Ai, Meiqiao; Zhang, Zhimin Pricing some life-contingent lookback options under regime-switching Lévy models. (English) Zbl 1483.91226 J. Comput. Appl. Math. 407, Article ID 114082, 19 p. (2022). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{M. Ai} and \textit{Z. Zhang}, J. Comput. Appl. Math. 407, Article ID 114082, 19 p. (2022; Zbl 1483.91226) Full Text: DOI OpenURL
Kim, Jerim; Kim, Bara; Kim, Jeongsim; Lee, Sungji Computation of powered option prices under a general model for underlying asset dynamics. (English) Zbl 1483.91233 J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022). MSC: 91G20 44A10 60H30 PDF BibTeX XML Cite \textit{J. Kim} et al., J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022; Zbl 1483.91233) Full Text: DOI OpenURL
Xie, Jiayi; Zhang, Zhimin Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation. (English) Zbl 1476.91038 J. Comput. Appl. Math. 399, Article ID 113703, 22 p. (2022). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B05 65D15 60G51 60K10 PDF BibTeX XML Cite \textit{J. Xie} and \textit{Z. Zhang}, J. Comput. Appl. Math. 399, Article ID 113703, 22 p. (2022; Zbl 1476.91038) Full Text: DOI OpenURL
Sharma, Nitu; Pasricha, Puneet; Selvamuthu, Dharmaraja Valuation of equity-indexed annuities under correlated jump-diffusion processes. (English) Zbl 1471.91481 J. Comput. Appl. Math. 395, Article ID 113575, 14 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G05 91G30 60J76 PDF BibTeX XML Cite \textit{N. Sharma} et al., J. Comput. Appl. Math. 395, Article ID 113575, 14 p. (2021; Zbl 1471.91481) 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
Li, Danping; Li, Bin; Shen, Yang A dynamic pricing game for general insurance market. (English) Zbl 1457.91332 J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021). MSC: 91G05 91A25 91A80 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021; Zbl 1457.91332) 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
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
Li, Peng; Meng, Qingbin; Yuen, Kam C.; Zhou, Ming Optimal dividend and risk control policies in the presence of a fixed transaction cost. (English) Zbl 1465.91096 J. Comput. Appl. Math. 388, Article ID 113271, 14 p. (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{P. Li} et al., J. Comput. Appl. Math. 388, Article ID 113271, 14 p. (2021; Zbl 1465.91096) Full Text: DOI OpenURL
Luo, Shangzhen; Wang, Mingming; Zhu, Wei Stochastic differential reinsurance games in diffusion approximation models. (English) Zbl 1457.91333 J. Comput. Appl. Math. 386, Article ID 113252, 36 p. (2021). MSC: 91G05 91G80 91A15 91A80 91A10 91A12 PDF BibTeX XML Cite \textit{S. Luo} et al., J. Comput. Appl. Math. 386, Article ID 113252, 36 p. (2021; Zbl 1457.91333) Full Text: DOI OpenURL
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro A lattice approach to evaluate participating policies in a stochastic interest rate framework. (English) Zbl 1460.91217 J. Comput. Appl. Math. 385, Article ID 113212, 18 p. (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{M. Costabile} et al., J. Comput. Appl. Math. 385, Article ID 113212, 18 p. (2021; Zbl 1460.91217) Full Text: DOI OpenURL
Zhang, Yan; Zhao, Peibiao; Kou, Bingyu Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model. (English) Zbl 1447.91154 J. Comput. Appl. Math. 382, Article ID 113082, 17 p. (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Comput. Appl. Math. 382, Article ID 113082, 17 p. (2021; Zbl 1447.91154) Full Text: DOI OpenURL
