Li, Hsin-Lun An imitation model based on the majority. (English) Zbl 07803703 Stat. Probab. Lett. 206, Article ID 110007, 4 p. (2024). MSC: 91D30 91B12 PDFBibTeX XMLCite \textit{H.-L. Li}, Stat. Probab. Lett. 206, Article ID 110007, 4 p. (2024; Zbl 07803703) Full Text: DOI arXiv
Renaud, Jean-François A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin. (English) Zbl 07803681 Stat. Probab. Lett. 206, Article ID 109978, 6 p. (2024). MSC: 91G10 60G51 93E20 PDFBibTeX XMLCite \textit{J.-F. Renaud}, Stat. Probab. Lett. 206, Article ID 109978, 6 p. (2024; Zbl 07803681) Full Text: DOI arXiv
Jie, Lijuan; Luo, Liangqing; Zhang, Hua One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients. (English) Zbl 07803482 Stat. Probab. Lett. 205, Article ID 109970, 11 p. (2024). MSC: 60H20 60H10 91G20 60H05 PDFBibTeX XMLCite \textit{L. Jie} et al., Stat. Probab. Lett. 205, Article ID 109970, 11 p. (2024; Zbl 07803482) Full Text: DOI
Su, Wen; Yong, Yaodi Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model. (English) Zbl 07803481 Stat. Probab. Lett. 205, Article ID 109962, 8 p. (2024). MSC: 91G05 PDFBibTeX XMLCite \textit{W. Su} and \textit{Y. Yong}, Stat. Probab. Lett. 205, Article ID 109962, 8 p. (2024; Zbl 07803481) Full Text: DOI
Ansari, Jonathan; Shushi, Tomer; Vanduffel, Steven Up- and down-correlations in normal variance mixture models. (English) Zbl 07803470 Stat. Probab. Lett. 205, Article ID 109949, 7 p. (2024). MSC: 91G70 62P05 62H05 PDFBibTeX XMLCite \textit{J. Ansari} et al., Stat. Probab. Lett. 205, Article ID 109949, 7 p. (2024; Zbl 07803470) Full Text: DOI
Kim, Kyong-Hui; Kim, Jong-Kuk; Sin, Myong Guk Pricing formula for a Barrier call option based on stochastic delay differential equation. (English) Zbl 07803468 Stat. Probab. Lett. 205, Article ID 109943, 11 p. (2024). MSC: 91G20 91G60 60H10 60H30 PDFBibTeX XMLCite \textit{K.-H. Kim} et al., Stat. Probab. Lett. 205, Article ID 109943, 11 p. (2024; Zbl 07803468) Full Text: DOI
Karimi, Nader; Salavati, Erfan; Assa, Hirbod; Adibi, Hojatollah A stochastic optimal stopping model for storable commodity prices. (English) Zbl 1525.60050 Stat. Probab. Lett. 204, Article ID 109941, 6 p. (2024). MSC: 60G40 91G05 91B24 62P20 PDFBibTeX XMLCite \textit{N. Karimi} et al., Stat. Probab. Lett. 204, Article ID 109941, 6 p. (2024; Zbl 1525.60050) Full Text: DOI
Kongjiw, Hattacha; Rattanawong, Petcharat; Neammanee, Kritsana Local limit theorems for collective risk models. (English) Zbl 1521.60013 Stat. Probab. Lett. 201, Article ID 109867, 11 p. (2023). MSC: 60F05 91B05 62P05 PDFBibTeX XMLCite \textit{H. Kongjiw} et al., Stat. Probab. Lett. 201, Article ID 109867, 11 p. (2023; Zbl 1521.60013) Full Text: DOI
Berkaoui, Abdelkarem On the optional and orthogonal decompositions of supermartingales and applications. (English) Zbl 1528.60033 Stat. Probab. Lett. 199, Article ID 109850, 8 p. (2023). Reviewer: Ferenc Weisz (Budapest) MSC: 60G42 91B24 PDFBibTeX XMLCite \textit{A. Berkaoui}, Stat. Probab. Lett. 199, Article ID 109850, 8 p. (2023; Zbl 1528.60033) Full Text: DOI
Gao, Qingwu; Lin, Jia’nan; Liu, Xijun Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times. (English) Zbl 1517.60033 Stat. Probab. Lett. 197, Article ID 109809, 12 p. (2023). MSC: 60F10 62P05 91B05 PDFBibTeX XMLCite \textit{Q. Gao} et al., Stat. Probab. Lett. 197, Article ID 109809, 12 p. (2023; Zbl 1517.60033) Full Text: DOI
Marzougue, Mohamed Non-linear Dynkin games over split stopping times. (English) Zbl 1499.60132 Stat. Probab. Lett. 193, Article ID 109721, 7 p. (2023). MSC: 60G40 91A15 60H10 PDFBibTeX XMLCite \textit{M. Marzougue}, Stat. Probab. Lett. 193, Article ID 109721, 7 p. (2023; Zbl 1499.60132) Full Text: DOI
