Eisenberg, Julia; Krühner, Paul Measuring the suboptimality of dividend controls in a Brownian risk model. (English) Zbl 07806769 Adv. Appl. Probab. 55, No. 4, 1442-1472 (2023). MSC: 91G05 93E20 60H30 PDFBibTeX XMLCite \textit{J. Eisenberg} and \textit{P. Krühner}, Adv. Appl. Probab. 55, No. 4, 1442--1472 (2023; Zbl 07806769) 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
Behme, Anita; Oechsler, David; Schilling, René On \(q\)-scale functions of spectrally negative Lévy processes. (English) Zbl 1527.60034 Adv. Appl. Probab. 55, No. 1, 56-84 (2023). Reviewer: Jean-Jil Duchamps (Besançon) MSC: 60G51 60J45 91G05 PDFBibTeX XMLCite \textit{A. Behme} et al., Adv. Appl. Probab. 55, No. 1, 56--84 (2023; Zbl 1527.60034) Full Text: DOI arXiv
Biagini, Francesca; Zhang, Yinglin Extended reduced-form framework for non-life insurance. (English) Zbl 1505.91321 Adv. Appl. Probab. 54, No. 3, 945-973 (2022). MSC: 91G05 91G40 60H30 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{Y. Zhang}, Adv. Appl. Probab. 54, No. 3, 945--973 (2022; Zbl 1505.91321) Full Text: DOI arXiv
Wang, Wenyuan; Zhou, Xiaowen Draw-down Parisian ruin for spectrally negative Lévy processes. (English) Zbl 1473.60079 Adv. Appl. Probab. 52, No. 4, 1164-1196 (2020). MSC: 60G51 60E10 60J35 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Zhou}, Adv. Appl. Probab. 52, No. 4, 1164--1196 (2020; Zbl 1473.60079) Full Text: DOI arXiv
Gao, Fuqing; Wang, Yujing Functional central limit theorems and moderate deviations for Poisson cluster processes. (English) Zbl 1473.60060 Adv. Appl. Probab. 52, No. 3, 916-941 (2020). MSC: 60F10 60F17 60G55 PDFBibTeX XMLCite \textit{F. Gao} and \textit{Y. Wang}, Adv. Appl. Probab. 52, No. 3, 916--941 (2020; Zbl 1473.60060) Full Text: DOI
Ferreira, M.; Pinheiro, D.; Pinheiro, S. Two-player zero-sum stochastic differential games with random horizon. (English) Zbl 1430.49039 Adv. Appl. Probab. 51, No. 4, 1209-1235 (2019). MSC: 49N70 91A15 49L20 49L25 PDFBibTeX XMLCite \textit{M. Ferreira} et al., Adv. Appl. Probab. 51, No. 4, 1209--1235 (2019; Zbl 1430.49039) Full Text: DOI
Wang, Wenyuan; Zhang, Zhimin Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time. (English) Zbl 1427.60084 Adv. Appl. Probab. 51, No. 3, 865-897 (2019). MSC: 60G51 91B05 93E20 PDFBibTeX XMLCite \textit{W. Wang} and \textit{Z. Zhang}, Adv. Appl. Probab. 51, No. 3, 865--897 (2019; Zbl 1427.60084) Full Text: DOI arXiv
Barron, Yonit A threshold policy in a Markov-modulated production system with server vacation: the case of continuous and batch supplies. (English) Zbl 1431.60110 Adv. Appl. Probab. 50, No. 4, 1246-1274 (2018). MSC: 60K20 90B05 90B30 90B22 PDFBibTeX XMLCite \textit{Y. Barron}, Adv. Appl. Probab. 50, No. 4, 1246--1274 (2018; Zbl 1431.60110) 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