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio. (English) Zbl 1443.91271 J. Comput. Appl. Math. 380, Article ID 112951, 16 p. (2020). MSC: 91G10 60H10 PDF BibTeX XML Cite \textit{J. Zhang} et al., J. Comput. Appl. Math. 380, Article ID 112951, 16 p. (2020; Zbl 1443.91271) Full Text: DOI OpenURL
Mitra, Sovan Downside risk measurement in regime switching stochastic volatility. (English) Zbl 1437.91461 J. Comput. Appl. Math. 378, Article ID 112845, 17 p. (2020). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{S. Mitra}, J. Comput. Appl. Math. 378, Article ID 112845, 17 p. (2020; Zbl 1437.91461) Full Text: DOI OpenURL
Zhu, Jiaqi; Guan, Guohui; Li, Shenghong Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. (English) Zbl 1435.91168 J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{J. Zhu} et al., J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020; Zbl 1435.91168) Full Text: DOI OpenURL
Ma, Jingtang; Wang, Han Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing. (English) Zbl 1447.65029 J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020). Reviewer: Srinivasan Natesan (Assam) MSC: 65M06 65M12 91G60 35R09 45K05 91G20 35R37 65M15 PDF BibTeX XML Cite \textit{J. Ma} and \textit{H. Wang}, J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020; Zbl 1447.65029) Full Text: DOI OpenURL
Sendova, Kristina P.; Zhang, Ruixi Maximum surplus and \(R_n\) class of distributions with an application to dividends. (English) Zbl 1433.91145 J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60K10 45K05 PDF BibTeX XML Cite \textit{K. P. Sendova} and \textit{R. Zhang}, J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020; Zbl 1433.91145) Full Text: DOI OpenURL
Cheung, K. C.; Yuen, F. L. On the uncertainty of VaR of individual risk. (English) Zbl 1430.91133 J. Comput. Appl. Math. 367, Article ID 112468, 14 p. (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G70 91G05 PDF BibTeX XML Cite \textit{K. C. Cheung} and \textit{F. L. Yuen}, J. Comput. Appl. Math. 367, Article ID 112468, 14 p. (2020; Zbl 1430.91133) Full Text: DOI OpenURL
Chu, J.; Dickin, O.; Nadarajah, S. A review of goodness of fit tests for Pareto distributions. (English) Zbl 1425.62028 J. Comput. Appl. Math. 361, 13-41 (2019). Reviewer: Johannes W. R. Martini (Texcoco) MSC: 62E15 62P20 91B02 PDF BibTeX XML Cite \textit{J. Chu} et al., J. Comput. Appl. Math. 361, 13--41 (2019; Zbl 1425.62028) Full Text: DOI Link OpenURL
Bao, Jiayong; Zhao, Yuexu Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates. (English) Zbl 1417.91491 J. Comput. Appl. Math. 357, 146-160 (2019). MSC: 91G20 60G51 91G60 65T50 PDF BibTeX XML Cite \textit{J. Bao} and \textit{Y. Zhao}, J. Comput. Appl. Math. 357, 146--160 (2019; Zbl 1417.91491) Full Text: DOI OpenURL
Zhang, Qiang; Chen, Ping Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps. (English) Zbl 1410.91295 J. Comput. Appl. Math. 356, 46-66 (2019). MSC: 91B30 93E20 60J75 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, J. Comput. Appl. Math. 356, 46--66 (2019; Zbl 1410.91295) Full Text: DOI OpenURL
Yuan, Weipeng; Lai, Shaoyong Family optimal investment strategy for a random household expenditure under the CEV model. (English) Zbl 1410.91433 J. Comput. Appl. Math. 354, 1-14 (2019). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{W. Yuan} and \textit{S. Lai}, J. Comput. Appl. Math. 354, 1--14 (2019; Zbl 1410.91433) Full Text: DOI OpenURL
Luo, Shangzhen; Wang, Mingming; Zhu, Wei Maximizing a robust goal-reaching probability with penalization on ambiguity. (English) Zbl 1418.91248 J. Comput. Appl. Math. 348, 261-281 (2019). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{S. Luo} et al., J. Comput. Appl. Math. 348, 261--281 (2019; Zbl 1418.91248) Full Text: DOI OpenURL
