Laguel, Yassine; van Ackooij, Wim; Malick, Jérôme; Ramalho, Guilherme Matiussi On the convexity of level-sets of probability functions. (English) Zbl 07523730 J. Convex Anal. 29, No. 2, 411-442 (2022). MSC: 90C15 90C25 PDF BibTeX XML Cite \textit{Y. Laguel} et al., J. Convex Anal. 29, No. 2, 411--442 (2022; Zbl 07523730) Full Text: Link OpenURL
Baltas, I.; Dopierala, L.; Kolodziejczyk, K.; Szczepański, M.; Weber, G.-W.; Yannacopoulos, A. N. Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (English) Zbl 07478875 Eur. J. Oper. Res. 298, No. 3, 1162-1174 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{I. Baltas} et al., Eur. J. Oper. Res. 298, No. 3, 1162--1174 (2022; Zbl 07478875) Full Text: DOI OpenURL
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying Satisficing credibility for heterogeneous risks. (English) Zbl 07478850 Eur. J. Oper. Res. 298, No. 2, 752-768 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{K. C. Cheung} et al., Eur. J. Oper. Res. 298, No. 2, 752--768 (2022; Zbl 07478850) Full Text: DOI OpenURL
Li, Yin; Mao, Xuerong; Song, Yazhi; Tao, Jian Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition. (English) Zbl 07475182 J. Ind. Manag. Optim. 18, No. 1, 75-93 (2022). MSC: 90B50 93E20 91G80 PDF BibTeX XML Cite \textit{Y. Li} et al., J. Ind. Manag. Optim. 18, No. 1, 75--93 (2022; Zbl 07475182) Full Text: DOI OpenURL
Pun, Chi Seng; Ye, Zi Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint. (English) Zbl 1479.91363 Automatica 135, Article ID 109986, 9 p. (2022). MSC: 91G10 93E20 90C39 PDF BibTeX XML Cite \textit{C. S. Pun} and \textit{Z. Ye}, Automatica 135, Article ID 109986, 9 p. (2022; Zbl 1479.91363) Full Text: DOI OpenURL
Frederick, Joshua D.; Fung, Derrick W. H.; Yang, Charles C.; Yeh, Jason J. H. Individual health insurance reforms in the U.S.: expanding Interstate markets, medicare for all, or medicaid for all? (English) Zbl 07422931 Eur. J. Oper. Res. 297, No. 2, 753-765 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{J. D. Frederick} et al., Eur. J. Oper. Res. 297, No. 2, 753--765 (2022; Zbl 07422931) Full Text: DOI OpenURL
Tan, Ken Seng; Weng, Chengguo; Zhang, Jinggong Optimal dynamic longevity hedge with basis risk. (English) Zbl 07422900 Eur. J. Oper. Res. 297, No. 1, 325-337 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{K. S. Tan} et al., Eur. J. Oper. Res. 297, No. 1, 325--337 (2022; Zbl 07422900) Full Text: DOI OpenURL
Boxma, Onno; Mandjes, Michel Affine storage and insurance risk models. (English) Zbl 07470603 Math. Oper. Res. 46, No. 4, 1282-1302 (2021). MSC: 60K25 90B15 PDF BibTeX XML Cite \textit{O. Boxma} and \textit{M. Mandjes}, Math. Oper. Res. 46, No. 4, 1282--1302 (2021; Zbl 07470603) 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
Liu, Guo; Jin, Zhuo; Li, Shuanming Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. (English) Zbl 1475.91310 Insur. Math. Econ. 101, 508-524 (2021). MSC: 91G05 60G55 90C39 PDF BibTeX XML Cite \textit{G. Liu} et al., Insur. Math. Econ. 101, 508--524 (2021; Zbl 1475.91310) 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
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
Keppo, Jussi; Reppen, A. Max; Soner, H. Mete Discrete dividend payments in continuous time. (English) Zbl 1471.91106 Math. Oper. Res. 46, No. 3, 895-911 (2021). MSC: 91B06 49N25 49L20 91B24 90C39 PDF BibTeX XML Cite \textit{J. Keppo} et al., Math. Oper. Res. 46, No. 3, 895--911 (2021; Zbl 1471.91106) Full Text: DOI arXiv OpenURL
Cai, Ning; Yang, Xuewei A computational approach to first passage problems of reflected hyperexponential jump diffusion processes. (English) Zbl 07362312 INFORMS J. Comput. 33, No. 1, 216-229 (2021). MSC: 90Cxx PDF BibTeX XML Cite \textit{N. Cai} and \textit{X. Yang}, INFORMS J. Comput. 33, No. 1, 216--229 (2021; Zbl 07362312) Full Text: DOI OpenURL
Chen, Xi; He, Simai; Jiang, Bo; Ryan, Christopher Thomas; Zhang, Teng The discrete moment problem with nonconvex shape constraints. (English) Zbl 1470.90060 Oper. Res. 69, No. 1, 279-296 (2021). MSC: 90C17 PDF BibTeX XML Cite \textit{X. Chen} et al., Oper. Res. 69, No. 1, 279--296 (2021; Zbl 1470.90060) Full Text: DOI arXiv OpenURL
