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
Chaturvedi, Ajit; Bapat, Sudeep R.; Joshi, Neeraj Sequential estimation of an inverse Gaussian mean with known coefficient of variation. (English) Zbl 07523488 Sankhyā, Ser. B 84, No. 1, 402-420 (2022). MSC: 62F10 62F12 62L05 62L10 62L12 PDF BibTeX XML Cite \textit{A. Chaturvedi} et al., Sankhyā, Ser. B 84, No. 1, 402--420 (2022; Zbl 07523488) Full Text: DOI OpenURL
Nieto-Barajas, Luis E. Bayesian nonparametric dynamic hazard rates in evolutionary life tables. (English) Zbl 07522671 Lifetime Data Anal. 28, No. 2, 319-334 (2022). MSC: 62Nxx 62P10 PDF BibTeX XML Cite \textit{L. E. Nieto-Barajas}, Lifetime Data Anal. 28, No. 2, 319--334 (2022; Zbl 07522671) Full Text: DOI OpenURL
Ghannam, Mai; Nkurunziza, Sévérien The risk of tensor Stein-rules in elliptically contoured distributions. (English) Zbl 07518378 Statistics 56, No. 2, 421-454 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Ghannam} and \textit{S. Nkurunziza}, Statistics 56, No. 2, 421--454 (2022; Zbl 07518378) Full Text: DOI OpenURL
Barigou, Karim; Bignozzi, Valeria; Tsanakas, Andreas Insurance valuation: A two-step generalised regression approach. (English) Zbl 07503083 ASTIN Bull. 52, No. 1, 211-245 (2022). MSC: 91G05 62P05 62G08 PDF BibTeX XML Cite \textit{K. Barigou} et al., ASTIN Bull. 52, No. 1, 211--245 (2022; Zbl 07503083) Full Text: DOI OpenURL
Xie, Jiehua; Fang, Jun; Yang, Jingping; Bu, Lan Multivariate composite copulas. (English) Zbl 1483.62088 ASTIN Bull. 52, No. 1, 145-184 (2022); corrigendum ibid. 52, No. 1, 361 (2022). MSC: 62H05 PDF BibTeX XML Cite \textit{J. Xie} et al., ASTIN Bull. 52, No. 1, 145--184 (2022; Zbl 1483.62088) Full Text: DOI OpenURL
Erdemir, Övgücan Karadağ; Sucu, Meral A modified pseudo-copula regression model for risk groups with various dependency levels. (English) Zbl 07498027 J. Stat. Comput. Simulation 92, No. 5, 1092-1112 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{Ö. K. Erdemir} and \textit{M. Sucu}, J. Stat. Comput. Simulation 92, No. 5, 1092--1112 (2022; Zbl 07498027) Full Text: DOI OpenURL
Badescu, Alexandru; Quaye, Enoch; Tunaru, Radu On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (English) Zbl 07487261 Insur. Math. Econ. 103, 119-138 (2022). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{A. Badescu} et al., Insur. Math. Econ. 103, 119--138 (2022; Zbl 07487261) Full Text: DOI OpenURL
Sun, Hongfang; Chen, Yu; Hu, Taizhong Statistical inference for tail-based cumulative residual entropy. (English) Zbl 07487259 Insur. Math. Econ. 103, 66-95 (2022). MSC: 91G05 62G32 62H05 PDF BibTeX XML Cite \textit{H. Sun} et al., Insur. Math. Econ. 103, 66--95 (2022; Zbl 07487259) Full Text: DOI OpenURL
Kung, Ko-Lun; MacMinn, Richard D.; Kuo, Weiyu; Tsai, Chenghsien Jason Multi-population mortality modeling: when the data is too much and not enough. (English) Zbl 07487257 Insur. Math. Econ. 103, 41-55 (2022). MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{K.-L. Kung} et al., Insur. Math. Econ. 103, 41--55 (2022; Zbl 07487257) Full Text: DOI OpenURL
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying Systemic risk: conditional distortion risk measures. (English) Zbl 07487250 Insur. Math. Econ. 102, 126-145 (2022). MSC: 91G45 91G70 62H05 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Insur. Math. Econ. 102, 126--145 (2022; Zbl 07487250) Full Text: DOI arXiv OpenURL
Marri, Fouad; Moutanabbir, Khouzeima Risk aggregation and capital allocation using a new generalized Archimedean copula. (English) Zbl 07487247 Insur. Math. Econ. 102, 75-90 (2022). MSC: 91G05 91G70 62H05 PDF BibTeX XML Cite \textit{F. Marri} and \textit{K. Moutanabbir}, Insur. Math. Econ. 102, 75--90 (2022; Zbl 07487247) Full Text: DOI arXiv OpenURL
Galarza, Christian E.; Matos, Larissa A.; Castro, Luis M.; Lachos, Victor H. Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution. (English) Zbl 07482274 J. Multivariate Anal. 189, Article ID 104944, 15 p. (2022). MSC: 62Hxx 60E05 62P05 PDF BibTeX XML Cite \textit{C. E. Galarza} et al., J. Multivariate Anal. 189, Article ID 104944, 15 p. (2022; Zbl 07482274) Full Text: DOI arXiv OpenURL