Zhang, Zhimin; Su, Wen Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion. (English) Zbl 1405.62149 J. Comput. Appl. Math. 346, 133-149 (2019). MSC: 62P05 60G51 91B30 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{W. Su}, J. Comput. Appl. Math. 346, 133--149 (2019; Zbl 1405.62149) Full Text: DOI OpenURL
Perman, Mihael; Zalokar, Ana Optimal hedging strategies in equity-linked products. (English) Zbl 1393.60040 J. Comput. Appl. Math. 344, 601-607 (2018). MSC: 60G40 91B30 PDF BibTeX XML Cite \textit{M. Perman} and \textit{A. Zalokar}, J. Comput. Appl. Math. 344, 601--607 (2018; Zbl 1393.60040) Full Text: DOI OpenURL
Huang, Ya; Ouyang, Yao; Tang, Lingxiao; Zhou, Jieming Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities. (English) Zbl 1458.91184 J. Comput. Appl. Math. 344, 532-552 (2018). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 PDF BibTeX XML Cite \textit{Y. Huang} et al., J. Comput. Appl. Math. 344, 532--552 (2018; Zbl 1458.91184) Full Text: DOI OpenURL
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon Fitting the Erlang mixture model to data via a GEM-CMM algorithm. (English) Zbl 06892263 J. Comput. Appl. Math. 343, 189-205 (2018). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{W. Gui} et al., J. Comput. Appl. Math. 343, 189--205 (2018; Zbl 06892263) Full Text: DOI OpenURL
Taheri, B. M.; Jabbari, H.; Amini, M. Parameter estimation of bivariate distributions in presence of outliers: an application to FGM copula. (English) Zbl 06892261 J. Comput. Appl. Math. 343, 155-173 (2018). MSC: 62-XX 60-XX PDF BibTeX XML Cite \textit{B. M. Taheri} et al., J. Comput. Appl. Math. 343, 155--173 (2018; Zbl 06892261) Full Text: DOI OpenURL
A, Chunxiang; Lai, Yongzeng; Shao, Yi Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model. (English) Zbl 1422.91320 J. Comput. Appl. Math. 342, 317-336 (2018). MSC: 91B30 93E20 60J75 60H10 PDF BibTeX XML Cite \textit{C. A} et al., J. Comput. Appl. Math. 342, 317--336 (2018; Zbl 1422.91320) Full Text: DOI OpenURL
Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae The pricing of dynamic fund protection with default risk. (English) Zbl 1377.91159 J. Comput. Appl. Math. 333, 116-130 (2018). MSC: 91G20 91G40 91G60 PDF BibTeX XML Cite \textit{J. Jeon} et al., J. Comput. Appl. Math. 333, 116--130 (2018; Zbl 1377.91159) Full Text: DOI OpenURL
Wang, Yajie; Rong, Ximin; Zhao, Hui Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model. (English) Zbl 1372.91097 J. Comput. Appl. Math. 328, 414-431 (2018). MSC: 91G10 91B30 60J75 93E20 PDF BibTeX XML Cite \textit{Y. Wang} et al., J. Comput. Appl. Math. 328, 414--431 (2018; Zbl 1372.91097) Full Text: DOI OpenURL
Woo, Jae-Kyung; Xu, Ran; Yang, Hailiang Gerber-Shiu analysis with two-sided acceptable levels. (English) Zbl 1364.91071 J. Comput. Appl. Math. 321, 185-210 (2017). MSC: 91B30 60K10 60K20 PDF BibTeX XML Cite \textit{J.-K. Woo} et al., J. Comput. Appl. Math. 321, 185--210 (2017; Zbl 1364.91071) Full Text: DOI OpenURL
Yang, Yang; Zhang, Ting; Yuen, Kam C. Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations. (English) Zbl 1364.91072 J. Comput. Appl. Math. 321, 143-159 (2017). MSC: 91B30 62E10 62P05 PDF BibTeX XML Cite \textit{Y. Yang} et al., J. Comput. Appl. Math. 321, 143--159 (2017; Zbl 1364.91072) Full Text: DOI OpenURL
Leduc, Guillaume; Zeng, Xiangchen Convergence rate of regime-switching trees. (English) Zbl 1358.41009 J. Comput. Appl. Math. 319, 56-76 (2017). MSC: 41A25 65C50 65C20 PDF BibTeX XML Cite \textit{G. Leduc} and \textit{X. Zeng}, J. Comput. Appl. Math. 319, 56--76 (2017; Zbl 1358.41009) Full Text: DOI OpenURL