Reichel, Lukas; Schmeiser, Hato; Schreiber, Florian Sometimes more, sometimes less: prudence and the diversification of risky insurance coverage. (English) Zbl 07356099 Eur. J. Oper. Res. 292, No. 2, 770-783 (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{L. Reichel} et al., Eur. J. Oper. Res. 292, No. 2, 770--783 (2021; Zbl 07356099) Full Text: DOI Link OpenURL
Liu, Guo; Jin, Zhuo; Li, Shuanming Household lifetime strategies under a self-contagious market. (English) Zbl 07354024 Eur. J. Oper. Res. 288, No. 3, 935-952 (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{G. Liu} et al., Eur. J. Oper. Res. 288, No. 3, 935--952 (2021; Zbl 07354024) Full Text: DOI OpenURL
Chen, An; Nguyen, Thai; Sørensen, Nils Indifference pricing under SAHARA utility. (English) Zbl 1454.91173 J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021). MSC: 91G05 91G15 91B16 90C39 91G60 PDF BibTeX XML Cite \textit{A. Chen} et al., J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021; Zbl 1454.91173) Full Text: DOI OpenURL
Wu, Huiling; Wang, Xiuguo; Liu, Yuanyuan; Zeng, Li Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan. (English) Zbl 1476.91160 J. Ind. Manag. Optim. 16, No. 6, 2857-2890 (2020). MSC: 91G10 91G80 90C90 PDF BibTeX XML Cite \textit{H. Wu} et al., J. Ind. Manag. Optim. 16, No. 6, 2857--2890 (2020; Zbl 1476.91160) Full Text: DOI OpenURL
van Ackooij, Wim A discussion of probability functions and constraints from a variational perspective. (English) Zbl 1467.90028 Set-Valued Var. Anal. 28, No. 4, 585-609 (2020). MSC: 90C15 PDF BibTeX XML Cite \textit{W. van Ackooij}, Set-Valued Var. Anal. 28, No. 4, 585--609 (2020; Zbl 1467.90028) Full Text: DOI OpenURL
Pop, Cristina Bianca; Chifu, Viorica Rozina; Dragoi, Nicolae; Salomie, Ioan; Chifu, Emil Stefan Recommending healthy personalized daily menus – a Cuckoo Search-based hyper-heuristic approach. (English) Zbl 1460.92043 Dey, Nilanjan (ed.) et al., Applied nature-inspired computing: algorithms and case studies. Singapore: Springer. Springer Tracts Nat.-Inspir. Comput., 41-70 (2020). MSC: 92C30 90C59 PDF BibTeX XML Cite \textit{C. B. Pop} et al., in: Applied nature-inspired computing: algorithms and case studies. Singapore: Springer. 41--70 (2020; Zbl 1460.92043) Full Text: DOI OpenURL
Vékás, Péter Rotation of the age pattern of mortality improvements in the European union. (English) Zbl 07252397 CEJOR, Cent. Eur. J. Oper. Res. 28, No. 3, 1031-1048 (2020). MSC: 90Bxx PDF BibTeX XML Cite \textit{P. Vékás}, CEJOR, Cent. Eur. J. Oper. Res. 28, No. 3, 1031--1048 (2020; Zbl 07252397) Full Text: DOI OpenURL
Landsman, Z.; Makov, U.; Shushi, T. Portfolio optimization by a bivariate functional of the mean and variance. (English) Zbl 1443.90271 J. Optim. Theory Appl. 185, No. 2, 622-651 (2020). MSC: 90C25 49N10 46B99 PDF BibTeX XML Cite \textit{Z. Landsman} et al., J. Optim. Theory Appl. 185, No. 2, 622--651 (2020; Zbl 1443.90271) Full Text: DOI OpenURL
Sheng, De-Lei; Shen, Peilong Portfolio optimization with asset-liability ratio regulation constraints. (English) Zbl 1435.91173 Complexity 2020, Article ID 1435356, 13 p. (2020). MSC: 91G10 90C15 93E20 PDF BibTeX XML Cite \textit{D.-L. Sheng} and \textit{P. Shen}, Complexity 2020, Article ID 1435356, 13 p. (2020; Zbl 1435.91173) Full Text: DOI OpenURL
van Ackooij, Wim; Pérez-Aros, Pedro Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms. (English) Zbl 1437.90118 J. Optim. Theory Appl. 185, No. 1, 239-269 (2020). MSC: 90C15 90C20 90C26 PDF BibTeX XML Cite \textit{W. van Ackooij} and \textit{P. Pérez-Aros}, J. Optim. Theory Appl. 185, No. 1, 239--269 (2020; Zbl 1437.90118) Full Text: DOI OpenURL
Anderson, Edward; Xu, Huifu; Zhang, Dali Varying confidence levels for CVaR risk measures and minimax limits. (English) Zbl 1436.90092 Math. Program. 180, No. 1-2 (A), 327-370 (2020). MSC: 90C15 90C17 65K05 91B05 PDF BibTeX XML Cite \textit{E. Anderson} et al., Math. Program. 180, No. 1--2 (A), 327--370 (2020; Zbl 1436.90092) Full Text: DOI Link OpenURL
van Ackooij, Wim; Perez-Aros, Pedro Generalized differentiation of probability functions acting on an infinite system of constraints. (English) Zbl 1421.90102 SIAM J. Optim. 29, No. 3, 2179-2210 (2019). MSC: 90C15 PDF BibTeX XML Cite \textit{W. van Ackooij} and \textit{P. Perez-Aros}, SIAM J. Optim. 29, No. 3, 2179--2210 (2019; Zbl 1421.90102) Full Text: DOI OpenURL