Avram, Florin; Minca, Andreea On the central management of risk networks. (English) Zbl 1427.91076 Adv. Appl. Probab. 49, No. 1, 221-237 (2017). MSC: 91B05 60G51 60K30 60J74 PDFBibTeX XMLCite \textit{F. Avram} and \textit{A. Minca}, Adv. Appl. Probab. 49, No. 1, 221--237 (2017; Zbl 1427.91076) Full Text: DOI arXiv
Li, Bin; Zhou, Xiaowen The joint Laplace transforms for diffusion occupation times. (English) Zbl 1370.60136 Adv. Appl. Probab. 45, No. 4, 1049-1067 (2013). MSC: 60J60 60J55 60G51 91B30 PDFBibTeX XMLCite \textit{B. Li} and \textit{X. Zhou}, Adv. Appl. Probab. 45, No. 4, 1049--1067 (2013; Zbl 1370.60136) Full Text: DOI
Olvera-Cravioto, Mariana Asymptotics for weighted random sums. (English) Zbl 1263.60042 Adv. Appl. Probab. 44, No. 4, 1142-1172 (2012). Reviewer: Valentin Topchii (Omsk) MSC: 60G50 60F10 60J80 60G70 91B30 PDFBibTeX XMLCite \textit{M. Olvera-Cravioto}, Adv. Appl. Probab. 44, No. 4, 1142--1172 (2012; Zbl 1263.60042) Full Text: DOI arXiv Euclid
Riplinger, M.; Spiess, M. Asymptotic properties of the approximate inverse estimator for directional distributions. (English) Zbl 1275.62043 Adv. Appl. Probab. 44, No. 4, 954-976 (2012). Reviewer: Andrew Wade (Durham) MSC: 62G07 62G20 62M30 62F12 62H11 PDFBibTeX XMLCite \textit{M. Riplinger} and \textit{M. Spiess}, Adv. Appl. Probab. 44, No. 4, 954--976 (2012; Zbl 1275.62043) Full Text: DOI Euclid
Eder, Irmingard; Klüppelberg, Claudia Pareto Lévy measures and multivariate regular variation. (English) Zbl 1248.60052 Adv. Appl. Probab. 44, No. 1, 117-138 (2012). Reviewer: Zakhar Kabluchko (Ulm) MSC: 60G51 60E07 60G52 60G70 62H05 PDFBibTeX XMLCite \textit{I. Eder} and \textit{C. Klüppelberg}, Adv. Appl. Probab. 44, No. 1, 117--138 (2012; Zbl 1248.60052) Full Text: DOI
Zhang, Zhimin; Yang, Hailiang; Yang, Hu On the absolute ruin in a map risk model with debit interest. (English) Zbl 1229.91171 Adv. Appl. Probab. 43, No. 1, 77-96 (2011). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 60J28 91B70 PDFBibTeX XMLCite \textit{Z. Zhang} et al., Adv. Appl. Probab. 43, No. 1, 77--96 (2011; Zbl 1229.91171) Full Text: DOI
Li, Jinzhu; Tang, Qihe; Wu, Rong Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model. (English) Zbl 1205.62061 Adv. Appl. Probab. 42, No. 4, 1126-1146 (2010). MSC: 62G32 62P05 60K10 62H20 62H05 91B30 PDFBibTeX XMLCite \textit{J. Li} et al., Adv. Appl. Probab. 42, No. 4, 1126--1146 (2010; Zbl 1205.62061) Full Text: DOI
Alparslan, Uğur Tuncay Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes. (English) Zbl 1176.60035 Adv. Appl. Probab. 41, No. 3, 874-892 (2009). MSC: 60G52 PDFBibTeX XMLCite \textit{U. T. Alparslan}, Adv. Appl. Probab. 41, No. 3, 874--892 (2009; Zbl 1176.60035) Full Text: DOI
Cai, Jun; Feng, Runhuan; Willmot, Gordon E. On the expectation of total discounted operating costs up to default and its applications. (English) Zbl 1173.91023 Adv. Appl. Probab. 41, No. 2, 495-522 (2009). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91B70 91G20 PDFBibTeX XMLCite \textit{J. Cai} et al., Adv. Appl. Probab. 41, No. 2, 495--522 (2009; Zbl 1173.91023) Full Text: DOI