Lee, Woojoo; Cheung, Ka Chun; Ahn, Jae Youn Multivariate countermonotonicity and the minimal copulas. (English) Zbl 1359.62168 J. Comput. Appl. Math. 317, 589-602 (2017). MSC: 62H05 62H20 60E15 62P05 91B30 PDF BibTeX XML Cite \textit{W. Lee} et al., J. Comput. Appl. Math. 317, 589--602 (2017; Zbl 1359.62168) Full Text: DOI OpenURL
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. (English) Zbl 1354.91066 J. Comput. Appl. Math. 311, 272-292 (2017). MSC: 91B30 60E15 65C50 PDF BibTeX XML Cite \textit{R. Feng} et al., J. Comput. Appl. Math. 311, 272--292 (2017; Zbl 1354.91066) Full Text: DOI OpenURL
Czarna, Irmina; Li, Yanhong; Palmowski, Zbigniew; Zhao, Chunming The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model. (English) Zbl 1353.91022 J. Comput. Appl. Math. 313, 499-514 (2017). MSC: 91B30 62P05 60K10 60G51 PDF BibTeX XML Cite \textit{I. Czarna} et al., J. Comput. Appl. Math. 313, 499--514 (2017; Zbl 1353.91022) Full Text: DOI arXiv OpenURL
Hejazi, Seyed Amir; Jackson, Kenneth R. Efficient valuation of SCR via a neural network approach. (English) Zbl 1410.91268 J. Comput. Appl. Math. 313, 427-439 (2017). MSC: 91B30 68T05 PDF BibTeX XML Cite \textit{S. A. Hejazi} and \textit{K. R. Jackson}, J. Comput. Appl. Math. 313, 427--439 (2017; Zbl 1410.91268) Full Text: DOI arXiv OpenURL
Jeon, Junkee; Han, Heejae; Kang, Myungjoo Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation. (English) Zbl 1354.35162 J. Comput. Appl. Math. 313, 218-234 (2017). MSC: 35Q91 91G20 35R35 65R10 65R30 PDF BibTeX XML Cite \textit{J. Jeon} et al., J. Comput. Appl. Math. 313, 218--234 (2017; Zbl 1354.35162) Full Text: DOI OpenURL
Ramsden, Lewis; Papaioannou, Apostolos D. Asymptotic results for a Markov-modulated risk process with stochastic investment. (English) Zbl 1410.91285 J. Comput. Appl. Math. 313, 38-53 (2017). MSC: 91B30 60J20 60K10 PDF BibTeX XML Cite \textit{L. Ramsden} and \textit{A. D. Papaioannou}, J. Comput. Appl. Math. 313, 38--53 (2017; Zbl 1410.91285) Full Text: DOI OpenURL
Psarrakos, Georgios; Toomaj, Abdolsaeed On the generalized cumulative residual entropy with applications in actuarial science. (English) Zbl 1469.62210 J. Comput. Appl. Math. 309, 186-199 (2017). MSC: 62E10 60E15 62B10 62P05 PDF BibTeX XML Cite \textit{G. Psarrakos} and \textit{A. Toomaj}, J. Comput. Appl. Math. 309, 186--199 (2017; Zbl 1469.62210) Full Text: DOI OpenURL
Ma, Jingtang; Zhou, Zhiqiang Moving mesh methods for pricing Asian options with regime switching. (English) Zbl 1409.91278 J. Comput. Appl. Math. 298, 211-221 (2016). MSC: 91G60 65M06 65M12 91G20 65M50 35Q91 PDF BibTeX XML Cite \textit{J. Ma} and \textit{Z. Zhou}, J. Comput. Appl. Math. 298, 211--221 (2016; Zbl 1409.91278) Full Text: DOI OpenURL
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model. (English) Zbl 1355.60117 J. Comput. Appl. Math. 296, 499-511 (2016). MSC: 60K10 62E17 91B30 PDF BibTeX XML Cite \textit{P.-O. Goffard} et al., J. Comput. Appl. Math. 296, 499--511 (2016; Zbl 1355.60117) Full Text: DOI OpenURL
Huang, Ya; Yang, Xiangqun; Zhou, Jieming Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables. (English) Zbl 1331.91097 J. Comput. Appl. Math. 296, 443-461 (2016). MSC: 91B30 93E20 60J70 62P05 91G10 PDF BibTeX XML Cite \textit{Y. Huang} et al., J. Comput. Appl. Math. 296, 443--461 (2016; Zbl 1331.91097) Full Text: DOI OpenURL