Lin, Chuangwei; Zeng, Li; Wu, Huiling Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase. (English) Zbl 1415.91267 J. Ind. Manag. Optim. 15, No. 1, 401-427 (2019). MSC: 91G10 91G80 90C90 PDF BibTeX XML Cite \textit{C. Lin} et al., J. Ind. Manag. Optim. 15, No. 1, 401--427 (2019; Zbl 1415.91267) Full Text: DOI OpenURL
Li, Danping; Young, Virginia R. Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (English) Zbl 1410.91274 Insur. Math. Econ. 87, 143-152 (2019). MSC: 91B30 90C15 35Q91 PDF BibTeX XML Cite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 87, 143--152 (2019; Zbl 1410.91274) Full Text: DOI OpenURL
Asimit, Alexandru V.; Hu, Junlei; Xie, Yuantao Optimal robust insurance with a finite uncertainty set. (English) Zbl 1410.91254 Insur. Math. Econ. 87, 67-81 (2019). MSC: 91B30 90C90 49N90 91G60 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Insur. Math. Econ. 87, 67--81 (2019; Zbl 1410.91254) Full Text: DOI Link OpenURL
van Ackooij, Wim; Malick, Jérôme Eventual convexity of probability constraints with elliptical distributions. (English) Zbl 1421.90101 Math. Program. 175, No. 1-2 (A), 1-27 (2019). MSC: 90C15 90C25 65K10 PDF BibTeX XML Cite \textit{W. van Ackooij} and \textit{J. Malick}, Math. Program. 175, No. 1--2 (A), 1--27 (2019; Zbl 1421.90101) Full Text: DOI HAL OpenURL
Kara, Güray; Özmen, Ayşe; Weber, Gerhard-Wilhelm Stability advances in robust portfolio optimization under parallelepiped uncertainty. (English) Zbl 07024048 CEJOR, Cent. Eur. J. Oper. Res. 27, No. 1, 241-261 (2019). MSC: 90Bxx PDF BibTeX XML Cite \textit{G. Kara} et al., CEJOR, Cent. Eur. J. Oper. Res. 27, No. 1, 241--261 (2019; Zbl 07024048) Full Text: DOI OpenURL
Tahmasebi, S.; Daneshi, S. Measures of inaccuracy in record values. (English) Zbl 07527155 Commun. Stat., Theory Methods 47, No. 24, 6002-6018 (2018). MSC: 62N05 90B25 62-XX PDF BibTeX XML Cite \textit{S. Tahmasebi} and \textit{S. Daneshi}, Commun. Stat., Theory Methods 47, No. 24, 6002--6018 (2018; Zbl 07527155) Full Text: DOI OpenURL
Ma, Ni; Whitt, Ward A rare-event simulation algorithm for periodic single-server queues. (English) Zbl 1446.90063 INFORMS J. Comput. 30, No. 1, 71-89 (2018). MSC: 90B22 60K20 60J65 PDF BibTeX XML Cite \textit{N. Ma} and \textit{W. Whitt}, INFORMS J. Comput. 30, No. 1, 71--89 (2018; Zbl 1446.90063) Full Text: DOI Link OpenURL
Crespo, Luis G.; Kenny, Sean P.; Giesy, Daniel P.; Stanford, Bret K. Random variables with moment-matching staircase density functions. (English) Zbl 1480.62061 Appl. Math. Modelling 64, 196-213 (2018). MSC: 62F30 62G05 90C25 90C90 PDF BibTeX XML Cite \textit{L. G. Crespo} et al., Appl. Math. Modelling 64, 196--213 (2018; Zbl 1480.62061) Full Text: DOI Link OpenURL
Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry Optimal dividend strategies of two collaborating businesses in the diffusion approximation model. (English) Zbl 1435.91151 Math. Oper. Res. 43, No. 2, 377-398 (2018). MSC: 91G05 60H30 90B50 PDF BibTeX XML Cite \textit{J.-W. Gu} et al., Math. Oper. Res. 43, No. 2, 377--398 (2018; Zbl 1435.91151) Full Text: DOI Link OpenURL
Pang, Tao; Karan, Cagatay A closed-form solution of the Black-Litterman model with conditional value at risk. (English) Zbl 07064430 Oper. Res. Lett. 46, No. 1, 103-108 (2018). MSC: 90-XX PDF BibTeX XML Cite \textit{T. Pang} and \textit{C. Karan}, Oper. Res. Lett. 46, No. 1, 103--108 (2018; Zbl 07064430) Full Text: DOI OpenURL
Guo, Chang; Zhuo, Xiaoyang; Constantinescu, Corina; Pamen, Olivier Menoukeu Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation. (English) Zbl 1411.91281 Methodol. Comput. Appl. Probab. 20, No. 4, 1477-1502 (2018). MSC: 91B30 49L20 90C39 91G80 91G30 PDF BibTeX XML Cite \textit{C. Guo} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1477--1502 (2018; Zbl 1411.91281) Full Text: DOI OpenURL
Zhang, Jiahua; Fang, Shu-Cherng; Xu, Yifan Inventory centralization with risk-averse newsvendors. (English) Zbl 1405.90024 Ann. Oper. Res. 268, No. 1-2, 215-237 (2018). MSC: 90B05 91B30 91A12 PDF BibTeX XML Cite \textit{J. Zhang} et al., Ann. Oper. Res. 268, No. 1--2, 215--237 (2018; Zbl 1405.90024) Full Text: DOI OpenURL