Gong, Yishan; Yang, Yang Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model. (English) Zbl 07475171 J. Ind. Manag. Optim. 18, No. 2, 1321-1337 (2022). MSC: 62P05 62E20 91B30 PDF BibTeX XML Cite \textit{Y. Gong} and \textit{Y. Yang}, J. Ind. Manag. Optim. 18, No. 2, 1321--1337 (2022; Zbl 07475171) Full Text: DOI OpenURL
Yuan, Yu; Liang, Zhibin; Han, Xia Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs. (English) Zbl 07475152 J. Ind. Manag. Optim. 18, No. 2, 933-967 (2022). MSC: 93E20 62P05 91G05 91G10 PDF BibTeX XML Cite \textit{Y. Yuan} et al., J. Ind. Manag. Optim. 18, No. 2, 933--967 (2022; Zbl 07475152) Full Text: DOI OpenURL
Bian, N’dri Hubert; Hili, Ouagnina; Okou, Gueï Cyrille A goodness-of-fit test based on Kendall’s process: Durante’s bivariate copula models. (English. French summary) Zbl 07525335 Afr. Stat. 16, No. 3, 2851-2882 (2021). MSC: 62H05 62G10 62G20 62F40 PDF BibTeX XML Cite \textit{N. H. Bian} et al., Afr. Stat. 16, No. 3, 2851--2882 (2021; Zbl 07525335) Full Text: Link OpenURL
Onchere, Walter Omonywa; Weke, Patrick Guge; Ottieno, Joseph Makoteku; Ogutu, Carolyne Adhiambo Graduation of term assurance data using frailty approach. (English. French summary) Zbl 07525332 Afr. Stat. 16, No. 3, 2809-2823 (2021). MSC: 62P05 PDF BibTeX XML Cite \textit{W. O. Onchere} et al., Afr. Stat. 16, No. 3, 2809--2823 (2021; Zbl 07525332) Full Text: DOI Link OpenURL
Lee, Gaeun; Lee, Hangsuck; Choi, Yang Ho Outside barrier lookback options with floating strike. (English) Zbl 07514945 J. Korean Stat. Soc. 50, No. 4, 1259-1286 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{G. Lee} et al., J. Korean Stat. Soc. 50, No. 4, 1259--1286 (2021; Zbl 07514945) Full Text: DOI OpenURL
Nadeb, Hossein; Torabi, Hamzeh; Dolati, Ali Some general results on usual stochastic ordering of the extreme order statistics from dependent random variables under Archimedean copula dependence. (English) Zbl 07514940 J. Korean Stat. Soc. 50, No. 4, 1147-1163 (2021). MSC: 62G30 PDF BibTeX XML Cite \textit{H. Nadeb} et al., J. Korean Stat. Soc. 50, No. 4, 1147--1163 (2021; Zbl 07514940) Full Text: DOI OpenURL
Deme, El Hadji; Allaya, Mouhamad M.; Deme, Siradhi; Dhaker, Hamza; Dabye, Ali Souleyman Estimation of risk measures from heavy tailed distributions. (English) Zbl 07508900 Far East J. Theor. Stat. 62, No. 1, 35-80 (2021). MSC: 62E10 PDF BibTeX XML Cite \textit{E. H. Deme} et al., Far East J. Theor. Stat. 62, No. 1, 35--80 (2021; Zbl 07508900) Full Text: DOI OpenURL
Eini, Esmat Jamshidi; Khaloozadeh, Hamid Tail conditional moment for generalized skew-elliptical distributions. (English) Zbl 07484655 J. Appl. Stat. 48, No. 13-15, 2285-2305 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{E. J. Eini} and \textit{H. Khaloozadeh}, J. Appl. Stat. 48, No. 13--15, 2285--2305 (2021; Zbl 07484655) Full Text: DOI OpenURL
Gao, Guangyuan; Shi, Yanlin Age-coherent extensions of the Lee-Carter model. (English) Zbl 07483116 Scand. Actuar. J. 2021, No. 10, 998-1016 (2021). MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{G. Gao} and \textit{Y. Shi}, Scand. Actuar. J. 2021, No. 10, 998--1016 (2021; Zbl 07483116) Full Text: DOI OpenURL
Jung, Kwangmin Extreme data breach losses: an alternative approach to estimating probable maximum loss for data breach risk. (English) Zbl 07469935 N. Am. Actuar. J. 25, No. 4, 580-603 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 62P05 62G32 PDF BibTeX XML Cite \textit{K. Jung}, N. Am. Actuar. J. 25, No. 4, 580--603 (2021; Zbl 07469935) Full Text: DOI OpenURL
Jessup, Sébastien; Boucher, Jean-Philippe; Pigeon, Mathieu On fitting dependent nonhomogeneous loss models to unearned premium risk. (English) Zbl 07469932 N. Am. Actuar. J. 25, No. 4, 524-542 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{S. Jessup} et al., N. Am. Actuar. J. 25, No. 4, 524--542 (2021; Zbl 07469932) Full Text: DOI OpenURL
Sun, Hong; Xu, Maochao; Zhao, Peng Modeling malicious hacking data breach risks. (English) Zbl 07469930 N. Am. Actuar. J. 25, No. 4, 484-502 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{H. Sun} et al., N. Am. Actuar. J. 25, No. 4, 484--502 (2021; Zbl 07469930) Full Text: DOI OpenURL