Lou, Shuwen On transition density functions of skew Brownian motions with two-valued drift. (English) Zbl 1503.60110 Stat. Probab. Lett. 193, Article ID 109712, 9 p. (2023). MSC: 60J35 60J45 60J65 60J60 91G20 PDFBibTeX XMLCite \textit{S. Lou}, Stat. Probab. Lett. 193, Article ID 109712, 9 p. (2023; Zbl 1503.60110) Full Text: DOI arXiv
Ji, Ronglin; Shi, Xuejun; Wang, Shijie; Zhou, Jinming Convexity and sublinearity of \(g\)-expectations. (English) Zbl 1498.60221 Stat. Probab. Lett. 189, Article ID 109569, 8 p. (2022). MSC: 60H10 91G05 60H30 PDFBibTeX XMLCite \textit{R. Ji} et al., Stat. Probab. Lett. 189, Article ID 109569, 8 p. (2022; Zbl 1498.60221) Full Text: DOI
Gairat, Alexander; Shcherbakov, Vadim Skew Brownian motion with dry friction: joint density approach. (English) Zbl 1487.60147 Stat. Probab. Lett. 187, Article ID 109511, 4 p. (2022). MSC: 60J65 60J70 60J60 91G20 PDFBibTeX XMLCite \textit{A. Gairat} and \textit{V. Shcherbakov}, Stat. Probab. Lett. 187, Article ID 109511, 4 p. (2022; Zbl 1487.60147) Full Text: DOI arXiv
Pekalp, Mustafa Hilmi Some new bounds for the mean value function of the residual lifetime process. (English) Zbl 1487.60163 Stat. Probab. Lett. 187, Article ID 109497, 9 p. (2022). MSC: 60K05 91G05 PDFBibTeX XMLCite \textit{M. H. Pekalp}, Stat. Probab. Lett. 187, Article ID 109497, 9 p. (2022; Zbl 1487.60163) Full Text: DOI
Yuan, Meng; Lu, Dawei Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure. (English) Zbl 1484.62127 Stat. Probab. Lett. 185, Article ID 109440, 9 p. (2022). MSC: 62P05 60F10 62E20 91B05 PDFBibTeX XMLCite \textit{M. Yuan} and \textit{D. Lu}, Stat. Probab. Lett. 185, Article ID 109440, 9 p. (2022; Zbl 1484.62127) Full Text: DOI
Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena Parameter estimation in CKLS model by continuous observations. (English) Zbl 1497.60080 Stat. Probab. Lett. 184, Article ID 109391, 10 p. (2022). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 60H10 62F10 62F12 91G70 PDFBibTeX XMLCite \textit{Y. Mishura} et al., Stat. Probab. Lett. 184, Article ID 109391, 10 p. (2022; Zbl 1497.60080) Full Text: DOI arXiv
Hsu, Yu-Sheng; Chen, Pei-Chun; Wu, Cheng-Hsun Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk. (English) Zbl 1484.60094 Stat. Probab. Lett. 184, Article ID 109383, 6 p. (2022). MSC: 60J70 62P05 91G20 91G60 PDFBibTeX XMLCite \textit{Y.-S. Hsu} et al., Stat. Probab. Lett. 184, Article ID 109383, 6 p. (2022; Zbl 1484.60094) Full Text: DOI
Fu, Ke-Ang; Liu, Yang; Wang, Jiangfeng Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times. (English) Zbl 1480.91075 Stat. Probab. Lett. 184, Article ID 109365, 7 p. (2022). MSC: 91B05 60F10 PDFBibTeX XMLCite \textit{K.-A. Fu} et al., Stat. Probab. Lett. 184, Article ID 109365, 7 p. (2022; Zbl 1480.91075) Full Text: DOI
Moresco, Marlon Ruoso; Righi, Marcelo Brutti On the link between monetary and star-shaped risk measures. (English) Zbl 1493.91147 Stat. Probab. Lett. 184, Article ID 109345, 7 p. (2022). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 91G70 PDFBibTeX XMLCite \textit{M. R. Moresco} and \textit{M. B. Righi}, Stat. Probab. Lett. 184, Article ID 109345, 7 p. (2022; Zbl 1493.91147) Full Text: DOI arXiv
Sun, Chuanfeng; Ji, Shaolin; Kong, Chuiliu The least squares estimator of random variables under convex operators on \(L_{\mathcal{F}}^\infty (\mu)\) space. (English) Zbl 1478.62214 Stat. Probab. Lett. 181, Article ID 109268, 7 p. (2022). MSC: 62J99 91G70 93E11 PDFBibTeX XMLCite \textit{C. Sun} et al., Stat. Probab. Lett. 181, Article ID 109268, 7 p. (2022; Zbl 1478.62214) Full Text: DOI