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; Mercuri, Lorenzo Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. (English) Zbl 1483.91183 Comput. Manag. Sci. 15, No. 3-4, 599-632 (2018). MSC: 91G05 90C15 90C39 PDF BibTeX XML Cite \textit{G. Consigli} et al., Comput. Manag. Sci. 15, No. 3--4, 599--632 (2018; Zbl 1483.91183) Full Text: DOI Link OpenURL
Amini-Seresht, Ebrahim; Zhang, Yiying; Balakrishnan, Narayanaswamy Stochastic comparisons of coherent systems under different random environments. (English) Zbl 1403.90256 J. Appl. Probab. 55, No. 2, 459-472 (2018). MSC: 90B25 60E15 60K10 PDF BibTeX XML Cite \textit{E. Amini-Seresht} et al., J. Appl. Probab. 55, No. 2, 459--472 (2018; Zbl 1403.90256) Full Text: DOI OpenURL
Li, Danping; Zeng, Yan; Yang, Hailiang Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. (English) Zbl 1416.91203 Scand. Actuar. J. 2018, No. 2, 145-171 (2018). MSC: 91B30 60J75 90C39 90C15 PDF BibTeX XML Cite \textit{D. Li} et al., Scand. Actuar. J. 2018, No. 2, 145--171 (2018; Zbl 1416.91203) Full Text: DOI OpenURL
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine Conditional risk measures in a bipartite market structure. (English) Zbl 1416.91194 Scand. Actuar. J. 2018, No. 4, 328-355 (2018). MSC: 91B30 91G70 62G32 90B10 05C90 PDF BibTeX XML Cite \textit{O. Kley} et al., Scand. Actuar. J. 2018, No. 4, 328--355 (2018; Zbl 1416.91194) Full Text: DOI arXiv OpenURL
Shen, Yang; Sherris, Michael Lifetime asset allocation with idiosyncratic and systematic mortality risks. (English) Zbl 1416.91221 Scand. Actuar. J. 2018, No. 4, 294-327 (2018). MSC: 91B30 90C39 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{M. Sherris}, Scand. Actuar. J. 2018, No. 4, 294--327 (2018; Zbl 1416.91221) Full Text: DOI OpenURL
Kong, Dezhou; Liu, Lishan; Wu, Yonghong Optimal reinsurance under risk and uncertainty on Orlicz hearts. (English) Zbl 1416.91196 Insur. Math. Econ. 81, 108-116 (2018). MSC: 91B30 90C48 90C46 PDF BibTeX XML Cite \textit{D. Kong} et al., Insur. Math. Econ. 81, 108--116 (2018; Zbl 1416.91196) Full Text: DOI OpenURL
Burkschat, M.; Navarro, J. Stochastic comparisons of systems based on sequential order statistics via properties of distorted distributions. (English) Zbl 1411.60031 Probab. Eng. Inf. Sci. 32, No. 2, 246-274 (2018). MSC: 60E15 62G30 62N05 90B25 PDF BibTeX XML Cite \textit{M. Burkschat} and \textit{J. Navarro}, Probab. Eng. Inf. Sci. 32, No. 2, 246--274 (2017; Zbl 1411.60031) Full Text: DOI OpenURL
Collado, Ricardo; Meisel, Stephan; Priekule, Laura Risk-averse stochastic path detection. (English) Zbl 1402.90064 Eur. J. Oper. Res. 260, No. 1, 195-211 (2017). MSC: 90B40 90B15 90C39 PDF BibTeX XML Cite \textit{R. Collado} et al., Eur. J. Oper. Res. 260, No. 1, 195--211 (2017; Zbl 1402.90064) Full Text: DOI OpenURL
Asimit, Alexandru V.; Bignozzi, Valeria; Cheung, Ka Chun; Hu, Junlei; Kim, Eun-Seok Robust and Pareto optimality of insurance contracts. (English) Zbl 1376.91097 Eur. J. Oper. Res. 262, No. 2, 720-732 (2017). MSC: 91B30 90C29 91G70 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Eur. J. Oper. Res. 262, No. 2, 720--732 (2017; Zbl 1376.91097) Full Text: DOI OpenURL
Navarro, Jorge; del Águila, Yolanda Stochastic comparisons of distorted distributions, coherent systems and mixtures with ordered components. (English) Zbl 1416.62445 Metrika 80, No. 6-8, 627-648 (2017). MSC: 62K10 60E15 90B25 PDF BibTeX XML Cite \textit{J. Navarro} and \textit{Y. del Águila}, Metrika 80, No. 6--8, 627--648 (2017; Zbl 1416.62445) Full Text: DOI OpenURL
He, Lin; Liang, Zongxia Optimal pension decision under heterogeneous health statuses and bequest motives. (English) Zbl 1373.90067 J. Ind. Manag. Optim. 13, No. 4, 1641-1659 (2017). MSC: 90B50 91G10 91B30 PDF BibTeX XML Cite \textit{L. He} and \textit{Z. Liang}, J. Ind. Manag. Optim. 13, No. 4, 1641--1659 (2017; Zbl 1373.90067) Full Text: DOI OpenURL
Zhao, Hui; Weng, ChengGuo; Shen, Yang; Zeng, Yan Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. (English) Zbl 1367.60088 Sci. China, Math. 60, No. 2, 317-344 (2017). MSC: 60H30 60H10 91B30 91G80 90C39 PDF BibTeX XML Cite \textit{H. Zhao} et al., Sci. China, Math. 60, No. 2, 317--344 (2017; Zbl 1367.60088) Full Text: DOI OpenURL