Hong, Liang; Martin, Ryan Valid model-free prediction of future insurance claims. (English) Zbl 07469929 N. Am. Actuar. J. 25, No. 4, 473-483 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{L. Hong} and \textit{R. Martin}, N. Am. Actuar. J. 25, No. 4, 473--483 (2021; Zbl 07469929) Full Text: DOI OpenURL
Bi, Junna; Cai, Jun; Zeng, Yan Equilibrium reinsurance-investment strategies with partial information and common shock dependence. (English) Zbl 1478.91160 Ann. Oper. Res. 307, No. 1-2, 1-24 (2021). MSC: 91G05 62P05 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Ann. Oper. Res. 307, No. 1--2, 1--24 (2021; Zbl 1478.91160) Full Text: DOI OpenURL
Araiza Iturria, Carlos Andrés; Godin, Frédéric; Mailhot, Mélina Tweedie double GLM loss triangles with dependence within and across business lines. (English) Zbl 1480.91180 Eur. Actuar. J. 11, No. 2, 619-653 (2021). MSC: 91G05 91B70 62P05 PDF BibTeX XML Cite \textit{C. A. Araiza Iturria} et al., Eur. Actuar. J. 11, No. 2, 619--653 (2021; Zbl 1480.91180) Full Text: DOI arXiv OpenURL
Chen, Li-Chieh; Su, Jianxi; Xia, Michelle Two-part models for assessing misrepresentation on risk status. (English) Zbl 1482.91179 Eur. Actuar. J. 11, No. 2, 503-539 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{L.-C. Chen} et al., Eur. Actuar. J. 11, No. 2, 503--539 (2021; Zbl 1482.91179) Full Text: DOI OpenURL
Lin, Tzuling; Wang, Chou-Wen; Tsai, Cary Chi-Liang Correlated age-specific mortality model: an application to annuity portfolio management. (English) Zbl 1482.91184 Eur. Actuar. J. 11, No. 2, 413-440 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{T. Lin} et al., Eur. Actuar. J. 11, No. 2, 413--440 (2021; Zbl 1482.91184) Full Text: DOI OpenURL
Wang, Yeshunying; Yin, Chuancun A new class of multivariate elliptically contoured distributions with inconsistency property. (English) Zbl 1480.60043 Methodol. Comput. Appl. Probab. 23, No. 4, 1377-1407 (2021). MSC: 60E10 62E10 PDF BibTeX XML Cite \textit{Y. Wang} and \textit{C. Yin}, Methodol. Comput. Appl. Probab. 23, No. 4, 1377--1407 (2021; Zbl 1480.60043) Full Text: DOI arXiv OpenURL
Lim, Hong Beng; Shyamalkumar, Nariankadu D. A semiparametric method for assessing life expectancy evaluations. (English) Zbl 1479.91334 N. Am. Actuar. J. 25, No. 3, 360-394 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{H. B. Lim} and \textit{N. D. Shyamalkumar}, N. Am. Actuar. J. 25, No. 3, 360--394 (2021; Zbl 1479.91334) Full Text: DOI OpenURL
Goegebeur, Yuri; Guillou, Armelle; Ho, Nguyen Khanh Le; Qin, Jing Conditional marginal expected shortfall. (English) Zbl 1482.62105 Extremes 24, No. 4, 797-847 (2021). MSC: 62P05 62G32 62H12 62G20 91G70 PDF BibTeX XML Cite \textit{Y. Goegebeur} et al., Extremes 24, No. 4, 797--847 (2021; Zbl 1482.62105) Full Text: DOI OpenURL
Bozikas, Apostolos; Pitselis, Georgios Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach. (English) Zbl 1479.91307 Eur. Actuar. J. 11, No. 1, 231-267 (2021). MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{A. Bozikas} and \textit{G. Pitselis}, Eur. Actuar. J. 11, No. 1, 231--267 (2021; Zbl 1479.91307) Full Text: DOI OpenURL
Soetewey, Antoine; Legrand, Catherine; Denuit, Michel; Silversmit, Geert Waiting period from diagnosis for mortgage insurance issued to cancer survivors. (English) Zbl 1481.91186 Eur. Actuar. J. 11, No. 1, 135-160 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 62P10 PDF BibTeX XML Cite \textit{A. Soetewey} et al., Eur. Actuar. J. 11, No. 1, 135--160 (2021; Zbl 1481.91186) Full Text: DOI OpenURL
Wei, Zheng; Zhang, Zijing; Zhang, Hongkun; Wang, Tonghui Conditional dependence among oil, gold and U.S. dollar exchange rates: a copula-GARCH approach. (English) Zbl 1479.91423 Sriboonchitta, Songsak (ed.) et al., Behavioral predictive modeling in economics. Cham: Springer. Stud. Comput. Intell. 897, 203-218 (2021). MSC: 91G30 62M10 62H05 PDF BibTeX XML Cite \textit{Z. Wei} et al., Stud. Comput. Intell. 897, 203--218 (2021; Zbl 1479.91423) Full Text: DOI OpenURL
Tzougas, George; Pignatelli di Cerchiara, Alice The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking. (English) Zbl 1475.91319 Insur. Math. Econ. 101, 602-625 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{G. Tzougas} and \textit{A. Pignatelli di Cerchiara}, Insur. Math. Econ. 101, 602--625 (2021; Zbl 1475.91319) Full Text: DOI OpenURL
