## Found 36 Documents (Results 1–36)

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### Risk modelling on liquidations with Lévy processes. (English)Zbl 07426988

MSC:  60G51 91B05 91G05
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### Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. (English)Zbl 1475.91310

MSC:  91G05 60G55 90C39
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MSC:  91Bxx
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MSC:  90Bxx
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### Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio. (English)Zbl 1443.91271

MSC:  91G10 60H10
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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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### 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 occupation times in a delayed Sparre Andersen risk model with exponential claims. (English)Zbl 1371.91094

MSC:  91B30 62P05 60G51 60K10
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### Optimal reinsurance under dynamic VaR constraint. (English)Zbl 1371.91112

MSC:  91B30 93E20 91G70
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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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### Analysis of some ruin-related quantities in a Markov-modulated risk model. (English)Zbl 1344.60075

MSC:  60J28 60J27 60K37 91B30 44A10
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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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### Some ruin problems for the MAP risk model. (English)Zbl 1348.91163

MSC:  91B30 60K25 62P05
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### The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model. (English)Zbl 1284.91227

MSC:  91B30 60K10
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MSC:  91B30
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MSC:  91B30
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### Erlang risk models and finite time ruin problems. (English)Zbl 1277.91081

MSC:  91B30 60K10
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MSC:  91B30
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### On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy. (English)Zbl 1224.91071

MSC:  91B30 62P05 60K10
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### Matrix-form recursions for a family of compound distributions. (English)Zbl 1190.91077

MSC:  91B30 91B70
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### The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims. (English)Zbl 1232.91356

MSC:  91B30 60K10 45J05
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### The distribution of total dividend payments in a Sparre Andersen model. (English)Zbl 1160.62359

MSC:  62P05 62E15 91B30
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### The Markovian regime-switching risk model with a threshold dividend strategy. (English)Zbl 1163.91438

MSC:  91B30 91B28
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### The time of recovery and the maximum severity of ruin in a Sparre Andersen model. (English)Zbl 1481.91176

MSC:  91G05 44A10
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### The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model. (English)Zbl 1169.91390

MSC:  91B30 62P05
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### Moments of the dividend payments and related problems in a Markov-modulated risk model. (English)Zbl 1480.91222

MSC:  91G05 45J05
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MSC:  91B30
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### On a class of discrete time renewal risk models. (English)Zbl 1142.91043

MSC:  91B30 60K15
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### Ruin probabilities for two classes of risk processes. (English)Zbl 1098.62139

MSC:  62P05 91B30 45K05
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MSC:  91B30
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### On a general class of renewal risk process: analysis of the Gerber-Shiu function. (English)Zbl 1077.60063

MSC:  60K10 60K05 91B30
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### On the expected discounted penalty functions for two classes of risk processes. (English)Zbl 1122.91040

MSC:  91B30 45J05 60G55 65C20
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### On ruin for the Erlang $$(n)$$ risk process. (English)Zbl 1188.91089

MSC:  91B30 60K05 62K10
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### On a class of renewal risk models with a constant dividend barrier. (English)Zbl 1122.91345

MSC:  91B30 60K10
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### “Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). (English)Zbl 1084.60547

MSC:  60K05 60K10
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