Meng, Qing-bin; Zhang, Xin; Bi, Jun-na On optimal proportional reinsurance and investment in a hidden Markov financial market. (English) Zbl 1409.91141 Acta Math. Appl. Sin., Engl. Ser. 33, No. 1, 53-62 (2017). MSC: 91B30 60J20 90C39 PDF BibTeX XML Cite \textit{Q.-b. Meng} et al., Acta Math. Appl. Sin., Engl. Ser. 33, No. 1, 53--62 (2017; Zbl 1409.91141) Full Text: DOI OpenURL
Vernic, Raluca Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model. (English) Zbl 1429.91285 Fuzzy Optim. Decis. Mak. 15, No. 2, 195-217 (2016). MSC: 91G05 90C70 91G10 PDF BibTeX XML Cite \textit{R. Vernic}, Fuzzy Optim. Decis. Mak. 15, No. 2, 195--217 (2016; Zbl 1429.91285) Full Text: DOI OpenURL
Zhou, Yijia; Yang, Li; Xu, Lijun; Yu, Bo Inseparable robust reward-risk optimization models with distribution uncertainty. (English) Zbl 1370.90184 Japan J. Ind. Appl. Math. 33, No. 3, 767-780 (2016). MSC: 90C25 90C90 91G10 PDF BibTeX XML Cite \textit{Y. Zhou} et al., Japan J. Ind. Appl. Math. 33, No. 3, 767--780 (2016; Zbl 1370.90184) Full Text: DOI OpenURL
Mizgier, Kamil J.; Pasia, Joseph M. Multiobjective optimization of credit capital allocation in financial institutions. (English) Zbl 1358.90128 CEJOR, Cent. Eur. J. Oper. Res. 24, No. 4, 801-817 (2016). MSC: 90C29 91B32 91G40 91B30 PDF BibTeX XML Cite \textit{K. J. Mizgier} and \textit{J. M. Pasia}, CEJOR, Cent. Eur. J. Oper. Res. 24, No. 4, 801--817 (2016; Zbl 1358.90128) Full Text: DOI OpenURL
Kromer, E.; Overbeck, L.; Zilch, K. Systemic risk measures on general measurable spaces. (English) Zbl 1371.91200 Math. Methods Oper. Res. 84, No. 2, 323-357 (2016). MSC: 91G99 90B10 46N10 PDF BibTeX XML Cite \textit{E. Kromer} et al., Math. Methods Oper. Res. 84, No. 2, 323--357 (2016; Zbl 1371.91200) Full Text: DOI OpenURL
Godínez-Olivares, Humberto; Boado-Penas, María del Carmen; Haberman, Steven Optimal strategies for pay-as-you-go pension finance: a sustainability framework. (English) Zbl 1369.91085 Insur. Math. Econ. 69, 117-126 (2016). MSC: 91B30 90C30 91D20 PDF BibTeX XML Cite \textit{H. Godínez-Olivares} et al., Insur. Math. Econ. 69, 117--126 (2016; Zbl 1369.91085) Full Text: DOI Link OpenURL
Navarro, Jorge; del Águila, Yolanda; Sordo, Miguel A.; Suárez-Llorens, Alfonso Preservation of stochastic orders under the formation of generalized distorted distributions. Applications to coherent systems. (English) Zbl 1371.60046 Methodol. Comput. Appl. Probab. 18, No. 2, 529-545 (2016). MSC: 60E15 62K10 90B25 PDF BibTeX XML Cite \textit{J. Navarro} et al., Methodol. Comput. Appl. Probab. 18, No. 2, 529--545 (2016; Zbl 1371.60046) Full Text: DOI OpenURL
Kwon, Roy H.; Li, Jonathan Y. A stochastic semidefinite programming approach for bounds on option pricing under regime switching. (English) Zbl 1336.91077 Ann. Oper. Res. 237, No. 1-2, 41-75 (2016). MSC: 91G20 90C15 90C22 PDF BibTeX XML Cite \textit{R. H. Kwon} and \textit{J. Y. Li}, Ann. Oper. Res. 237, No. 1--2, 41--75 (2016; Zbl 1336.91077) Full Text: DOI 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
Wang, Weijia; Hu, Jie; Dong, Ning A convex-risk-measure based model and genetic algorithm for portfolio selection. (English) Zbl 1395.91425 Math. Probl. Eng. 2015, Article ID 451627, 8 p. (2015). MSC: 91G10 90C90 91B30 PDF BibTeX XML Cite \textit{W. Wang} et al., Math. Probl. Eng. 2015, Article ID 451627, 8 p. (2015; Zbl 1395.91425) Full Text: DOI OpenURL
Bäuerle, Nicole; Jaśkiewicz, Anna Risk-sensitive dividend problems. (English) Zbl 1341.91087 Eur. J. Oper. Res. 242, No. 1, 161-171 (2015). MSC: 91B30 60J05 90C40 91B16 91G80 PDF BibTeX XML Cite \textit{N. Bäuerle} and \textit{A. Jaśkiewicz}, Eur. J. Oper. Res. 242, No. 1, 161--171 (2015; Zbl 1341.91087) Full Text: DOI arXiv OpenURL
Pang, Li-Ping; Chen, Shuang; Wang, Jin-He Risk management in portfolio applications of non-convex stochastic programming. (English) Zbl 1338.91135 Appl. Math. Comput. 258, 565-575 (2015). MSC: 91G10 90C15 91B30 PDF BibTeX XML Cite \textit{L.-P. Pang} et al., Appl. Math. Comput. 258, 565--575 (2015; Zbl 1338.91135) Full Text: DOI OpenURL
Iancu, Dan A.; Petrik, Marek; Subramanian, Dharmashankar Tight approximations of dynamic risk measures. (English) Zbl 1410.91269 Math. Oper. Res. 40, No. 3, 655-682 (2015). MSC: 91B30 52B40 90C27 91B06 PDF BibTeX XML Cite \textit{D. A. Iancu} et al., Math. Oper. Res. 40, No. 3, 655--682 (2015; Zbl 1410.91269) Full Text: DOI arXiv OpenURL