Jin, Zhuo; Qian, Linyi; Wang, Wei; Wang, Rongming Pricing dynamic fund protections with regime switching. (English) Zbl 1329.91130 J. Comput. Appl. Math. 297, 13-25 (2016). MSC: 91G20 91B30 62M02 PDF BibTeX XML Cite \textit{Z. Jin} et al., J. Comput. Appl. Math. 297, 13--25 (2016; Zbl 1329.91130) Full Text: DOI OpenURL
Eryilmaz, Serkan Compound Markov negative binomial distribution. (English) Zbl 1323.60092 J. Comput. Appl. Math. 292, 1-6 (2016). MSC: 60J10 60E05 PDF BibTeX XML Cite \textit{S. Eryilmaz}, J. Comput. Appl. Math. 292, 1--6 (2016; Zbl 1323.60092) Full Text: DOI OpenURL
Ahn, Jae Youn Negative dependence concept in copulas and the marginal free herd behavior index. (English) Zbl 1320.62116 J. Comput. Appl. Math. 288, 304-322 (2015). MSC: 62H10 60E15 PDF BibTeX XML Cite \textit{J. Y. Ahn}, J. Comput. Appl. Math. 288, 304--322 (2015; Zbl 1320.62116) Full Text: DOI arXiv OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model. (English) Zbl 1308.91088 J. Comput. Appl. Math. 283, 142-162 (2015). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 283, 142--162 (2015; Zbl 1308.91088) Full Text: DOI OpenURL
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle On an optimization problem related to static super-replicating strategies. (English) Zbl 1299.91140 J. Comput. Appl. Math. 278, 213-230 (2015). MSC: 91G20 PDF BibTeX XML Cite \textit{X. Chen} et al., J. Comput. Appl. Math. 278, 213--230 (2015; Zbl 1299.91140) Full Text: DOI OpenURL
Andreoli, Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella Computing survival probabilities based on stochastic differential models. (English) Zbl 1310.65008 J. Comput. Appl. Math. 277, 127-137 (2015). MSC: 65C30 60H30 91B30 92D25 PDF BibTeX XML Cite \textit{A. Andreoli} et al., J. Comput. Appl. Math. 277, 127--137 (2015; Zbl 1310.65008) Full Text: DOI OpenURL
Linders, Daniël; Schoutens, Wim A framework for robust measurement of implied correlation. (English) Zbl 1319.91159 J. Comput. Appl. Math. 271, 39-52 (2014). MSC: 91G70 62P05 62H20 91G20 PDF BibTeX XML Cite \textit{D. Linders} and \textit{W. Schoutens}, J. Comput. Appl. Math. 271, 39--52 (2014; Zbl 1319.91159) Full Text: DOI OpenURL
Chen, Mi; Guo, Junyi; Wu, Xueyuan Expected discounted dividends in a discrete semi-Markov risk model. (English) Zbl 1293.91093 J. Comput. Appl. Math. 266, 1-17 (2014). MSC: 91B30 60K20 PDF BibTeX XML Cite \textit{M. Chen} et al., J. Comput. Appl. Math. 266, 1--17 (2014; Zbl 1293.91093) Full Text: DOI OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Optimal reinsurance-investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model. (English) Zbl 1291.91120 J. Comput. Appl. Math. 255, 671-683 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 255, 671--683 (2014; Zbl 1291.91120) Full Text: DOI OpenURL
Zou, Wei; Gao, Jian-wei; Xie, Jie-hua On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes. (English) Zbl 1291.91139 J. Comput. Appl. Math. 255, 270-281 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{W. Zou} et al., J. Comput. Appl. Math. 255, 270--281 (2014; Zbl 1291.91139) Full Text: DOI OpenURL
Gao, Jianwei; Wu, Liyuan On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income. (English) Zbl 1291.91108 J. Comput. Appl. Math. 269, 42-52 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Gao} and \textit{L. Wu}, J. Comput. Appl. Math. 269, 42--52 (2014; Zbl 1291.91108) Full Text: DOI OpenURL
Tan, Jiyang; Yuan, Pingtian; Cheng, Yangjin; Li, Ziqiang An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates. (English) Zbl 1291.91127 J. Comput. Appl. Math. 258, 1-16 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Tan} et al., J. Comput. Appl. Math. 258, 1--16 (2014; Zbl 1291.91127) Full Text: DOI OpenURL
