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
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
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
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
Li, Bohan; Guo, Junyi Optimal investment and reinsurance under the gamma process. (English) Zbl 1480.91220 Methodol. Comput. Appl. Probab. 23, No. 3, 893-923 (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G80 49L20 91B16 PDF BibTeX XML Cite \textit{B. Li} and \textit{J. Guo}, Methodol. Comput. Appl. Probab. 23, No. 3, 893--923 (2021; Zbl 1480.91220) 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
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M. Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment. (English) Zbl 1455.91217 Methodol. Comput. Appl. Probab. 22, No. 3, 927-948 (2020). MSC: 91G05 60G55 60J28 PDF BibTeX XML Cite \textit{G. A. Delsing} et al., Methodol. Comput. Appl. Probab. 22, No. 3, 927--948 (2020; Zbl 1455.91217) Full Text: DOI arXiv OpenURL
Zhang, Qiang; Chen, Ping Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps. (English) Zbl 1459.91169 Methodol. Comput. Appl. Probab. 22, No. 2, 777-801 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 49L20 60H30 60J74 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, Methodol. Comput. Appl. Probab. 22, No. 2, 777--801 (2020; Zbl 1459.91169) Full Text: DOI OpenURL
Lefèvre, Claude; Simon, Matthieu SIR-type epidemic models as block-structured Markov processes. (English) Zbl 1448.92314 Methodol. Comput. Appl. Probab. 22, No. 2, 433-453 (2020). MSC: 92D30 60J28 PDF BibTeX XML Cite \textit{C. Lefèvre} and \textit{M. Simon}, Methodol. Comput. Appl. Probab. 22, No. 2, 433--453 (2020; Zbl 1448.92314) Full Text: DOI OpenURL
Bareche, Aicha; Cherfaoui, Mouloud Sensitivity of the stability bound for ruin probabilities to claim distributions. (English) Zbl 1437.91459 Methodol. Comput. Appl. Probab. 21, No. 4, 1259-1281 (2019). MSC: 91G70 91G05 62G32 PDF BibTeX XML Cite \textit{A. Bareche} and \textit{M. Cherfaoui}, Methodol. Comput. Appl. Probab. 21, No. 4, 1259--1281 (2019; Zbl 1437.91459) 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
Blanchet-Scalliet, Christophette; Dorobantu, Diana; Salhi, Yahia A model-point approach to indifference pricing of life insurance portfolios with dependent lives. (English) Zbl 1429.91276 Methodol. Comput. Appl. Probab. 21, No. 2, 423-448 (2019). MSC: 91G05 62P05 60H10 PDF BibTeX XML Cite \textit{C. Blanchet-Scalliet} et al., Methodol. Comput. Appl. Probab. 21, No. 2, 423--448 (2019; Zbl 1429.91276) Full Text: DOI HAL 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
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
Ansari, Jonathan; Rüschendorf, Ludger Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models. (English) Zbl 1402.60021 Methodol. Comput. Appl. Probab. 20, No. 3, 817-838 (2018). MSC: 60E15 62P05 91B30 91G20 PDF BibTeX XML Cite \textit{J. Ansari} and \textit{L. Rüschendorf}, Methodol. Comput. Appl. Probab. 20, No. 3, 817--838 (2018; Zbl 1402.60021) Full Text: DOI OpenURL
Chen, Zhiping; Hu, Qianhui On coherent risk measures induced by convex risk measures. (English) Zbl 1396.91809 Methodol. Comput. Appl. Probab. 20, No. 2, 673-698 (2018). MSC: 91G70 91B30 91G10 PDF BibTeX XML Cite \textit{Z. Chen} and \textit{Q. Hu}, Methodol. Comput. Appl. Probab. 20, No. 2, 673--698 (2018; Zbl 1396.91809) Full Text: DOI OpenURL
Kayal, Suchandan On weighted generalized cumulative residual entropy of order \(n\). (English) Zbl 1393.94657 Methodol. Comput. Appl. Probab. 20, No. 2, 487-503 (2018). MSC: 94A17 62N05 60E15 PDF BibTeX XML Cite \textit{S. Kayal}, Methodol. Comput. Appl. Probab. 20, No. 2, 487--503 (2018; Zbl 1393.94657) 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