Chen, Xu; Yang, Xiang-qun Optimal consumption and investment problem with random horizon in a BMAP model. (English) Zbl 1314.91192 Insur. Math. Econ. 61, 197-205 (2015). MSC: 91G10 60K20 90C40 PDF BibTeX XML Cite \textit{X. Chen} and \textit{X.-q. Yang}, Insur. Math. Econ. 61, 197--205 (2015; Zbl 1314.91192) Full Text: DOI OpenURL
A, Chunxiang; Li, Zhongfei Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model. (English) Zbl 1314.91128 Insur. Math. Econ. 61, 181-196 (2015). MSC: 91B30 60H30 90C90 PDF BibTeX XML Cite \textit{C. A} and \textit{Z. Li}, Insur. Math. Econ. 61, 181--196 (2015; Zbl 1314.91128) Full Text: DOI OpenURL
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio Optimal reinsurance under risk and uncertainty. (English) Zbl 1308.91075 Insur. Math. Econ. 60, 61-74 (2015). MSC: 91B30 90C05 90C46 90C48 PDF BibTeX XML Cite \textit{A. Balbás} et al., Insur. Math. Econ. 60, 61--74 (2015; Zbl 1308.91075) Full Text: DOI Link OpenURL
François, Pascal; Gauthier, Geneviève; Godin, Frédéric Optimal hedging when the underlying asset follows a regime-switching Markov process. (English) Zbl 1304.91249 Eur. J. Oper. Res. 237, No. 1, 312-322 (2014). MSC: 91G80 91G20 90C15 90C39 PDF BibTeX XML Cite \textit{P. François} et al., Eur. J. Oper. Res. 237, No. 1, 312--322 (2014; Zbl 1304.91249) Full Text: DOI Link OpenURL
Chu, Shanyun; Zhang, Yi Markov decision processes with iterated coherent risk measures. (English) Zbl 1308.93222 Int. J. Control 87, No. 11, 2286-2293 (2014). MSC: 93E20 49L20 90C40 PDF BibTeX XML Cite \textit{S. Chu} and \textit{Y. Zhang}, Int. J. Control 87, No. 11, 2286--2293 (2014; Zbl 1308.93222) Full Text: DOI OpenURL
Guan, Huiqi; Liang, Zongxia Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs. (English) Zbl 1291.91111 Insur. Math. Econ. 54, 109-122 (2014). MSC: 91B30 93E20 65K10 49L25 90C39 PDF BibTeX XML Cite \textit{H. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 54, 109--122 (2014; Zbl 1291.91111) Full Text: DOI OpenURL
Christou, Ioannis T.; Vassilaras, Spyridon A parallel hybrid greedy branch and bound scheme for the maximum distance-2 matching problem. (English) Zbl 1348.90592 Comput. Oper. Res. 40, No. 10, 2387-2397 (2013). MSC: 90C35 05C85 05C12 05C70 90C57 PDF BibTeX XML Cite \textit{I. T. Christou} and \textit{S. Vassilaras}, Comput. Oper. Res. 40, No. 10, 2387--2397 (2013; Zbl 1348.90592) Full Text: DOI OpenURL
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (English) Zbl 1290.91103 Insur. Math. Econ. 53, No. 3, 601-614 (2013). MSC: 91B30 91B70 91G30 60J65 90C15 PDF BibTeX XML Cite \textit{B. Yi} et al., Insur. Math. Econ. 53, No. 3, 601--614 (2013; Zbl 1290.91103) Full Text: DOI Link OpenURL
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki Optimal investment-reinsurance with dynamic risk constraint and regime switching. (English) Zbl 1280.91093 Scand. Actuar. J. 2013, No. 4, 263-285 (2013). MSC: 91B30 62P05 62M02 90C90 PDF BibTeX XML Cite \textit{J. Liu} et al., Scand. Actuar. J. 2013, No. 4, 263--285 (2013; Zbl 1280.91093) Full Text: DOI OpenURL
Shi, Junmin; Katehakis, Michael N.; Melamed, Benjamin Martingale methods for pricing inventory penalties under continuous replenishment and compound renewal demands. (English) Zbl 1274.90029 Ann. Oper. Res. 208, 593-612 (2013). MSC: 90B05 91B24 PDF BibTeX XML Cite \textit{J. Shi} et al., Ann. Oper. Res. 208, 593--612 (2013; Zbl 1274.90029) Full Text: DOI OpenURL
Belzunce, Félix; Mulero, Julio; Ruiz, José M.; Suárez-Llorens, Alfonso New multivariate orderings based on conditional distributions. (English) Zbl 1291.60038 Appl. Stoch. Models Bus. Ind. 28, No. 5, 467-484 (2012). MSC: 60E15 90B25 PDF BibTeX XML Cite \textit{F. Belzunce} et al., Appl. Stoch. Models Bus. Ind. 28, No. 5, 467--484 (2012; Zbl 1291.60038) Full Text: DOI OpenURL
Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang Asset allocation under threshold autoregressive models. (English) Zbl 1286.91127 Appl. Stoch. Models Bus. Ind. 28, No. 1, 60-72 (2012). MSC: 91G10 91B84 90C39 93E20 62M10 PDF BibTeX XML Cite \textit{N. Song} et al., Appl. Stoch. Models Bus. Ind. 28, No. 1, 60--72 (2012; Zbl 1286.91127) Full Text: DOI OpenURL