Krystecki, Konrad Parisian ruin probability for two-dimensional Brownian risk model. (English) Zbl 1478.60112 Stat. Probab. Lett. 182, Article ID 109327, 10 p. (2022). MSC: 60G15 60G51 91G05 60G70 PDFBibTeX XMLCite \textit{K. Krystecki}, Stat. Probab. Lett. 182, Article ID 109327, 10 p. (2022; Zbl 1478.60112) Full Text: DOI arXiv
Liu, Yang; Chen, Zhenlong; Fu, Ke-Ang Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims. (English) Zbl 1473.62351 Stat. Probab. Lett. 177, Article ID 109174, 11 p. (2021). MSC: 62P05 62E10 91B05 PDFBibTeX XMLCite \textit{Y. Liu} et al., Stat. Probab. Lett. 177, Article ID 109174, 11 p. (2021; Zbl 1473.62351) Full Text: DOI
Sarantsev, Andrey Optimal portfolio with power utility of absolute and relative wealth. (English) Zbl 1522.91235 Stat. Probab. Lett. 179, Article ID 109225, 8 p. (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{A. Sarantsev}, Stat. Probab. Lett. 179, Article ID 109225, 8 p. (2021; Zbl 1522.91235) Full Text: DOI arXiv
Cui, Zhenyu; Lee, Chihoon; Zhu, Lingjiong; Zhu, Yunfan Non-convex isotonic regression via the Myersonian approach. (English) Zbl 1478.62091 Stat. Probab. Lett. 179, Article ID 109210, 12 p. (2021). MSC: 62G08 62J02 91B03 PDFBibTeX XMLCite \textit{Z. Cui} et al., Stat. Probab. Lett. 179, Article ID 109210, 12 p. (2021; Zbl 1478.62091) Full Text: DOI
Ma, Hanmin; Tian, Dejian Generalized entropic risk measures and related BSDEs. (English) Zbl 1482.60091 Stat. Probab. Lett. 174, Article ID 109110, 7 p. (2021). MSC: 60H30 60H10 62B10 62P05 91G05 PDFBibTeX XMLCite \textit{H. Ma} and \textit{D. Tian}, Stat. Probab. Lett. 174, Article ID 109110, 7 p. (2021; Zbl 1482.60091) Full Text: DOI
Singh, Vikas Vikram; Lisser, Abdel; Arora, Monika An equivalent mathematical program for games with random constraints. (English) Zbl 1475.91008 Stat. Probab. Lett. 174, Article ID 109092, 7 p. (2021). MSC: 91A06 91A10 90C90 PDFBibTeX XMLCite \textit{V. V. Singh} et al., Stat. Probab. Lett. 174, Article ID 109092, 7 p. (2021; Zbl 1475.91008) Full Text: DOI Link
Leipus, Remigijus; Paukštys, Saulius; Šiaulys, Jonas Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure. (English) Zbl 1460.91298 Stat. Probab. Lett. 170, Article ID 108998, 12 p. (2021). MSC: 91G70 60G70 PDFBibTeX XMLCite \textit{R. Leipus} et al., Stat. Probab. Lett. 170, Article ID 108998, 12 p. (2021; Zbl 1460.91298) Full Text: DOI
Xun, Li; Jiang, Renqiao; Guo, Jianhua The conditional Haezendonck-Goovaerts risk measure. (English) Zbl 1457.91421 Stat. Probab. Lett. 169, Article ID 108968, 10 p. (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G70 91G45 PDFBibTeX XMLCite \textit{L. Xun} et al., Stat. Probab. Lett. 169, Article ID 108968, 10 p. (2021; Zbl 1457.91421) Full Text: DOI
Gapeev, Pavel V. Optimal stopping problems for running minima with positive discounting rates. (English) Zbl 1464.60036 Stat. Probab. Lett. 167, Article ID 108899, 12 p. (2020). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 91G20 PDFBibTeX XMLCite \textit{P. V. Gapeev}, Stat. Probab. Lett. 167, Article ID 108899, 12 p. (2020; Zbl 1464.60036) Full Text: DOI Link
Hägele, Miriam Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions. (English) Zbl 1460.60035 Stat. Probab. Lett. 166, Article ID 108871, 8 p. (2020). MSC: 60G50 91G40 PDFBibTeX XMLCite \textit{M. Hägele}, Stat. Probab. Lett. 166, Article ID 108871, 8 p. (2020; Zbl 1460.60035) Full Text: DOI arXiv Link
