Jaunė, Eglė; Šiaulys, Jonas Asymptotic risk decomposition for regularly varying distributions with tail dependence. (English) Zbl 07531273 Appl. Math. Comput. 427, Article ID 127164, 13 p. (2022). MSC: 91G05 62P05 60E15 PDF BibTeX XML Cite \textit{E. Jaunė} and \textit{J. Šiaulys}, Appl. Math. Comput. 427, Article ID 127164, 13 p. (2022; Zbl 07531273) Full Text: DOI OpenURL
Zhang, Aili; Chen, Ping; Li, Shuanming; Wang, Wenyuan Risk modelling on liquidations with Lévy processes. (English) Zbl 07426988 Appl. Math. Comput. 412, Article ID 126584, 23 p. (2022). MSC: 60G51 91B05 91G05 PDF BibTeX XML Cite \textit{A. Zhang} et al., Appl. Math. Comput. 412, Article ID 126584, 23 p. (2022; Zbl 07426988) Full Text: DOI arXiv OpenURL
Xie, Jiayi; Zhang, Zhimin Finite-time dividend problems in a Lévy risk model under periodic observation. (English) Zbl 07422832 Appl. Math. Comput. 398, Article ID 125981, 23 p. (2021). MSC: 91Bxx 60Kxx PDF BibTeX XML Cite \textit{J. Xie} and \textit{Z. Zhang}, Appl. Math. Comput. 398, Article ID 125981, 23 p. (2021; Zbl 07422832) Full Text: DOI OpenURL
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming On a class of non-zero-sum stochastic differential dividend games with regime switching. (English) Zbl 07422788 Appl. Math. Comput. 397, Article ID 125956, 18 p. (2021). MSC: 91Bxx PDF BibTeX XML Cite \textit{J. Zhang} et al., Appl. Math. Comput. 397, Article ID 125956, 18 p. (2021; Zbl 07422788) Full Text: DOI OpenURL
Liu, Zhang; Chen, Ping; Hu, Yijun On the dual risk model with diffusion under a mixed dividend strategy. (English) Zbl 07197515 Appl. Math. Comput. 376, Article ID 125115, 19 p. (2020). MSC: 91G05 45K05 PDF BibTeX XML Cite \textit{Z. Liu} et al., Appl. Math. Comput. 376, Article ID 125115, 19 p. (2020; Zbl 07197515) Full Text: DOI OpenURL
Cheung, Eric C. K.; Liu, Haibo; Willmot, Gordon E. Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps. (English) Zbl 1427.91077 Appl. Math. Comput. 331, 358-377 (2018). MSC: 91B05 60K10 91G05 PDF BibTeX XML Cite \textit{E. C. K. Cheung} et al., Appl. Math. Comput. 331, 358--377 (2018; Zbl 1427.91077) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi Distributional study of finite-time ruin related problems for the classical risk model. (English) Zbl 1427.91079 Appl. Math. Comput. 315, 319-330 (2017). MSC: 91B05 62P05 60K05 91G05 PDF BibTeX XML Cite \textit{S. Li} and \textit{Y. Lu}, Appl. Math. Comput. 315, 319--330 (2017; Zbl 1427.91079) Full Text: DOI OpenURL
Zhang, Zhimin; Han, Xiao The compound Poisson risk model under a mixed dividend strategy. (English) Zbl 1427.91080 Appl. Math. Comput. 315, 1-12 (2017). MSC: 91B05 62P05 91G05 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{X. Han}, Appl. Math. Comput. 315, 1--12 (2017; Zbl 1427.91080) Full Text: DOI OpenURL
Shao, Jia; Papaioannou, Apostolos D.; Pantelous, Athanasios A. Pricing and simulating catastrophe risk bonds in a Markov-dependent environment. (English) Zbl 1411.91581 Appl. Math. Comput. 309, 68-84 (2017). MSC: 91G20 91B30 62P05 PDF BibTeX XML Cite \textit{J. Shao} et al., Appl. Math. Comput. 309, 68--84 (2017; Zbl 1411.91581) Full Text: DOI OpenURL