Huang, Pu; Subramanian, Dharmashankar Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints. (English) Zbl 1282.90112 Comput. Manag. Sci. 9, No. 4, 441-458 (2012). MSC: 90C15 91G10 PDF BibTeX XML Cite \textit{P. Huang} and \textit{D. Subramanian}, Comput. Manag. Sci. 9, No. 4, 441--458 (2012; Zbl 1282.90112) Full Text: DOI Link OpenURL
Shaked, Moshe; Sordo, Miguel A.; Suárez-Llorens, Alfonso Global dependence stochastic orders. (English) Zbl 1259.60026 Methodol. Comput. Appl. Probab. 14, No. 3, 617-648 (2012). MSC: 60E15 91B26 90B25 60K10 PDF BibTeX XML Cite \textit{M. Shaked} et al., Methodol. Comput. Appl. Probab. 14, No. 3, 617--648 (2012; Zbl 1259.60026) Full Text: DOI OpenURL
Kountzakis, Christos E. Restricted coherent risk measures and actuarial solvency. (English) Zbl 1254.91270 Adv. Decis. Sci. 2012, Article ID 350765, 18 p. (2012). MSC: 91B30 90B90 PDF BibTeX XML Cite \textit{C. E. Kountzakis}, Adv. Decis. Sci. 2012, Article ID 350765, 18 p. (2012; Zbl 1254.91270) Full Text: DOI OpenURL
Li, Jonathan Y.; Kim, Michael Jong; Kwon, Roy H. A moment approach to bounding exotic options under regime switching. (English) Zbl 1259.91083 Optimization 61, No. 10, 1253-1269 (2012). MSC: 91G20 90C22 PDF BibTeX XML Cite \textit{J. Y. Li} et al., Optimization 61, No. 10, 1253--1269 (2012; Zbl 1259.91083) Full Text: DOI OpenURL
Cheung, Eric C. K.; Landriault, David On a risk model with surplus-dependent premium and tax rates. (English) Zbl 1260.91120 Methodol. Comput. Appl. Probab. 14, No. 2, 233-251 (2012). MSC: 91B30 60G55 60J75 90B05 PDF BibTeX XML Cite \textit{E. C. K. Cheung} and \textit{D. Landriault}, Methodol. Comput. Appl. Probab. 14, No. 2, 233--251 (2012; Zbl 1260.91120) Full Text: DOI OpenURL
Owadally, Iqbal An improved closed-form solution for the constrained minimization of the root of a quadratic functional. (English) Zbl 1250.90088 J. Comput. Appl. Math. 236, No. 17, 4428-4435 (2012). MSC: 90C30 91G80 91G10 PDF BibTeX XML Cite \textit{I. Owadally}, J. Comput. Appl. Math. 236, No. 17, 4428--4435 (2012; Zbl 1250.90088) Full Text: DOI OpenURL
van Gulick, Gerwald; De Waegenaere, Anja; Norde, Henk Excess based allocation of risk capital. (English) Zbl 1238.91141 Insur. Math. Econ. 50, No. 1, 26-42 (2012). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G50 91G10 90C05 PDF BibTeX XML Cite \textit{G. van Gulick} et al., Insur. Math. Econ. 50, No. 1, 26--42 (2012; Zbl 1238.91141) Full Text: DOI Link OpenURL
Hellmich, Martin; Kassberger, Stefan Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework. (English) Zbl 1258.91197 Quant. Finance 11, No. 10, 1503-1516 (2011). MSC: 91G10 91B30 90C90 62P05 PDF BibTeX XML Cite \textit{M. Hellmich} and \textit{S. Kassberger}, Quant. Finance 11, No. 10, 1503--1516 (2011; Zbl 1258.91197) Full Text: DOI OpenURL
Yao, Dingjun; Yang, Hailiang; Wang, Rongming Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs. (English) Zbl 1237.91143 Eur. J. Oper. Res. 211, No. 3, 568-576 (2011). MSC: 91B30 93E20 90C33 PDF BibTeX XML Cite \textit{D. Yao} et al., Eur. J. Oper. Res. 211, No. 3, 568--576 (2011; Zbl 1237.91143) Full Text: DOI OpenURL
Cheung, Eric C. K. On a class of stochastic models with two-sided jumps. (English) Zbl 1235.60126 Queueing Syst. 69, No. 1, 1-28 (2011). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60K25 60K15 90B22 91B30 60J75 PDF BibTeX XML Cite \textit{E. C. K. Cheung}, Queueing Syst. 69, No. 1, 1--28 (2011; Zbl 1235.60126) Full Text: DOI OpenURL
Wong, Hoi Ying; Zhao, Jing Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process. (English) Zbl 1231.91044 J. Comput. Appl. Math. 236, No. 2, 150-166 (2011). Reviewer: Antoine Jacquier (London) MSC: 91A43 68Q17 90B18 PDF BibTeX XML Cite \textit{H. Y. Wong} and \textit{J. Zhao}, J. Comput. Appl. Math. 236, No. 2, 150--166 (2011; Zbl 1231.91044) Full Text: DOI OpenURL
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi Conditional value-at-risk in portfolio optimization: coherent but fragile. (English) Zbl 1219.91130 Oper. Res. Lett. 39, No. 3, 163-171 (2011). MSC: 91G10 91G70 90C90 PDF BibTeX XML Cite \textit{A. E. B. Lim} et al., Oper. Res. Lett. 39, No. 3, 163--171 (2011; Zbl 1219.91130) Full Text: DOI OpenURL