Li, Chen; Li, Xiaohu Preservation of weak SAI’s under increasing transformations with applications. (English) Zbl 1455.60034 Stat. Probab. Lett. 164, Article ID 108828, 6 p. (2020). MSC: 60E15 91G10 PDFBibTeX XMLCite \textit{C. Li} and \textit{X. Li}, Stat. Probab. Lett. 164, Article ID 108828, 6 p. (2020; Zbl 1455.60034) Full Text: DOI
Yu, Qian; Bajja, Salwa Volatility estimation of general Gaussian Ornstein-Uhlenbeck process. (English) Zbl 1460.60023 Stat. Probab. Lett. 163, Article ID 108796, 10 p. (2020). MSC: 60G15 91G80 PDFBibTeX XMLCite \textit{Q. Yu} and \textit{S. Bajja}, Stat. Probab. Lett. 163, Article ID 108796, 10 p. (2020; Zbl 1460.60023) Full Text: DOI arXiv
Boguslavskaya, Elena; Vostrikova, Lioudmila Revisiting integral functionals of geometric Brownian motion. (English) Zbl 1460.60037 Stat. Probab. Lett. 165, Article ID 108834, 6 p. (2020). MSC: 60G51 60J65 91G80 PDFBibTeX XMLCite \textit{E. Boguslavskaya} and \textit{L. Vostrikova}, Stat. Probab. Lett. 165, Article ID 108834, 6 p. (2020; Zbl 1460.60037) Full Text: DOI arXiv
Yang, Yang; Jiang, Tao; Wang, Kaiyong; Yuen, Kam C. Interplay of financial and insurance risks in dependent discrete-time risk models. (English) Zbl 1436.62501 Stat. Probab. Lett. 162, Article ID 108752, 11 p. (2020). MSC: 62P05 62E10 91B05 62H10 62M10 PDFBibTeX XMLCite \textit{Y. Yang} et al., Stat. Probab. Lett. 162, Article ID 108752, 11 p. (2020; Zbl 1436.62501) Full Text: DOI
Zhang, Yue; Yuan, Mingao Nonreconstruction of high-dimensional stochastic block model with bounded degree. (English) Zbl 1430.91071 Stat. Probab. Lett. 158, Article ID 108675, 6 p. (2020). MSC: 91D30 05C80 PDFBibTeX XMLCite \textit{Y. Zhang} and \textit{M. Yuan}, Stat. Probab. Lett. 158, Article ID 108675, 6 p. (2020; Zbl 1430.91071) Full Text: DOI
Yuan, Hongmin; Jiang, Long; Tian, Dejian Representation theorems for WVaR with respect to a capacity. (English) Zbl 1430.91135 Stat. Probab. Lett. 158, Article ID 108655, 8 p. (2020). MSC: 91G70 PDFBibTeX XMLCite \textit{H. Yuan} et al., Stat. Probab. Lett. 158, Article ID 108655, 8 p. (2020; Zbl 1430.91135) Full Text: DOI
Ganesan, Ghurumuruhan Extremal paths in inhomogenous random graphs. (English) Zbl 1437.60042 Stat. Probab. Lett. 156, Article ID 108593, 7 p. (2020). Reviewer: Yilun Shang (Newcastle) MSC: 60J10 60K35 60C05 62E10 90B15 91D30 PDFBibTeX XMLCite \textit{G. Ganesan}, Stat. Probab. Lett. 156, Article ID 108593, 7 p. (2020; Zbl 1437.60042) Full Text: DOI
Dong, Hua; Zhou, Xiaowen On a spectrally negative Lévy risk process with periodic dividends and capital injections. (English) Zbl 1425.91221 Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{H. Dong} and \textit{X. Zhou}, Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019; Zbl 1425.91221) Full Text: DOI
Hayashi, Takaki; Koike, Yuta No arbitrage and lead-lag relationships. (English) Zbl 1457.91358 Stat. Probab. Lett. 154, Article ID 108530, 11 p. (2019). MSC: 91G15 60G44 60H30 PDFBibTeX XMLCite \textit{T. Hayashi} and \textit{Y. Koike}, Stat. Probab. Lett. 154, Article ID 108530, 11 p. (2019; Zbl 1457.91358) Full Text: DOI arXiv
Benazzoli, Chiara; Campi, Luciano; Di Persio, Luca \(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps. (English) Zbl 1425.91044 Stat. Probab. Lett. 154, Article ID 108522, 8 p. (2019). MSC: 91A15 91A23 91A06 60J75 PDFBibTeX XMLCite \textit{C. Benazzoli} et al., Stat. Probab. Lett. 154, Article ID 108522, 8 p. (2019; Zbl 1425.91044) Full Text: DOI arXiv Link