Ma, Yong-Ki Correlated log-normal random variables under a multiscale volatility model. (English) Zbl 1478.62172 Adv. Math. Phys. 2021, Article ID 5916312, 7 p. (2021). MSC: 62H30 62P20 PDF BibTeX XML Cite \textit{Y.-K. Ma}, Adv. Math. Phys. 2021, Article ID 5916312, 7 p. (2021; Zbl 1478.62172) Full Text: DOI OpenURL
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon A new class of severity regression models with an application to IBNR prediction. (English) Zbl 1475.91299 N. Am. Actuar. J. 25, No. 2, 206-231 (2021). Reviewer: George Stoica (Saint John) MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{T. C. Fung} et al., N. Am. Actuar. J. 25, No. 2, 206--231 (2021; Zbl 1475.91299) Full Text: DOI OpenURL
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan Fitting nonstationary Cox processes: an application to fire insurance data. (English) Zbl 1481.91160 N. Am. Actuar. J. 25, No. 2, 135-162 (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 62P05 60G55 PDF BibTeX XML Cite \textit{H. Albrecher} et al., N. Am. Actuar. J. 25, No. 2, 135--162 (2021; Zbl 1481.91160) Full Text: DOI OpenURL
Das, Sangita; Kayal, Suchandan; Balakrishnan, N. Orderings of the smallest claim amounts from exponentiated location-scale models. (English) Zbl 1476.60040 Methodol. Comput. Appl. Probab. 23, No. 3, 971-999 (2021). MSC: 60E15 62G30 60K10 90B25 PDF BibTeX XML Cite \textit{S. Das} et al., Methodol. Comput. Appl. Probab. 23, No. 3, 971--999 (2021; Zbl 1476.60040) Full Text: DOI OpenURL
Zheng, Kai; Li, Yuying; Xu, Weidong Regime switching model estimation: spectral clustering hidden Markov model. (English) Zbl 1476.62172 Ann. Oper. Res. 303, No. 1-2, 297-319 (2021). MSC: 62M02 62M05 62P05 60J60 91G10 PDF BibTeX XML Cite \textit{K. Zheng} et al., Ann. Oper. Res. 303, No. 1--2, 297--319 (2021; Zbl 1476.62172) Full Text: DOI OpenURL
Norton, Matthew; Khokhlov, Valentyn; Uryasev, Stan Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation. (English) Zbl 1475.91404 Ann. Oper. Res. 299, No. 1-2, 1281-1315 (2021). Reviewer: Paweł Kliber (Poznan) MSC: 91G70 91G10 62F10 60E05 90C30 PDF BibTeX XML Cite \textit{M. Norton} et al., Ann. Oper. Res. 299, No. 1--2, 1281--1315 (2021; Zbl 1475.91404) Full Text: DOI arXiv OpenURL
Benedetti, Davide; Biffis, Enrico; Chatzimichalakis, Fotis; Fedele, Luciano Lilloy; Simm, Ian Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy. (English) Zbl 1476.91139 Ann. Oper. Res. 299, No. 1-2, 847-871 (2021). MSC: 91G10 91B76 62P05 PDF BibTeX XML Cite \textit{D. Benedetti} et al., Ann. Oper. Res. 299, No. 1--2, 847--871 (2021; Zbl 1476.91139) Full Text: DOI OpenURL
D’Amato, V.; Di Lorenzo, E.; Haberman, S.; Sibillo, M.; Tizzano, R. Pension schemes versus real estate. (English) Zbl 1481.91048 Ann. Oper. Res. 299, No. 1-2, 797-809 (2021). Reviewer: Peter Kischka (Jena) MSC: 91B05 62P05 62M10 PDF BibTeX XML Cite \textit{V. D'Amato} et al., Ann. Oper. Res. 299, No. 1--2, 797--809 (2021; Zbl 1481.91048) Full Text: DOI OpenURL
Quessy, Jean-François A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses. (English) Zbl 1478.62115 J. Multivariate Anal. 186, Article ID 104815, 13 p. (2021). MSC: 62H05 62H30 62G15 62G20 60E15 PDF BibTeX XML Cite \textit{J.-F. Quessy}, J. Multivariate Anal. 186, Article ID 104815, 13 p. (2021; Zbl 1478.62115) Full Text: DOI OpenURL
Nieto-Barajas, Luis E.; Targino, Rodrigo S. A gamma moving average process for modelling dependence across development years in run-off triangles. (English) Zbl 1471.91478 ASTIN Bull. 51, No. 1, 245-266 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{L. E. Nieto-Barajas} and \textit{R. S. Targino}, ASTIN Bull. 51, No. 1, 245--266 (2021; Zbl 1471.91478) Full Text: DOI OpenURL
Chang, Le; Shi, Yanlin Mortality forecasting with a spatially penalized smoothed VAR model. (English) Zbl 1471.91452 ASTIN Bull. 51, No. 1, 161-189 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{L. Chang} and \textit{Y. Shi}, ASTIN Bull. 51, No. 1, 161--189 (2021; Zbl 1471.91452) Full Text: DOI OpenURL
