--584 (2016; Zbl 1344.60046) Full Text: DOI Euclid OpenURL
Zhang, Zhimin; Cheung, Eric C. K. The Markov additive risk process under an Erlangized dividend barrier strategy. (English) Zbl 1338.91081 Methodol. Comput. Appl. Probab. 18, No. 2, 275-306 (2016). MSC: 91B30 60K20 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{E. C. K. Cheung}, Methodol. Comput. Appl. Probab. 18, No. 2, 275--306 (2016; Zbl 1338.91081) Full Text: DOI Link OpenURL
Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen Exit identities for Lévy processes observed at Poisson arrival times. (English) Zbl 1338.60125 Bernoulli 22, No. 3, 1364-1382 (2016). MSC: 60G51 60G55 91B30 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Bernoulli 22, No. 3, 1364--1382 (2016; Zbl 1338.60125) Full Text: DOI arXiv Euclid OpenURL
Lu, Yi On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model. (English) Zbl 1334.90063 Methodol. Comput. Appl. Probab. 18, No. 1, 237-255 (2016). MSC: 90B70 62E99 91D35 PDF BibTeX XML Cite \textit{Y. Lu}, Methodol. Comput. Appl. Probab. 18, No. 1, 237--255 (2016; Zbl 1334.90063) Full Text: DOI OpenURL
Kim, So-Yeun; Willmot, Gordon E. On the analysis of ruin-related quantities in the delayed renewal risk model. (English) Zbl 1348.91158 Insur. Math. Econ. 66, 77-85 (2016). MSC: 91B30 60K10 60K05 62P05 PDF BibTeX XML Cite \textit{S.-Y. Kim} and \textit{G. E. Willmot}, Insur. Math. Econ. 66, 77--85 (2016; Zbl 1348.91158) Full Text: DOI OpenURL
Kolkovska, Ekaterina T.; Martín-González, Ehyter M. Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion. (English) Zbl 1348.91159 Insur. Math. Econ. 66, 22-28 (2016). MSC: 91B30 60K10 62P05 PDF BibTeX XML Cite \textit{E. T. Kolkovska} and \textit{E. M. Martín-González}, Insur. Math. Econ. 66, 22--28 (2016; Zbl 1348.91159) Full Text: DOI OpenURL
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model. (English) Zbl 1355.60117 J. Comput. Appl. Math. 296, 499-511 (2016). MSC: 60K10 62E17 91B30 PDF BibTeX XML Cite \textit{P.-O. Goffard} et al., J. Comput. Appl. Math. 296, 499--511 (2016; Zbl 1355.60117) Full Text: DOI OpenURL
Yu, Wenguang; Huang, Yujuan A dependent insurance risk model with surrender and investment under the thinning process. (English) Zbl 1394.91240 Math. Probl. Eng. 2015, Article ID 134246, 8 p. (2015). MSC: 91B30 PDF BibTeX XML Cite \textit{W. Yu} and \textit{Y. Huang}, Math. Probl. Eng. 2015, Article ID 134246, 8 p. (2015; Zbl 1394.91240) Full Text: DOI OpenURL
Nie, Ciyu; Dickson, David C. M.; Li, Shuanming The finite time ruin probability in a risk model with capital injections. (English) Zbl 1398.91350 Scand. Actuar. J. 2015, No. 4, 301-318 (2015). MSC: 91B30 62P05 60K10 PDF BibTeX XML Cite \textit{C. Nie} et al., Scand. Actuar. J. 2015, No. 4, 301--318 (2015; Zbl 1398.91350) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Z. Li} and \textit{K. P. Sendova}, Scand. Actuar. J. 2015, No. 3, 245--265 (2015; Zbl 1398.91342) Full Text: DOI OpenURL
Liu, Chaolin; Zhang, Zhimin On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion. (English) Zbl 1410.91275 Adv. Difference Equ. 2015, Paper No. 34, 20 p. (2015). MSC: 91B30 44A10 60J60 PDF BibTeX XML Cite \textit{C. Liu} and \textit{Z. Zhang}, Adv. Difference Equ. 2015, Paper No. 34, 20 p. (2015; Zbl 1410.91275) Full Text: DOI OpenURL