Lin, Jianxi Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples. (English) Zbl 1427.62013 Stat. Probab. Lett. 153, 37-47 (2019). MSC: 62E20 60G50 62P05 62G32 91B05 PDFBibTeX XMLCite \textit{J. Lin}, Stat. Probab. Lett. 153, 37--47 (2019; Zbl 1427.62013) Full Text: DOI
Sirovich, Roberta; Testa, Luisa On the first positive and negative excursion exceeding a given length. (English) Zbl 1454.60124 Stat. Probab. Lett. 150, 137-145 (2019). MSC: 60J60 60G17 91G20 PDFBibTeX XMLCite \textit{R. Sirovich} and \textit{L. Testa}, Stat. Probab. Lett. 150, 137--145 (2019; Zbl 1454.60124) Full Text: DOI Link
Yang, Haizhong; Li, Jinzhu On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims. (English) Zbl 1427.62125 Stat. Probab. Lett. 149, 153-159 (2019). MSC: 62P05 91B05 60K10 PDFBibTeX XMLCite \textit{H. Yang} and \textit{J. Li}, Stat. Probab. Lett. 149, 153--159 (2019; Zbl 1427.62125) Full Text: DOI
Abi Jaber, Eduardo; El Euch, Omar Markovian structure of the Volterra Heston model. (English) Zbl 1458.60078 Stat. Probab. Lett. 149, 63-72 (2019). MSC: 60H20 45D05 91G99 PDFBibTeX XMLCite \textit{E. Abi Jaber} and \textit{O. El Euch}, Stat. Probab. Lett. 149, 63--72 (2019; Zbl 1458.60078) Full Text: DOI arXiv Link
Angel, Omer; Matzavinos, Anastasios; Roitershtein, Alexander Limit theorem for the Robin Hood game. (English) Zbl 1459.60115 Stat. Probab. Lett. 149, 9-15 (2019). MSC: 60G70 60C05 60F05 91A15 PDFBibTeX XMLCite \textit{O. Angel} et al., Stat. Probab. Lett. 149, 9--15 (2019; Zbl 1459.60115) Full Text: DOI Link
Chen, Ouxiang; Hu, Taizhong Extreme-aggregation measures in the RDEU model. (English) Zbl 1420.91127 Stat. Probab. Lett. 148, 155-163 (2019). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{O. Chen} and \textit{T. Hu}, Stat. Probab. Lett. 148, 155--163 (2019; Zbl 1420.91127) Full Text: DOI
Choe, Geon Ho; Jang, Hyun Jin; Na, Young Hoon Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes. (English) Zbl 1420.91453 Stat. Probab. Lett. 148, 43-53 (2019). MSC: 91G20 60J70 62P05 PDFBibTeX XMLCite \textit{G. H. Choe} et al., Stat. Probab. Lett. 148, 43--53 (2019; Zbl 1420.91453) Full Text: DOI
Wei, Qingda Nonzero-sum risk-sensitive finite-horizon continuous-time stochastic games. (English) Zbl 1420.91014 Stat. Probab. Lett. 147, 96-104 (2019). MSC: 91A15 91A05 91A44 PDFBibTeX XMLCite \textit{Q. Wei}, Stat. Probab. Lett. 147, 96--104 (2019; Zbl 1420.91014) Full Text: DOI
Cornilly, Dries; Vanduffel, Steven Equivalent distortion risk measures on moment spaces. (English) Zbl 1450.62131 Stat. Probab. Lett. 146, 187-192 (2019). MSC: 62P05 62H20 91B05 91G70 PDFBibTeX XMLCite \textit{D. Cornilly} and \textit{S. Vanduffel}, Stat. Probab. Lett. 146, 187--192 (2019; Zbl 1450.62131) Full Text: DOI
Yang, Yang; Su, Wen; Zhang, Zhimin Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion. (English) Zbl 1450.62133 Stat. Probab. Lett. 146, 147-155 (2019). MSC: 62P05 62G07 91G70 PDFBibTeX XMLCite \textit{Y. Yang} et al., Stat. Probab. Lett. 146, 147--155 (2019; Zbl 1450.62133) Full Text: DOI
Lkabous, Mohamed Amine A note on Parisian ruin under a hybrid observation scheme. (English) Zbl 1414.62422 Stat. Probab. Lett. 145, 147-157 (2019). MSC: 62P05 91B30 62M10 PDFBibTeX XMLCite \textit{M. A. Lkabous}, Stat. Probab. Lett. 145, 147--157 (2019; Zbl 1414.62422) Full Text: DOI arXiv
Zhang, Xiaoke; Gastwirth, Joseph L. Large sample properties of a new measure of income inequality. (English) Zbl 1414.62506 Stat. Probab. Lett. 145, 50-56 (2019). MSC: 62P20 62F12 91B82 PDFBibTeX XMLCite \textit{X. Zhang} and \textit{J. L. Gastwirth}, Stat. Probab. Lett. 145, 50--56 (2019; Zbl 1414.62506) Full Text: DOI