Li, Zhengxiao; Beirlant, Jan; Meng, Shengwang Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data. (English) Zbl 1472.91039 ASTIN Bull. 51, No. 1, 57-99 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{Z. Li} et al., ASTIN Bull. 51, No. 1, 57--99 (2021; Zbl 1472.91039) Full Text: DOI arXiv OpenURL
Lee, Simon C. K. Addressing imbalanced insurance data through zero-inflated Poisson regression with boosting. (English) Zbl 1471.91466 ASTIN Bull. 51, No. 1, 27-55 (2021). MSC: 91G05 62P05 68T05 PDF BibTeX XML Cite \textit{S. C. K. Lee}, ASTIN Bull. 51, No. 1, 27--55 (2021; Zbl 1471.91466) Full Text: DOI OpenURL
Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano A. A multi-year microlevel collective risk model. (English) Zbl 1471.91479 Insur. Math. Econ. 100, 309-328 (2021). MSC: 91G05 62H05 PDF BibTeX XML Cite \textit{R. Oh} et al., Insur. Math. Econ. 100, 309--328 (2021; Zbl 1471.91479) Full Text: DOI arXiv OpenURL
Li, Hong; Shi, Yanlin Forecasting mortality with international linkages: a global vector-autoregression approach. (English) Zbl 1471.91470 Insur. Math. Econ. 100, 59-75 (2021). MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{H. Li} and \textit{Y. Shi}, Insur. Math. Econ. 100, 59--75 (2021; Zbl 1471.91470) Full Text: DOI OpenURL
Maciak, Matúš; Okhrin, Ostap; Pešta, Michal Infinitely stochastic micro reserving. (English) Zbl 1471.91474 Insur. Math. Econ. 100, 30-58 (2021). MSC: 91G05 60G25 60G55 62M20 62P05 PDF BibTeX XML Cite \textit{M. Maciak} et al., Insur. Math. Econ. 100, 30--58 (2021; Zbl 1471.91474) Full Text: DOI OpenURL
Krupskii, Pavel; Genton, Marc G. Conditional normal extreme-value copulas. (English) Zbl 1475.62163 Extremes 24, No. 3, 403-431 (2021). MSC: 62H05 60G70 62P20 62P35 PDF BibTeX XML Cite \textit{P. Krupskii} and \textit{M. G. Genton}, Extremes 24, No. 3, 403--431 (2021; Zbl 1475.62163) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{J. Liu} and \textit{Y. Yang}, ASTIN Bull. 51, No. 2, 571--605 (2021; Zbl 1471.91610) Full Text: DOI OpenURL
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan Tempered Pareto-type modelling using Weibull distributions. (English) Zbl 1479.91301 ASTIN Bull. 51, No. 2, 509-538 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 62P05 62G32 PDF BibTeX XML Cite \textit{H. Albrecher} et al., ASTIN Bull. 51, No. 2, 509--538 (2021; Zbl 1479.91301) Full Text: DOI arXiv OpenURL
Poudyal, Chudamani Robust estimation of loss models for lognormal insurance payment severity data. (English) Zbl 1479.91339 ASTIN Bull. 51, No. 2, 475-507 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{C. Poudyal}, ASTIN Bull. 51, No. 2, 475--507 (2021; Zbl 1479.91339) Full Text: DOI arXiv OpenURL
Freimann, Arne Pricing longevity-linked securities in the presence of mortality trend changes. (English) Zbl 1475.91298 ASTIN Bull. 51, No. 2, 411-447 (2021). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G05 91G30 62P10 PDF BibTeX XML Cite \textit{A. Freimann}, ASTIN Bull. 51, No. 2, 411--447 (2021; Zbl 1475.91298) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Zhao} et al., Scand. Actuar. J. 2021, No. 7, 599--622 (2021; Zbl 1471.91492) Full Text: DOI OpenURL
Zhang, Yan; Zhao, Peibiao; Teng, Xinghu; Mao, Lei Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform. (English) Zbl 1476.91136 J. Ind. Manag. Optim. 17, No. 4, 2139-2159 (2021). MSC: 91G05 93E20 62P05 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Ind. Manag. Optim. 17, No. 4, 2139--2159 (2021; Zbl 1476.91136) Full Text: DOI OpenURL
Bouzebda, Salim; Elhattab, Issam; Nemouchi, Boutheina On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation. (English) Zbl 1472.62067 J. Nonparametric Stat. 33, No. 2, 321-358 (2021). MSC: 62G30 62G07 62H05 62E20 60F05 60F15 PDF BibTeX XML Cite \textit{S. Bouzebda} et al., J. Nonparametric Stat. 33, No. 2, 321--358 (2021; Zbl 1472.62067) Full Text: DOI OpenURL
Pelessoni, Renato; Vicig, Paolo; Corsato, Chiara Inference with nearly-linear uncertainty models. (English) Zbl 1467.62018 Fuzzy Sets Syst. 412, 1-26 (2021). MSC: 62A86 60A86 62J86 PDF BibTeX XML Cite \textit{R. Pelessoni} et al., Fuzzy Sets Syst. 412, 1--26 (2021; Zbl 1467.62018) Full Text: DOI OpenURL