Dendievel, Sarah; Latouche, Guy Approximations for time-dependent distributions in Markovian fluid models. (English) Zbl 1360.60145 Methodol. Comput. Appl. Probab. 19, No. 1, 285-309 (2017). MSC: 60J25 60G50 65C50 PDF BibTeX XML Cite \textit{S. Dendievel} and \textit{G. Latouche}, Methodol. Comput. Appl. Probab. 19, No. 1, 285--309 (2017; Zbl 1360.60145) Full Text: DOI arXiv 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
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
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
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng A reduced-form model for correlated defaults with regime-switching shot noise intensities. (English) Zbl 1343.60117 Methodol. Comput. Appl. Probab. 18, No. 2, 459-486 (2016). MSC: 60J28 60J27 60H30 60H10 60G55 91G40 91G80 60G46 PDF BibTeX XML Cite \textit{Y. Dong} et al., Methodol. Comput. Appl. Probab. 18, No. 2, 459--486 (2016; Zbl 1343.60117) Full Text: DOI 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
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
Psarrakos, Georgios On the integrated tail of the deficit in the renewal risk model. (English) Zbl 1319.60171 Methodol. Comput. Appl. Probab. 17, No. 2, 497-513 (2015). MSC: 60K05 91B30 PDF BibTeX XML Cite \textit{G. Psarrakos}, Methodol. Comput. Appl. Probab. 17, No. 2, 497--513 (2015; Zbl 1319.60171) Full Text: DOI OpenURL
Wang, Wei The perturbed Sparre Andersen model with interest and a threshold dividend strategy. (English) Zbl 1334.60127 Methodol. Comput. Appl. Probab. 17, No. 2, 251-283 (2015). MSC: 60H30 60H10 60J60 60K10 60K05 91B30 35R09 PDF BibTeX XML Cite \textit{W. Wang}, Methodol. Comput. Appl. Probab. 17, No. 2, 251--283 (2015; Zbl 1334.60127) Full Text: DOI OpenURL
Dong, Yinghui; Wang, Guojing; Yuen, Kam C. Bilateral counterparty risk valuation on a CDS with a common shock model. (English) Zbl 1307.91185 Methodol. Comput. Appl. Probab. 16, No. 3, 643-673 (2014). MSC: 91G40 91G20 60H30 60J27 PDF BibTeX XML Cite \textit{Y. Dong} et al., Methodol. Comput. Appl. Probab. 16, No. 3, 643--673 (2014; Zbl 1307.91185) Full Text: DOI OpenURL
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen An insurance risk model with Parisian implementation delays. (English) Zbl 1319.60098 Methodol. Comput. Appl. Probab. 16, No. 3, 583-607 (2014). Reviewer: Tamás Mátrai (Budapest) MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{D. Landriault} et al., Methodol. Comput. Appl. Probab. 16, No. 3, 583--607 (2014; Zbl 1319.60098) Full Text: DOI Link OpenURL
Feng, Runhuan; Shimizu, Yasutaka On a generalization from ruin to default in a Lévy insurance risk model. (English) Zbl 1307.91096 Methodol. Comput. Appl. Probab. 15, No. 4, 773-802 (2013). MSC: 91B30 60G51 60J45 PDF BibTeX XML Cite \textit{R. Feng} and \textit{Y. Shimizu}, Methodol. Comput. Appl. Probab. 15, No. 4, 773--802 (2013; Zbl 1307.91096) Full Text: DOI 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
Zhang, Zhimin; Yang, Hailiang; Yang, Hu On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. (English) Zbl 1253.91090 Methodol. Comput. Appl. Probab. 14, No. 4, 973-995 (2012). MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{Z. Zhang} et al., Methodol. Comput. Appl. Probab. 14, No. 4, 973--995 (2012; Zbl 1253.91090) 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
Dermitzakis, Vaios; Politis, Konstadinos Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion. (English) Zbl 1242.91090 Methodol. Comput. Appl. Probab. 13, No. 4, 749-761 (2011). MSC: 91B30 60K10 60K05 PDF BibTeX XML Cite \textit{V. Dermitzakis} and \textit{K. Politis}, Methodol. Comput. Appl. Probab. 13, No. 4, 749--761 (2011; Zbl 1242.91090) Full Text: DOI OpenURL