Yin, Cuihong; Lin, X. Sheldon; Huang, Rongtan; Yuan, Haili On the consistency of penalized MLEs for Erlang mixtures. (English) Zbl 1414.62424 Stat. Probab. Lett. 145, 12-20 (2019). MSC: 62P05 62F10 91B30 62H30 PDFBibTeX XMLCite \textit{C. Yin} et al., Stat. Probab. Lett. 145, 12--20 (2019; Zbl 1414.62424) Full Text: DOI
Pérez, José-Luis; Yamazaki, Kazutoshi American options under periodic exercise opportunities. (English) Zbl 1410.91462 Stat. Probab. Lett. 135, 92-101 (2018). MSC: 91G20 60G40 60J75 60G51 PDFBibTeX XMLCite \textit{J.-L. Pérez} and \textit{K. Yamazaki}, Stat. Probab. Lett. 135, 92--101 (2018; Zbl 1410.91462) Full Text: DOI arXiv
Zhao, Xianghua; Dong, Hua; Dai, Hongshuai On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments. (English) Zbl 1410.91297 Stat. Probab. Lett. 140, 176-184 (2018). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{X. Zhao} et al., Stat. Probab. Lett. 140, 176--184 (2018; Zbl 1410.91297) Full Text: DOI
Liang, Xiaoqing; Young, Virginia R. Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance. (English) Zbl 1410.91272 Stat. Probab. Lett. 140, 167-175 (2018). MSC: 91B30 93E20 60H30 PDFBibTeX XMLCite \textit{X. Liang} and \textit{V. R. Young}, Stat. Probab. Lett. 140, 167--175 (2018; Zbl 1410.91272) Full Text: DOI
Li, Jinzhu A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model. (English) Zbl 1457.62333 Stat. Probab. Lett. 140, 23-32 (2018). MSC: 62P05 62E10 91B05 PDFBibTeX XMLCite \textit{J. Li}, Stat. Probab. Lett. 140, 23--32 (2018; Zbl 1457.62333) Full Text: DOI
Giudici, Paolo Financial data science. (English) Zbl 1463.62320 Stat. Probab. Lett. 136, 160-164 (2018). MSC: 62P05 91G70 62A09 62R07 PDFBibTeX XMLCite \textit{P. Giudici}, Stat. Probab. Lett. 136, 160--164 (2018; Zbl 1463.62320) Full Text: DOI
Biswas, Arunangshu; Goswami, Anindya; Overbeck, Ludger Option pricing in a regime switching stochastic volatility model. (English) Zbl 1393.91131 Stat. Probab. Lett. 138, 116-126 (2018). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{A. Biswas} et al., Stat. Probab. Lett. 138, 116--126 (2018; Zbl 1393.91131) Full Text: DOI arXiv
Sendova, Kristina P.; Yang, Chen; Zhang, Ruixi Dividend barrier strategy: proceed with caution. (English) Zbl 1419.91382 Stat. Probab. Lett. 137, 157-164 (2018). MSC: 91B30 60G51 62P05 60K10 PDFBibTeX XMLCite \textit{K. P. Sendova} et al., Stat. Probab. Lett. 137, 157--164 (2018; Zbl 1419.91382) Full Text: DOI
Packham, N. Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present. (English) Zbl 1397.91331 Stat. Probab. Lett. 137, 99-104 (2018). MSC: 91B40 60H30 PDFBibTeX XMLCite \textit{N. Packham}, Stat. Probab. Lett. 137, 99--104 (2018; Zbl 1397.91331) Full Text: DOI arXiv
Aazizi, Soufiane; El Mellali, Tarik; Fakhouri, Imade; Ouknine, Youssef Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections. (English) Zbl 1396.60043 Stat. Probab. Lett. 137, 70-78 (2018). MSC: 60G40 60H10 93E20 91B99 PDFBibTeX XMLCite \textit{S. Aazizi} et al., Stat. Probab. Lett. 137, 70--78 (2018; Zbl 1396.60043) Full Text: DOI
Ji, Shaolin; Shi, Xiaomin Reaching goals under ambiguity: continuous-time optimal portfolio selection. (English) Zbl 1419.91584 Stat. Probab. Lett. 137, 63-69 (2018). MSC: 91G10 35Q91 PDFBibTeX XMLCite \textit{S. Ji} and \textit{X. Shi}, Stat. Probab. Lett. 137, 63--69 (2018; Zbl 1419.91584) Full Text: DOI
Oshime, Takayoshi; Shimizu, Yasutaka Parametric inference for ruin probability in the classical risk model. (English) Zbl 1380.62245 Stat. Probab. Lett. 133, 28-37 (2018). MSC: 62P05 62M05 62F12 62F25 91B30 PDFBibTeX XMLCite \textit{T. Oshime} and \textit{Y. Shimizu}, Stat. Probab. Lett. 133, 28--37 (2018; Zbl 1380.62245) Full Text: DOI