Tanoue, Yuta Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables. (English) Zbl 1480.60048 Probab. Uncertain. Quant. Risk 6, No. 1, 53-60 (2021). MSC: 60E15 62P05 91G70 PDF BibTeX XML Cite \textit{Y. Tanoue}, Probab. Uncertain. Quant. Risk 6, No. 1, 53--60 (2021; Zbl 1480.60048) Full Text: DOI OpenURL
McCarthy, David G.; Wang, Po-Lin Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model. (English) Zbl 1464.62421 Insur. Math. Econ. 99, 459-485 (2021). MSC: 62P05 91G05 PDF BibTeX XML Cite \textit{D. G. McCarthy} and \textit{P.-L. Wang}, Insur. Math. Econ. 99, 459--485 (2021; Zbl 1464.62421) Full Text: DOI OpenURL
Kung, Ko-Lun; Liu, I-Chien; Wang, Chou-Wen Modeling and pricing longevity derivatives using Skellam distribution. (English) Zbl 1467.91143 Insur. Math. Econ. 99, 341-354 (2021). MSC: 91G05 91G20 62P05 PDF BibTeX XML Cite \textit{K.-L. Kung} et al., Insur. Math. Econ. 99, 341--354 (2021; Zbl 1467.91143) Full Text: DOI OpenURL
Arnold, Séverine; Glushko, Viktoriya Cause-specific mortality rates: common trends and differences. (English) Zbl 1467.91127 Insur. Math. Econ. 99, 294-308 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{S. Arnold} and \textit{V. Glushko}, Insur. Math. Econ. 99, 294--308 (2021; Zbl 1467.91127) Full Text: DOI OpenURL
Ji, Liuyan; Tan, Ken Seng; Yang, Fan Tail dependence and heavy tailedness in extreme risks. (English) Zbl 1467.91142 Insur. Math. Econ. 99, 282-293 (2021). MSC: 91G05 62P05 62H05 62G32 PDF BibTeX XML Cite \textit{L. Ji} et al., Insur. Math. Econ. 99, 282--293 (2021; Zbl 1467.91142) Full Text: DOI OpenURL
Zhou, Rui; Ji, Min Modelling mortality dependence: an application of dynamic vine copula. (English) Zbl 1467.91155 Insur. Math. Econ. 99, 241-255 (2021). MSC: 91G05 62P05 62H05 PDF BibTeX XML Cite \textit{R. Zhou} and \textit{M. Ji}, Insur. Math. Econ. 99, 241--255 (2021; Zbl 1467.91155) Full Text: DOI OpenURL
Redondo Lourés, Cristian; Cairns, Andrew J. G. Cause of death specific cohort effects in U.S. mortality. (English) Zbl 1467.91149 Insur. Math. Econ. 99, 190-199 (2021). MSC: 91G05 62P05 62M20 PDF BibTeX XML Cite \textit{C. Redondo Lourés} and \textit{A. J. G. Cairns}, Insur. Math. Econ. 99, 190--199 (2021; Zbl 1467.91149) Full Text: DOI OpenURL
Souto Arias, Luis A.; Cirillo, Pasquale Joint and survivor annuity valuation with a bivariate reinforced urn process. (English) Zbl 1467.91151 Insur. Math. Econ. 99, 174-189 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{L. A. Souto Arias} and \textit{P. Cirillo}, Insur. Math. Econ. 99, 174--189 (2021; Zbl 1467.91151) Full Text: DOI OpenURL
Tsai, Cary Chi-Liang; Cheng, Echo Sihan Incorporating statistical clustering methods into mortality models to improve forecasting performances. (English) Zbl 1467.91153 Insur. Math. Econ. 99, 42-62 (2021). MSC: 91G05 62P05 62H30 PDF BibTeX XML Cite \textit{C. C. L. Tsai} and \textit{E. S. Cheng}, Insur. Math. Econ. 99, 42--62 (2021; Zbl 1467.91153) Full Text: DOI OpenURL
Ahmad, Zubair; Mahmoudi, Eisa; Alizadeh, Morad; Roozegar, Rasool; Afify, Ahmed Z. The exponential T-X family of distributions: properties and an application to insurance data. (English) Zbl 1477.60031 J. Math. 2021, Article ID 3058170, 18 p. (2021). MSC: 60E05 62F10 91G05 PDF BibTeX XML Cite \textit{Z. Ahmad} et al., J. Math. 2021, Article ID 3058170, 18 p. (2021; Zbl 1477.60031) Full Text: DOI OpenURL
Torrado, Nuria; Navarro, Jorge Ranking the extreme claim amounts in dependent individual risk models. (English) Zbl 1466.91271 Scand. Actuar. J. 2021, No. 3, 218-247 (2021). MSC: 91G05 60E15 62P05 65H05 PDF BibTeX XML Cite \textit{N. Torrado} and \textit{J. Navarro}, Scand. Actuar. J. 2021, No. 3, 218--247 (2021; Zbl 1466.91271) Full Text: DOI OpenURL
Baione, Fabio; Biancalana, Davide An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking. (English) Zbl 1467.91129 Scand. Actuar. J. 2021, No. 2, 156-170 (2021). MSC: 91G05 62P05 62G08 PDF BibTeX XML Cite \textit{F. Baione} and \textit{D. Biancalana}, Scand. Actuar. J. 2021, No. 2, 156--170 (2021; Zbl 1467.91129) Full Text: DOI OpenURL