Bordenave, Charles; Torrisi, Giovanni Luca Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications. (English) Zbl 1151.60004 Adv. Appl. Probab. 40, No. 2, 293-320 (2008). Reviewer: Viktor Oganyan (Erevan) MSC: 60D05 65C05 60G48 60G55 PDFBibTeX XMLCite \textit{C. Bordenave} and \textit{G. L. Torrisi}, Adv. Appl. Probab. 40, No. 2, 293--320 (2008; Zbl 1151.60004) Full Text: DOI
Paulsen, Jostein Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs. (English) Zbl 1126.93058 Adv. Appl. Probab. 39, No. 3, 669-689 (2007). MSC: 93E20 49J15 49K15 60J70 91G80 PDFBibTeX XMLCite \textit{J. Paulsen}, Adv. Appl. Probab. 39, No. 3, 669--689 (2007; Zbl 1126.93058) Full Text: DOI
Lefèvre, Claude First-crossing and ballot-type results for some nonstationary sequences. (English) Zbl 1131.60035 Adv. Appl. Probab. 39, No. 2, 492-509 (2007). Reviewer: Albrecht Irle (Kiel) MSC: 60G50 60E05 PDFBibTeX XMLCite \textit{C. Lefèvre}, Adv. Appl. Probab. 39, No. 2, 492--509 (2007; Zbl 1131.60035) Full Text: DOI Euclid
Pitts, Susan M.; Politis, Konstadinos Approximations for the Gerber-Shiu expected discounted penalty function in the compound Poisson risk model. (English) Zbl 1122.60076 Adv. Appl. Probab. 39, No. 2, 385-406 (2007). MSC: 60K10 91B30 60K05 PDFBibTeX XMLCite \textit{S. M. Pitts} and \textit{K. Politis}, Adv. Appl. Probab. 39, No. 2, 385--406 (2007; Zbl 1122.60076) Full Text: DOI Euclid
Alparslan, Uğur Tuncay; Samorodnitsky, Gennady Ruin probability with certain stationary stable claims generated by conservative flows. (English) Zbl 1132.60043 Adv. Appl. Probab. 39, No. 2, 360-384 (2007). Reviewer: Ryszard Doman (Poznan) MSC: 60G52 62P05 PDFBibTeX XMLCite \textit{U. T. Alparslan} and \textit{G. Samorodnitsky}, Adv. Appl. Probab. 39, No. 2, 360--384 (2007; Zbl 1132.60043) Full Text: DOI Euclid
Chen, Yiqing; Ng, Kai W.; Tang, Qihe Weighted sums of subexponential random variables and their maxima. (English) Zbl 1083.60017 Adv. Appl. Probab. 37, No. 2, 510-522 (2005). Reviewer: Ilya Pavlyukevitch (Berlin) MSC: 60F10 60G50 60G70 PDFBibTeX XMLCite \textit{Y. Chen} et al., Adv. Appl. Probab. 37, No. 2, 510--522 (2005; Zbl 1083.60017) Full Text: DOI
Tang, Qihe; Tsitsiashvili, Gurami Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments. (English) Zbl 1095.91040 Adv. Appl. Probab. 36, No. 4, 1278-1299 (2004). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{Q. Tang} and \textit{G. Tsitsiashvili}, Adv. Appl. Probab. 36, No. 4, 1278--1299 (2004; Zbl 1095.91040) Full Text: DOI Link
Frostig, Esther Upper bounds on the expected time to ruin and on the expected recovery time. (English) Zbl 1123.91335 Adv. Appl. Probab. 36, No. 2, 377-397 (2004). MSC: 91B30 60K25 90B22 PDFBibTeX XMLCite \textit{E. Frostig}, Adv. Appl. Probab. 36, No. 2, 377--397 (2004; Zbl 1123.91335) Full Text: DOI