Wei, Fengrong; Tian, Weizhong Heterogeneous connection effects. (English) Zbl 1440.62263 Stat. Probab. Lett. 133, 9-14 (2018). MSC: 62J02 62H12 91D30 PDFBibTeX XMLCite \textit{F. Wei} and \textit{W. Tian}, Stat. Probab. Lett. 133, 9--14 (2018; Zbl 1440.62263) Full Text: DOI
Gajek, Lesław; Rudź, Marcin A generalization of Gerber’s inequality for ruin probabilities in risk-switching models. (English) Zbl 1415.91153 Stat. Probab. Lett. 129, 236-240 (2017). MSC: 91B30 60J20 60K10 PDFBibTeX XMLCite \textit{L. Gajek} and \textit{M. Rudź}, Stat. Probab. Lett. 129, 236--240 (2017; Zbl 1415.91153) Full Text: DOI
Fu, Ke-Ang; Ng, Cheuk Yin Andrew Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments. (English) Zbl 1377.91109 Stat. Probab. Lett. 125, 227-235 (2017). MSC: 91B30 60K10 62P05 62E20 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{C. Y. A. Ng}, Stat. Probab. Lett. 125, 227--235 (2017; Zbl 1377.91109) Full Text: DOI
Eisenberg, Bennett; Diao, Shuotao Properties of the Kelly bets for pairs of binary wagers. (English) Zbl 1405.91085 Stat. Probab. Lett. 125, 215-219 (2017). MSC: 91A60 PDFBibTeX XMLCite \textit{B. Eisenberg} and \textit{S. Diao}, Stat. Probab. Lett. 125, 215--219 (2017; Zbl 1405.91085) Full Text: DOI
Shokrollahi, Foad; Sottinen, Tommi Hedging in fractional Black-Scholes model with transaction costs. (English) Zbl 1405.91572 Stat. Probab. Lett. 130, 85-91 (2017). MSC: 91G10 91G20 60G22 PDFBibTeX XMLCite \textit{F. Shokrollahi} and \textit{T. Sottinen}, Stat. Probab. Lett. 130, 85--91 (2017; Zbl 1405.91572) Full Text: DOI arXiv
Chen, Yanhong; Hu, Yijun Set-valued risk statistics with scenario analysis. (English) Zbl 1405.91250 Stat. Probab. Lett. 131, 25-37 (2017). MSC: 91B30 46N10 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{Y. Hu}, Stat. Probab. Lett. 131, 25--37 (2017; Zbl 1405.91250) Full Text: DOI
Li, Jinzhu A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation. (English) Zbl 1391.62195 Stat. Probab. Lett. 127, 49-55 (2017). MSC: 62P05 60K10 91B30 PDFBibTeX XMLCite \textit{J. Li}, Stat. Probab. Lett. 127, 49--55 (2017; Zbl 1391.62195) Full Text: DOI
Zhou, Jieming; Yang, Xiangqun; Guo, Junyi Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion. (English) Zbl 1380.91088 Stat. Probab. Lett. 126, 139-149 (2017). MSC: 91B30 91G10 60G51 PDFBibTeX XMLCite \textit{J. Zhou} et al., Stat. Probab. Lett. 126, 139--149 (2017; Zbl 1380.91088) Full Text: DOI
Tsionas, Mike G. A non-iterative (trivial) method for posterior inference in stochastic volatility models. (English) Zbl 1383.62327 Stat. Probab. Lett. 126, 83-87 (2017). MSC: 62P20 65C05 91B70 PDFBibTeX XMLCite \textit{M. G. Tsionas}, Stat. Probab. Lett. 126, 83--87 (2017; Zbl 1383.62327) Full Text: DOI Link
Bedini, Matteo L.; Hinz, Michael Credit default prediction and parabolic potential theory. (English) Zbl 1463.91186 Stat. Probab. Lett. 124, 121-125 (2017). MSC: 91G40 PDFBibTeX XMLCite \textit{M. L. Bedini} and \textit{M. Hinz}, Stat. Probab. Lett. 124, 121--125 (2017; Zbl 1463.91186) Full Text: DOI arXiv
Shao, Hui Decomposing aggregate risk into marginal risks under partial information: A top-down method. (English) Zbl 1463.91034 Stat. Probab. Lett. 124, 97-100 (2017). MSC: 91B05 91G50 PDFBibTeX XMLCite \textit{H. Shao}, Stat. Probab. Lett. 124, 97--100 (2017; Zbl 1463.91034) Full Text: DOI