Joe, Harry; Li, Haijun Tail risk of multivariate regular variation. (English) Zbl 1239.62060 Methodol. Comput. Appl. Probab. 13, No. 4, 671-693 (2011). MSC: 62H05 62G32 62H10 62P05 PDF BibTeX XML Cite \textit{H. Joe} and \textit{H. Li}, Methodol. Comput. Appl. Probab. 13, No. 4, 671--693 (2011; Zbl 1239.62060) Full Text: DOI Link OpenURL
Vernic, Raluca Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach. (English) Zbl 1208.60014 Methodol. Comput. Appl. Probab. 13, No. 1, 121-137 (2011). MSC: 60E05 91B30 PDF BibTeX XML Cite \textit{R. Vernic}, Methodol. Comput. Appl. Probab. 13, No. 1, 121--137 (2011; Zbl 1208.60014) Full Text: DOI OpenURL
Yin, Chuancun; Wang, Chunwei The perturbed compound Poisson risk process with investment and debit interest. (English) Zbl 1231.91255 Methodol. Comput. Appl. Probab. 12, No. 3, 391-413 (2010). MSC: 91B30 60K05 91B70 PDF BibTeX XML Cite \textit{C. Yin} and \textit{C. Wang}, Methodol. Comput. Appl. Probab. 12, No. 3, 391--413 (2010; Zbl 1231.91255) Full Text: DOI OpenURL
Denuit, Michel Life anuities with stochastic survival probabilities: A review. (English) Zbl 1170.91409 Methodol. Comput. Appl. Probab. 11, No. 3, 463-489 (2009). MSC: 91B30 62P05 60E15 PDF BibTeX XML Cite \textit{M. Denuit}, Methodol. Comput. Appl. Probab. 11, No. 3, 463--489 (2009; Zbl 1170.91409) Full Text: DOI OpenURL
Kortschak, Dominik; Albrecher, Hansjörg Asymptotic results for the sum of dependent non-identically distributed random variables. (English) Zbl 1171.60348 Methodol. Comput. Appl. Probab. 11, No. 3, 279-306 (2009). MSC: 60G70 60E05 91B30 PDF BibTeX XML Cite \textit{D. Kortschak} and \textit{H. Albrecher}, Methodol. Comput. Appl. Probab. 11, No. 3, 279--306 (2009; Zbl 1171.60348) Full Text: DOI Link OpenURL
Cai, Jun; Feng, Runhuan; Willmot, Gordon E. The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. (English) Zbl 1170.91407 Methodol. Comput. Appl. Probab. 11, No. 3, 401-423 (2009). MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{J. Cai} et al., Methodol. Comput. Appl. Probab. 11, No. 3, 401--423 (2009; Zbl 1170.91407) Full Text: DOI OpenURL
Klebaner, Fima C.; Landsman, Zinoviy Option pricing for log-symmetric distributions of returns. (English) Zbl 1170.91385 Methodol. Comput. Appl. Probab. 11, No. 3, 339-357 (2009). MSC: 91G20 60G35 60G42 PDF BibTeX XML Cite \textit{F. C. Klebaner} and \textit{Z. Landsman}, Methodol. Comput. Appl. Probab. 11, No. 3, 339--357 (2009; Zbl 1170.91385) Full Text: DOI OpenURL
Zhang, Xin On the ruin problem in a Markov-modulated risk model. (English) Zbl 1153.91608 Methodol. Comput. Appl. Probab. 10, No. 2, 225-238 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{X. Zhang}, Methodol. Comput. Appl. Probab. 10, No. 2, 225--238 (2008; Zbl 1153.91608) Full Text: DOI OpenURL
Liu, S. X.; Guo, J. Y. Discrete risk model revisited. (English) Zbl 1098.91074 Methodol. Comput. Appl. Probab. 8, No. 2, 303-313 (2006). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{S. X. Liu} and \textit{J. Y. Guo}, Methodol. Comput. Appl. Probab. 8, No. 2, 303--313 (2006; Zbl 1098.91074) Full Text: DOI OpenURL
Pellerey, Franco; Zucca, Cristina Stochastic bounds for the Sparre Andersen process. (English) Zbl 1092.60035 Methodol. Comput. Appl. Probab. 7, No. 2, 225-247 (2005). Reviewer: Janos Galambos (Philadelphia) MSC: 60K10 60E15 PDF BibTeX XML Cite \textit{F. Pellerey} and \textit{C. Zucca}, Methodol. Comput. Appl. Probab. 7, No. 2, 225--247 (2005; Zbl 1092.60035) Full Text: DOI OpenURL