Chadjiconstantinidis, Stathis; Papaioannou, Apostolos D. On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy. (English) Zbl 1294.91073 J. Comput. Appl. Math. 253, 26-50 (2013). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 60J25 60J65 PDF BibTeX XML Cite \textit{S. Chadjiconstantinidis} and \textit{A. D. Papaioannou}, J. Comput. Appl. Math. 253, 26--50 (2013; Zbl 1294.91073) Full Text: DOI OpenURL
Liu, R. H.; Zhao, J. L. A lattice method for option pricing with two underlying assets in the regime-switching model. (English) Zbl 1285.91143 J. Comput. Appl. Math. 250, 96-106 (2013). MSC: 91G60 91G20 PDF BibTeX XML Cite \textit{R. H. Liu} and \textit{J. L. Zhao}, J. Comput. Appl. Math. 250, 96--106 (2013; Zbl 1285.91143) Full Text: DOI OpenURL
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A comonotonicity-based valuation method for guaranteed annuity options. (English) Zbl 1285.91130 J. Comput. Appl. Math. 250, 58-69 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{X. Liu} et al., J. Comput. Appl. Math. 250, 58--69 (2013; Zbl 1285.91130) 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
Wu, Rong; Wang, Wei The hitting time for a Cox risk process. (English) Zbl 1235.91110 J. Comput. Appl. Math. 236, No. 10, 2706-2716 (2012). MSC: 91B30 60K20 PDF BibTeX XML Cite \textit{R. Wu} and \textit{W. Wang}, J. Comput. Appl. Math. 236, No. 10, 2706--2716 (2012; Zbl 1235.91110) 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
Nadarajah, Saralees Exact distribution of the product of \(m\) gamma and \(n\) Pareto random variables. (English) Zbl 1216.62021 J. Comput. Appl. Math. 235, No. 15, 4496-4512 (2011). MSC: 62E15 33C90 62G30 62-04 PDF BibTeX XML Cite \textit{S. Nadarajah}, J. Comput. Appl. Math. 235, No. 15, 4496--4512 (2011; Zbl 1216.62021) Full Text: DOI OpenURL
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. (English) Zbl 1211.91228 J. Comput. Appl. Math. 235, No. 10, 3245-3256 (2011). MSC: 91G10 PDF BibTeX XML Cite \textit{K. Van Weert} et al., J. Comput. Appl. Math. 235, No. 10, 3245--3256 (2011; Zbl 1211.91228) Full Text: DOI OpenURL
Jin, Zhuo; Wang, Yumin; Yin, G. Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation. (English) Zbl 1229.91358 J. Comput. Appl. Math. 235, No. 8, 2842-2860 (2011). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G70 65C20 65C05 PDF BibTeX XML Cite \textit{Z. Jin} et al., J. Comput. Appl. Math. 235, No. 8, 2842--2860 (2011; Zbl 1229.91358) Full Text: DOI OpenURL
Naifar, Nader Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index. (English) Zbl 1208.91163 J. Comput. Appl. Math. 235, No. 8, 2459-2466 (2011). MSC: 91G70 62H20 PDF BibTeX XML Cite \textit{N. Naifar}, J. Comput. Appl. Math. 235, No. 8, 2459--2466 (2011; Zbl 1208.91163) Full Text: DOI OpenURL
Xie, Jie-Hua; Zou, Wei On the expected discounted penalty function for the compound Poisson risk model with delayed claims. (English) Zbl 1350.91013 J. Comput. Appl. Math. 235, No. 8, 2392-2404 (2011). MSC: 91B30 60K10 PDF BibTeX XML Cite \textit{J.-H. Xie} and \textit{W. Zou}, J. Comput. Appl. Math. 235, No. 8, 2392--2404 (2011; Zbl 1350.91013) Full Text: DOI OpenURL
Liu, Donghai; Liu, Zaiming The perturbed compound Poisson risk model with linear dividend barrier. (English) Zbl 1208.91069 J. Comput. Appl. Math. 235, No. 8, 2357-2363 (2011). MSC: 91B30 60K10 62P05 PDF BibTeX XML Cite \textit{D. Liu} and \textit{Z. Liu}, J. Comput. Appl. Math. 235, No. 8, 2357--2363 (2011; Zbl 1208.91069) Full Text: DOI OpenURL