Jiang, Chun-Fu; Peng, Hong-Yi; Yang, Yu-Kuan Tail variance of portfolio under generalized Laplace distribution. (English) Zbl 1410.91421 Appl. Math. Comput. 282, 187-203 (2016). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{C.-F. Jiang} et al., Appl. Math. Comput. 282, 187--203 (2016; Zbl 1410.91421) Full Text: DOI 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
Zhou, Zhongbao; Xiao, Helu; Deng, Yingchun Markov-dependent risk model with multi-layer dividend strategy. (English) Zbl 1338.91082 Appl. Math. Comput. 252, 273-286 (2015). MSC: 91B30 45J05 60K10 62M05 PDF BibTeX XML Cite \textit{Z. Zhou} et al., Appl. Math. Comput. 252, 273--286 (2015; Zbl 1338.91082) Full Text: DOI OpenURL
Liu, Luyin; Cheung, Eric C. K. On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model. (English) Zbl 1338.60219 Appl. Math. Comput. 247, 1183-1201 (2014). MSC: 60K15 91B30 PDF BibTeX XML Cite \textit{L. Liu} and \textit{E. C. K. Cheung}, Appl. Math. Comput. 247, 1183--1201 (2014; Zbl 1338.60219) Full Text: DOI OpenURL
Xu, Yongjia; Lai, Yongzeng; Yao, Haixiang Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods. (English) Zbl 1335.91091 Appl. Math. Comput. 236, 493-511 (2014). MSC: 91G20 91G70 62P05 60H07 91G60 65C05 PDF BibTeX XML Cite \textit{Y. Xu} et al., Appl. Math. Comput. 236, 493--511 (2014; Zbl 1335.91091) Full Text: DOI OpenURL
Zhao, Yongxia; Yin, Chuancun The expected discounted penalty function under a renewal risk model with stochastic income. (English) Zbl 1242.60089 Appl. Math. Comput. 218, No. 10, 6144-6154 (2012). MSC: 60K15 60K25 PDF BibTeX XML Cite \textit{Y. Zhao} and \textit{C. Yin}, Appl. Math. Comput. 218, No. 10, 6144--6154 (2012; Zbl 1242.60089) Full Text: DOI OpenURL
Yusong, Cao; Xianquan, Zeng Optimal proportional reinsurance and investment with minimum probability of ruin. (English) Zbl 1242.91099 Appl. Math. Comput. 218, No. 9, 5433-5438 (2012). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 60J70 97M30 91G80 PDF BibTeX XML Cite \textit{C. Yusong} and \textit{Z. Xianquan}, Appl. Math. Comput. 218, No. 9, 5433--5438 (2012; Zbl 1242.91099) Full Text: DOI OpenURL
Cheng, Jianhua; Wang, Dehui Ruin problems for an autoregressive risk model with dependent rates of interest. (English) Zbl 1239.91077 Appl. Math. Comput. 218, No. 7, 3822-3833 (2011). MSC: 91B30 91G40 PDF BibTeX XML Cite \textit{J. Cheng} and \textit{D. Wang}, Appl. Math. Comput. 218, No. 7, 3822--3833 (2011; Zbl 1239.91077) Full Text: DOI OpenURL
Labbé, Chantal; Sendov, Hristo S.; Sendova, Kristina P. The Gerber-Shiu function and the generalized Cramér-Lundberg model. (English) Zbl 1239.91081 Appl. Math. Comput. 218, No. 7, 3035-3056 (2011). MSC: 91B30 PDF BibTeX XML Cite \textit{C. Labbé} et al., Appl. Math. Comput. 218, No. 7, 3035--3056 (2011; Zbl 1239.91081) Full Text: DOI OpenURL
Hao, Yuanyuan; Yang, Hu On a compound Poisson risk model with delayed claims and random incomes. (English) Zbl 1217.91089 Appl. Math. Comput. 217, No. 24, 10195-10204 (2011). MSC: 91B30 60K10 PDF BibTeX XML Cite \textit{Y. Hao} and \textit{H. Yang}, Appl. Math. Comput. 217, No. 24, 10195--10204 (2011; Zbl 1217.91089) Full Text: DOI OpenURL
Karnaukh, Ie. Risk process with stochastic income and two-step premium rate. (English) Zbl 1197.91113 Appl. Math. Comput. 217, No. 2, 775-781 (2010). MSC: 91B30 PDF BibTeX XML Cite \textit{Ie. Karnaukh}, Appl. Math. Comput. 217, No. 2, 775--781 (2010; Zbl 1197.91113) Full Text: DOI OpenURL