Dodd, Erengul; Forster, Jonathan J.; Bijak, Jakub; Smith, Peter W. F. Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age-period-cohort model. (English) Zbl 1471.91457 Scand. Actuar. J. 2021, No. 2, 134-155 (2021). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G05 91B84 62P05 PDF BibTeX XML Cite \textit{E. Dodd} et al., Scand. Actuar. J. 2021, No. 2, 134--155 (2021; Zbl 1471.91457) Full Text: DOI OpenURL
Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus S. Genetics, insurance and hypertrophic cardiomyopathy. (English) Zbl 1466.91259 Scand. Actuar. J. 2021, No. 1, 54-81 (2021). MSC: 91G05 92C60 92D10 62P10 PDF BibTeX XML Cite \textit{O. Haçarız} et al., Scand. Actuar. J. 2021, No. 1, 54--81 (2021; Zbl 1466.91259) Full Text: DOI OpenURL
Lee, Hangsuck; Ha, Hongjun; Lee, Taewon Decrement rates and a numerical method under competing risks. (English) Zbl 07345815 Comput. Stat. Data Anal. 156, Article ID 107125, 18 p. (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{H. Lee} et al., Comput. Stat. Data Anal. 156, Article ID 107125, 18 p. (2021; Zbl 07345815) Full Text: DOI OpenURL
Bahraoui, Tarik; Kolev, Nikolai New measure of the bivariate asymmetry. (English) Zbl 1465.62108 Sankhyā, Ser. A 83, No. 1, 421-448 (2021). MSC: 62H20 62H05 62G30 60E10 PDF BibTeX XML Cite \textit{T. Bahraoui} and \textit{N. Kolev}, Sankhyā, Ser. A 83, No. 1, 421--448 (2021; Zbl 1465.62108) Full Text: DOI OpenURL
McCarthy, David; Wang, Po-Lin An analysis of period and cohort mortality shocks in international data. (English) Zbl 1461.91255 N. Am. Actuar. J. 25, Suppl. 1, S385-S409 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{D. McCarthy} and \textit{P.-L. Wang}, N. Am. Actuar. J. 25, S385--S409 (2021; Zbl 1461.91255) Full Text: DOI OpenURL
Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q. Constructing out-of-the-money longevity hedges using parametric mortality indexes. (English) Zbl 1461.91250 N. Am. Actuar. J. 25, Suppl. 1, S341-S372 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{J. S. H. Li} et al., N. Am. Actuar. J. 25, S341--S372 (2021; Zbl 1461.91250) Full Text: DOI OpenURL
Hunt, Andrew; Blake, David A Bayesian approach to modeling and projecting cohort effects. (English) Zbl 1461.91245 N. Am. Actuar. J. 25, Suppl. 1, S235-S254 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{A. Hunt} and \textit{D. Blake}, N. Am. Actuar. J. 25, S235--S254 (2021; Zbl 1461.91245) Full Text: DOI OpenURL
Zhou, Kenneth Q.; Li, Johnny Siu-Hang Longevity Greeks: what do insurers and capital market investors need to know? (English) Zbl 1465.91099 N. Am. Actuar. J. 25, Suppl. 1, S66-S96 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{K. Q. Zhou} and \textit{J. S. H. Li}, N. Am. Actuar. J. 25, S66--S96 (2021; Zbl 1465.91099) Full Text: DOI OpenURL
Sherris, Michael; Wei, Pengyu A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty. (English) Zbl 1461.91260 N. Am. Actuar. J. 25, No. 1, 17-39 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{M. Sherris} and \textit{P. Wei}, N. Am. Actuar. J. 25, No. 1, 17--39 (2021; Zbl 1461.91260) Full Text: DOI OpenURL
Ho, Hwai-Chung; Chen, Hung-Yin; Tsai, Henghsiu Non-parametric estimation of conditional tail expectation for long-horizon returns. (English) Zbl 1466.62283 Stat. Sin. 31, No. 1, 547-569 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 62G07 62G10 62G20 62G32 62P05 PDF BibTeX XML Cite \textit{H.-C. Ho} et al., Stat. Sin. 31, No. 1, 547--569 (2021; Zbl 1466.62283) Full Text: DOI OpenURL
Portugal, Luís; Pantelous, Athanasios A.; Verrall, Richard Univariate and multivariate claims reserving with generalized link ratios. (English) Zbl 1460.91237 Insur. Math. Econ. 97, 57-67 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{L. Portugal} et al., Insur. Math. Econ. 97, 57--67 (2021; Zbl 1460.91237) Full Text: DOI OpenURL
Zhang, Lili The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier. (English) Zbl 1461.91085 Bull. Iran. Math. Soc. 47, No. 2, 569-583 (2021). MSC: 91B05 60K25 60G40 62P05 60J74 45J05 PDF BibTeX XML Cite \textit{L. Zhang}, Bull. Iran. Math. Soc. 47, No. 2, 569--583 (2021; Zbl 1461.91085) Full Text: DOI OpenURL
Bakar, S. A. Abu; Nadarajah, S. Composite models with underlying folded distributions. (English) Zbl 1457.91325 J. Comput. Appl. Math. 390, Article ID 113351, 8 p. (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{S. A. A. Bakar} and \textit{S. Nadarajah}, J. Comput. Appl. Math. 390, Article ID 113351, 8 p. (2021; Zbl 1457.91325) Full Text: DOI OpenURL