Ahčan, Aleš; Masten, Igor; Polanec, Sašo; Perman, Mihael Quantile approximations in auto-regressive portfolio models. (English) Zbl 1208.91158 J. Comput. Appl. Math. 235, No. 8, 1976-1983 (2011). MSC: 91G70 62E17 62H20 91G10 PDF BibTeX XML Cite \textit{A. Ahčan} et al., J. Comput. Appl. Math. 235, No. 8, 1976--1983 (2011; Zbl 1208.91158) Full Text: DOI OpenURL
Zhang, Zhimin; Yang, Hu Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times. (English) Zbl 1202.91131 J. Comput. Appl. Math. 235, No. 5, 1189-1204 (2011). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91B70 60K20 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{H. Yang}, J. Comput. Appl. Math. 235, No. 5, 1189--1204 (2011; Zbl 1202.91131) Full Text: DOI OpenURL
Mitra, Sovan; Date, Paresh Regime switching volatility calibration by the Baum-Welch method. (English) Zbl 1193.91176 J. Comput. Appl. Math. 234, No. 12, 3243-3260 (2010). MSC: 91G70 62M20 62P05 PDF BibTeX XML Cite \textit{S. Mitra} and \textit{P. Date}, J. Comput. Appl. Math. 234, No. 12, 3243--3260 (2010; Zbl 1193.91176) Full Text: DOI arXiv OpenURL
Hu, Fengxia; Wang, Rongming Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors. (English) Zbl 1200.91138 J. Comput. Appl. Math. 234, No. 10, 2953-2961 (2010). Reviewer: Alfred Göpfert (Halle) MSC: 91B30 91B70 91G30 49K45 PDF BibTeX XML Cite \textit{F. Hu} and \textit{R. Wang}, J. Comput. Appl. Math. 234, No. 10, 2953--2961 (2010; Zbl 1200.91138) Full Text: DOI OpenURL
Yang, Hu; Zhang, Zhimin On a discrete risk model with two-sided jumps. (English) Zbl 1188.91091 J. Comput. Appl. Math. 234, No. 3, 835-844 (2010). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 PDF BibTeX XML Cite \textit{H. Yang} and \textit{Z. Zhang}, J. Comput. Appl. Math. 234, No. 3, 835--844 (2010; Zbl 1188.91091) Full Text: DOI OpenURL
Bao, Zhen-Hua; Wang, Jing On the discounted penalty function in the discrete time stationary renewal risk model. (English) Zbl 1186.91115 J. Comput. Appl. Math. 234, No. 2, 557-562 (2010). MSC: 91B30 60K05 60K10 PDF BibTeX XML Cite \textit{Z.-H. Bao} and \textit{J. Wang}, J. Comput. Appl. Math. 234, No. 2, 557--562 (2010; Zbl 1186.91115) Full Text: DOI OpenURL
Zhang, Zhimin; Yang, Hu On a risk model with stochastic premiums income and dependence between income and loss. (English) Zbl 1188.91094 J. Comput. Appl. Math. 234, No. 1, 44-57 (2010). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{H. Yang}, J. Comput. Appl. Math. 234, No. 1, 44--57 (2010; Zbl 1188.91094) Full Text: DOI OpenURL
Gao, Shan; Liu, Zaiming The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy. (English) Zbl 1222.91023 J. Comput. Appl. Math. 233, No. 9, 2181-2188 (2010). MSC: 91B30 91G80 PDF BibTeX XML Cite \textit{S. Gao} and \textit{Z. Liu}, J. Comput. Appl. Math. 233, No. 9, 2181--2188 (2010; Zbl 1222.91023) Full Text: DOI OpenURL
Yin, Chuancun; Wang, Chunwei Optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes: an alternative approach. (English) Zbl 1176.60034 J. Comput. Appl. Math. 233, No. 2, 482-491 (2009). MSC: 60G51 93E20 PDF BibTeX XML Cite \textit{C. Yin} and \textit{C. Wang}, J. Comput. Appl. Math. 233, No. 2, 482--491 (2009; Zbl 1176.60034) Full Text: DOI OpenURL
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro Pricing life insurance contracts with early exercise features. (English) Zbl 1179.91098 J. Comput. Appl. Math. 233, No. 1, 27-35 (2009). MSC: 91B30 91G20 91G60 65C05 PDF BibTeX XML Cite \textit{A. R. Bacinello} et al., J. Comput. Appl. Math. 233, No. 1, 27--35 (2009; Zbl 1179.91098) Full Text: DOI OpenURL