Gupta, Ramesh C.; Kirmani, S. N. U. A.; Srivastava, H. M. Local dependence functions for some families of bivariate distributions and total positivity. (English) Zbl 1187.62108 Appl. Math. Comput. 216, No. 4, 1267-1279 (2010). MSC: 62H20 62H10 62H05 PDF BibTeX XML Cite \textit{R. C. Gupta} et al., Appl. Math. Comput. 216, No. 4, 1267--1279 (2010; Zbl 1187.62108) Full Text: DOI OpenURL
Song, Min; Meng, Qingbin; Wu, Rong; Ren, Jiandong The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times. (English) Zbl 1202.91129 Appl. Math. Comput. 216, No. 2, 523-531 (2010). MSC: 91B30 60K15 PDF BibTeX XML Cite \textit{M. Song} et al., Appl. Math. Comput. 216, No. 2, 523--531 (2010; Zbl 1202.91129) Full Text: DOI OpenURL
Labbé, Chantal; Sendova, Kristina P. The expected discounted penalty function under a risk model with stochastic income. (English) Zbl 1181.91100 Appl. Math. Comput. 215, No. 5, 1852-1867 (2009). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 60K05 PDF BibTeX XML Cite \textit{C. Labbé} and \textit{K. P. Sendova}, Appl. Math. Comput. 215, No. 5, 1852--1867 (2009; Zbl 1181.91100) Full Text: DOI OpenURL
Gao, Heli; Yin, Chuancun A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy. (English) Zbl 1152.91579 Appl. Math. Comput. 205, No. 1, 454-464 (2008). MSC: 91B30 60J65 PDF BibTeX XML Cite \textit{H. Gao} and \textit{C. Yin}, Appl. Math. Comput. 205, No. 1, 454--464 (2008; Zbl 1152.91579) Full Text: DOI OpenURL
Chen, Fen-Ying Pricing the equity-linked and principal-protected securities with cap and path dependence. (English) Zbl 1193.91151 Appl. Math. Comput. 194, No. 2, 502-513 (2007). MSC: 91G20 91B30 91B24 62P05 PDF BibTeX XML Cite \textit{F.-Y. Chen}, Appl. Math. Comput. 194, No. 2, 502--513 (2007; Zbl 1193.91151) Full Text: DOI OpenURL
Bao, Zhen-Hua A note on the compound binomial model with randomized dividend strategy. (English) Zbl 1193.91062 Appl. Math. Comput. 194, No. 1, 276-286 (2007). MSC: 91B30 60K05 PDF BibTeX XML Cite \textit{Z.-H. Bao}, Appl. Math. Comput. 194, No. 1, 276--286 (2007; Zbl 1193.91062) Full Text: DOI OpenURL
Bao, Zhen-Hua; Ye, Zhong-Xing The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income. (English) Zbl 1209.60051 Appl. Math. Comput. 184, No. 2, 857-863 (2007). MSC: 60K10 60K05 91B30 PDF BibTeX XML Cite \textit{Z.-H. Bao} and \textit{Z.-X. Ye}, Appl. Math. Comput. 184, No. 2, 857--863 (2007; Zbl 1209.60051) Full Text: DOI OpenURL
Bao, Zhen-Hua The expected discounted penalty at ruin in the risk process with random income. (English) Zbl 1158.60374 Appl. Math. Comput. 179, No. 2, 559-566 (2006). MSC: 60K20 60G40 PDF BibTeX XML Cite \textit{Z.-H. Bao}, Appl. Math. Comput. 179, No. 2, 559--566 (2006; Zbl 1158.60374) Full Text: DOI OpenURL
Bruno, Maria Giuseppina; Camerini, Emanuela; Manna, Angelo; Tomassetti, Alvaro A new method for evaluating the distribution of aggregate claims. (English) Zbl 1096.62103 Appl. Math. Comput. 176, No. 2, 488-505 (2006). MSC: 62P05 62E15 PDF BibTeX XML Cite \textit{M. G. Bruno} et al., Appl. Math. Comput. 176, No. 2, 488--505 (2006; Zbl 1096.62103) Full Text: DOI OpenURL