Artikis, Constantinos T.; Artikis, Panagiotis T.; Agorastos, Kostas Properties and management applications of a modified stochastic discounting model. (English) Zbl 1231.91139 J. Interdiscip. Math. 13, No. 6, 661-672 (2010). MSC: 91B30 90B50 PDF BibTeX XML Cite \textit{C. T. Artikis} et al., J. Interdiscip. Math. 13, No. 6, 661--672 (2010; Zbl 1231.91139) Full Text: DOI Link OpenURL
Artikis, Panagiotis T.; Artikis, Constantinos T.; Agorastos, Kostas Incorporating concepts of extreme value theory in formulating a discounting model for making optimal decisions in competing risks management. (English) Zbl 1208.91059 J. Interdiscip. Math. 13, No. 1, 113-124 (2010). MSC: 91B30 90B50 60G70 62G32 PDF BibTeX XML Cite \textit{P. T. Artikis} et al., J. Interdiscip. Math. 13, No. 1, 113--124 (2010; Zbl 1208.91059) Full Text: DOI OpenURL
Natarajan, Karthik; Sim, Melvyn; Uichanco, Joline Tractable robust expected utility and risk models for portfolio optimization. (English) Zbl 1232.91633 Math. Finance 20, No. 4, 695-731 (2010). MSC: 91G10 91B16 93E20 90C25 PDF BibTeX XML Cite \textit{K. Natarajan} et al., Math. Finance 20, No. 4, 695--731 (2010; Zbl 1232.91633) Full Text: DOI Link OpenURL
Fabozzi, Frank J.; Huang, Dashan; Zhou, Guofu Robust portfolios: contributions from operations research and finance. (English) Zbl 1233.91243 Ann. Oper. Res. 176, 191-220 (2010). MSC: 91G10 91B30 90B50 62P05 PDF BibTeX XML Cite \textit{F. J. Fabozzi} et al., Ann. Oper. Res. 176, 191--220 (2010; Zbl 1233.91243) Full Text: DOI Link OpenURL
Chen, Hua; Cox, Samuel H. An option-based operational risk management model for pandemics. (English) Zbl 1483.91057 N. Am. Actuar. J. 13, No. 1, 54-76 (2009). MSC: 91B05 92D30 91G20 90C39 PDF BibTeX XML Cite \textit{H. Chen} and \textit{S. H. Cox}, N. Am. Actuar. J. 13, No. 1, 54--76 (2009; Zbl 1483.91057) Full Text: DOI OpenURL
Artikis, Panagiotis T.; Artikis, Constantinos T. Discounted minimum of a random number of random variables in replacement of computer systems. (English) Zbl 1230.90075 J. Inf. Optim. Sci. 30, No. 5, 887-897 (2009). MSC: 90B25 PDF BibTeX XML Cite \textit{P. T. Artikis} and \textit{C. T. Artikis}, J. Inf. Optim. Sci. 30, No. 5, 887--897 (2009; Zbl 1230.90075) Full Text: DOI OpenURL
Alvarez, Luis H. R.; Rakkolainen, Teppo A. Optimal payout policy in presence of downside risk. (English) Zbl 1189.90104 Math. Methods Oper. Res. 69, No. 1, 27-58 (2009). MSC: 90C15 PDF BibTeX XML Cite \textit{L. H. R. Alvarez} and \textit{T. A. Rakkolainen}, Math. Methods Oper. Res. 69, No. 1, 27--58 (2009; Zbl 1189.90104) Full Text: DOI OpenURL
Vellaisamy, P.; Upadhye, N. S. On the sums of compound negative binomial and gamma random variables. (English) Zbl 1161.60303 J. Appl. Probab. 46, No. 1, 272-283 (2009). MSC: 60E05 62E15 90B25 PDF BibTeX XML Cite \textit{P. Vellaisamy} and \textit{N. S. Upadhye}, J. Appl. Probab. 46, No. 1, 272--283 (2009; Zbl 1161.60303) Full Text: DOI OpenURL
Kozhan, Roman; Schmid, Wolfgang Asset allocation with distorted beliefs and transaction costs. (English) Zbl 1158.91382 Eur. J. Oper. Res. 194, No. 1, 236-249 (2009). MSC: 91G10 90C15 PDF BibTeX XML Cite \textit{R. Kozhan} and \textit{W. Schmid}, Eur. J. Oper. Res. 194, No. 1, 236--249 (2009; Zbl 1158.91382) Full Text: DOI OpenURL
Landsman, Zinoviy Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management. (English) Zbl 1152.65067 J. Comput. Appl. Math. 220, No. 1-2, 739-748 (2008). Reviewer: Maciek Korzec (Berlin) MSC: 65K05 90C25 91G10 PDF BibTeX XML Cite \textit{Z. Landsman}, J. Comput. Appl. Math. 220, No. 1--2, 739--748 (2008; Zbl 1152.65067) Full Text: DOI OpenURL
Menoncin, Francesco The role of longevity bonds in optimal portfolios. (English) Zbl 1141.91537 Insur. Math. Econ. 42, No. 1, 343-358 (2008). MSC: 91B30 91B28 90C39 PDF BibTeX XML Cite \textit{F. Menoncin}, Insur. Math. Econ. 42, No. 1, 343--358 (2008; Zbl 1141.91537) Full Text: DOI OpenURL
Landsman, Zinoviy Minimization of the root of a quadratic functional under an affine equality constraint. (English) Zbl 1158.65324 J. Comput. Appl. Math. 216, No. 2, 319-327 (2008). MSC: 65K05 90C25 91G60 PDF BibTeX XML Cite \textit{Z. Landsman}, J. Comput. Appl. Math. 216, No. 2, 319--327 (2008; Zbl 1158.65324) Full Text: DOI OpenURL