Yang, Hu; Zhang, Zhimin On a perturbed Sparre Andersen risk model with multi-layer dividend strategy. (English) Zbl 1173.91408 J. Comput. Appl. Math. 232, No. 2, 612-624 (2009). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{H. Yang} and \textit{Z. Zhang}, J. Comput. Appl. Math. 232, No. 2, 612--624 (2009; Zbl 1173.91408) Full Text: DOI OpenURL
Lu, Zhaoyang; Xu, Wei; Sun, Decai; Han, Weiguo On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy. (English) Zbl 1232.91354 J. Comput. Appl. Math. 232, No. 2, 582-593 (2009). MSC: 91B30 91B70 60K05 44A10 PDF BibTeX XML Cite \textit{Z. Lu} et al., J. Comput. Appl. Math. 232, No. 2, 582--593 (2009; Zbl 1232.91354) Full Text: DOI OpenURL
Zhang, Zhimin; Li, Shuanming; Yang, Hu The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims. (English) Zbl 1232.91356 J. Comput. Appl. Math. 230, No. 2, 643-655 (2009). MSC: 91B30 60K10 45J05 PDF BibTeX XML Cite \textit{Z. Zhang} et al., J. Comput. Appl. Math. 230, No. 2, 643--655 (2009; Zbl 1232.91356) Full Text: DOI OpenURL
Dong, Yinghui; Wang, Guojing; Yuen, Kam C. On the renewal risk model under a threshold strategy. (English) Zbl 1170.91014 J. Comput. Appl. Math. 230, No. 1, 22-33 (2009). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{Y. Dong} et al., J. Comput. Appl. Math. 230, No. 1, 22--33 (2009; Zbl 1170.91014) Full Text: DOI OpenURL
Li, Bo; Wu, Rong; Song, Min A renewal jump-diffusion process with threshold dividend strategy. (English) Zbl 1166.60053 J. Comput. Appl. Math. 228, No. 1, 41-55 (2009). MSC: 60K20 60J75 62P05 PDF BibTeX XML Cite \textit{B. Li} et al., J. Comput. Appl. Math. 228, No. 1, 41--55 (2009; Zbl 1166.60053) Full Text: DOI OpenURL
Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R. Optimal approximations for risk measures of sums of lognormals based on conditional expectations. (English) Zbl 1154.91021 J. Comput. Appl. Math. 221, No. 1, 202-218 (2008). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B26 91B30 60Exx PDF BibTeX XML Cite \textit{S. Vanduffel} et al., J. Comput. Appl. Math. 221, No. 1, 202--218 (2008; Zbl 1154.91021) 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
Gao, Heli; Yin, Chuancun The perturbed Sparre Andersen model with a threshold dividend strategy. (English) Zbl 1221.91030 J. Comput. Appl. Math. 220, No. 1-2, 394-408 (2008). Reviewer: Piotr Jaworski (Warszawa) MSC: 91B30 45K05 91G10 PDF BibTeX XML Cite \textit{H. Gao} and \textit{C. Yin}, J. Comput. Appl. Math. 220, No. 1--2, 394--408 (2008; Zbl 1221.91030) Full Text: DOI OpenURL
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle Bounds for Asian basket options. (English) Zbl 1151.91500 J. Comput. Appl. Math. 218, No. 2, 215-228 (2008). MSC: 91B28 60E15 60J65 PDF BibTeX XML Cite \textit{G. Deelstra} et al., J. Comput. Appl. Math. 218, No. 2, 215--228 (2008; Zbl 1151.91500) 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
Denuit, Michel; Dhaene, Jan Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection. (English) Zbl 1110.62140 J. Comput. Appl. Math. 203, No. 1, 169-176 (2007). MSC: 62N99 60E15 62P05 PDF BibTeX XML Cite \textit{M. Denuit} and \textit{J. Dhaene}, J. Comput. Appl. Math. 203, No. 1, 169--176 (2007; Zbl 1110.62140) Full Text: DOI OpenURL
Gerber, Hans U.; Shiu, Elias S. W. On optimal dividends: from reflection to refraction. (English) Zbl 1089.91023 J. Comput. Appl. Math. 186, No. 1, 4-22 (2006). Reviewer: Qin Lu (Easton) MSC: 91G50 PDF BibTeX XML Cite \textit{H. U. Gerber} and \textit{E. S. W. Shiu}, J. Comput. Appl. Math. 186, No. 1, 4--22 (2006; Zbl 1089.91023) Full Text: DOI OpenURL