Poudyal, Chudamani Truncated, censored, and actuarial payment-type moments for robust fitting of a single-parameter Pareto distribution. (English) Zbl 1459.62201 J. Comput. Appl. Math. 388, Article ID 113310, 19 p. (2021). MSC: 62P05 62F35 62N01 91G05 PDF BibTeX XML Cite \textit{C. Poudyal}, J. Comput. Appl. Math. 388, Article ID 113310, 19 p. (2021; Zbl 1459.62201) Full Text: DOI arXiv OpenURL
Longo, Michele; Stabile, Gabriele Sub-optimal investment for insurers. (English) Zbl 07528953 Commun. Stat., Theory Methods 49, No. 17, 4298-4312 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Longo} and \textit{G. Stabile}, Commun. Stat., Theory Methods 49, No. 17, 4298--4312 (2020; Zbl 07528953) Full Text: DOI OpenURL
Chen, Mi; Hu, Xiang Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process. (English) Zbl 07528936 Commun. Stat., Theory Methods 49, No. 16, 3985-4001 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Chen} and \textit{X. Hu}, Commun. Stat., Theory Methods 49, No. 16, 3985--4001 (2020; Zbl 07528936) Full Text: DOI OpenURL
Zhao, Qian; Li, Peng; Zhang, Jie Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes. (English) Zbl 07528900 Commun. Stat., Theory Methods 49, No. 14, 3421-3437 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{Q. Zhao} et al., Commun. Stat., Theory Methods 49, No. 14, 3421--3437 (2020; Zbl 07528900) Full Text: DOI OpenURL
Liu, Bing; Zhou, Ming; Li, Peng Optimal investment and premium control for insurers with ambiguity. (English) Zbl 07528883 Commun. Stat., Theory Methods 49, No. 9, 2110-2130 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{B. Liu} et al., Commun. Stat., Theory Methods 49, No. 9, 2110--2130 (2020; Zbl 07528883) Full Text: DOI OpenURL
Meng, Qingbin; Bi, Junna On the dividends of the risk model with Markovian barrier. (English) Zbl 07528846 Commun. Stat., Theory Methods 49, No. 5, 1272-1280 (2020). MSC: 62P05 91B30 62-XX PDF BibTeX XML Cite \textit{Q. Meng} and \textit{J. Bi}, Commun. Stat., Theory Methods 49, No. 5, 1272--1280 (2020; Zbl 07528846) 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
Lee, Hangsuck; Kim, Eunchae; Song, Seongjoo Pricing two-asset alternating barrier options with icicles and their variations. (English) Zbl 07514850 J. Korean Stat. Soc. 49, No. 2, 626-672 (2020); correction ibid. 49, No. 2, 625 (2020). MSC: 62P05 91G20 PDF BibTeX XML Cite \textit{H. Lee} et al., J. Korean Stat. Soc. 49, No. 2, 626--672 (2020; Zbl 07514850) Full Text: DOI OpenURL
Zuo, Baishuai; Yin, Chuancun Stein’s lemma for truncated generalized skew-elliptical random vectors. (English) Zbl 07513054 AIMS Math. 5, No. 4, 3423-3433 (2020). MSC: 62E10 62H05 PDF BibTeX XML Cite \textit{B. Zuo} and \textit{C. Yin}, AIMS Math. 5, No. 4, 3423--3433 (2020; Zbl 07513054) Full Text: DOI OpenURL
Jahanshahi, S. M. A.; Zarei, H.; Khammar, A. H. On cumulative residual extropy. (English) Zbl 07507793 Probab. Eng. Inf. Sci. 34, No. 4, 605-625 (2020). MSC: 62B10 PDF BibTeX XML Cite \textit{S. M. A. Jahanshahi} et al., Probab. Eng. Inf. Sci. 34, No. 4, 605--625 (2020; Zbl 07507793) Full Text: DOI OpenURL
Lin, Juan; Wu, Ximing A diagnostic test for specification of copulas under censorship. (English) Zbl 07484533 Econom. Rev. 39, No. 9, 930-946 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{J. Lin} and \textit{X. Wu}, Econom. Rev. 39, No. 9, 930--946 (2020; Zbl 07484533) Full Text: DOI OpenURL
Xu, Chao; Dong, Yinghui; Tian, Zhaolu; Wang, Guojing Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level. (English) Zbl 1476.91194 J. Ind. Manag. Optim. 16, No. 6, 2603-2623 (2020). MSC: 91G20 62P20 PDF BibTeX XML Cite \textit{C. Xu} et al., J. Ind. Manag. Optim. 16, No. 6, 2603--2623 (2020; Zbl 1476.91194) Full Text: DOI OpenURL
Kogure, Atsuyuki Longevity risk and statistical modeling. (Japanese. English summary) Zbl 07387617 J. Jpn. Stat. Soc., Jpn. Issue 50, No. 1, 167-190 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{A. Kogure}, J. Jpn. Stat. Soc., Jpn. Issue 50, No. 1, 167--190 (2020; Zbl 07387617) Full Text: DOI OpenURL