Ming, Ruixing; Wang, Wenyuan; Hu, Yijun On maximizing expected discounted taxation in a risk process with interest. (English) Zbl 1415.91158 Stat. Probab. Lett. 122, 128-140 (2017). MSC: 91B30 49L20 91B64 PDFBibTeX XMLCite \textit{R. Ming} et al., Stat. Probab. Lett. 122, 128--140 (2017; Zbl 1415.91158) Full Text: DOI
Bai, Long; Luo, Li Parisian ruin of the Brownian motion risk model with constant force of interest. (English) Zbl 1352.60114 Stat. Probab. Lett. 120, 34-44 (2017). MSC: 60J65 60G15 60G70 91B30 PDFBibTeX XMLCite \textit{L. Bai} and \textit{L. Luo}, Stat. Probab. Lett. 120, 34--44 (2017; Zbl 1352.60114) Full Text: DOI arXiv
Liu, Peng; Zhang, Chunsheng; Ji, Lanpeng A note on ruin problems in perturbed classical risk models. (English) Zbl 1463.91033 Stat. Probab. Lett. 120, 28-33 (2017). MSC: 91B05 60K10 PDFBibTeX XMLCite \textit{P. Liu} et al., Stat. Probab. Lett. 120, 28--33 (2017; Zbl 1463.91033) Full Text: DOI arXiv
Yang, Xu Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises. (English) Zbl 1352.60087 Stat. Probab. Lett. 120, 18-27 (2017). MSC: 60H10 62F12 60H30 60G51 91G20 PDFBibTeX XMLCite \textit{X. Yang}, Stat. Probab. Lett. 120, 18--27 (2017; Zbl 1352.60087) Full Text: DOI arXiv
Bernardi, M.; Durante, F.; Jaworski, P. Covar of families of copulas. (English) Zbl 1417.62298 Stat. Probab. Lett. 120, 8-17 (2017). MSC: 62P05 60E05 91G70 PDFBibTeX XMLCite \textit{M. Bernardi} et al., Stat. Probab. Lett. 120, 8--17 (2017; Zbl 1417.62298) Full Text: DOI
Nguyen, Tien Dung Tail probability estimates for additive functionals. (English) Zbl 1350.60074 Stat. Probab. Lett. 119, 349-356 (2016). MSC: 60J55 60G22 60H07 91G30 PDFBibTeX XMLCite \textit{T. D. Nguyen}, Stat. Probab. Lett. 119, 349--356 (2016; Zbl 1350.60074) Full Text: DOI
Maulik, Krishanu; Podder, Moumanti Ruin probabilities under Sarmanov dependence structure. (English) Zbl 1397.60088 Stat. Probab. Lett. 117, 173-182 (2016). MSC: 60G70 60E05 91B30 PDFBibTeX XMLCite \textit{K. Maulik} and \textit{M. Podder}, Stat. Probab. Lett. 117, 173--182 (2016; Zbl 1397.60088) Full Text: DOI arXiv
Chan, Ngai Hang; Sit, Tony Artifactual unit root behavior of value at risk (VaR). (English) Zbl 1386.91171 Stat. Probab. Lett. 116, 88-93 (2016). MSC: 91G70 62M10 62P05 PDFBibTeX XMLCite \textit{N. H. Chan} and \textit{T. Sit}, Stat. Probab. Lett. 116, 88--93 (2016; Zbl 1386.91171) Full Text: DOI
Lu, Dawei; Zhang, Bin Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims. (English) Zbl 1414.91217 Stat. Probab. Lett. 114, 20-29 (2016). MSC: 91B30 62E20 60K05 60K10 PDFBibTeX XMLCite \textit{D. Lu} and \textit{B. Zhang}, Stat. Probab. Lett. 114, 20--29 (2016; Zbl 1414.91217) Full Text: DOI
Shen, Xinmei; Xu, Menghao; Mills, Ebenezer Fiifi Emire Atta Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model. (English) Zbl 1337.60033 Stat. Probab. Lett. 114, 6-13 (2016). MSC: 60F10 60K05 91B30 PDFBibTeX XMLCite \textit{X. Shen} et al., Stat. Probab. Lett. 114, 6--13 (2016; Zbl 1337.60033) Full Text: DOI
Czarna, Irmina; Renaud, Jean-François A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes. (English) Zbl 1337.91046 Stat. Probab. Lett. 113, 54-61 (2016). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{I. Czarna} and \textit{J.-F. Renaud}, Stat. Probab. Lett. 113, 54--61 (2016; Zbl 1337.91046) Full Text: DOI Link
Glazyrina, Anna; Melnikov, Alexander Bernstein’s inequalities and their extensions for getting the Black-Scholes option pricing formula. (English) Zbl 1338.91140 Stat. Probab. Lett. 111, 86-92 (2016). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G20 41A25 60G15 PDFBibTeX XMLCite \textit{A. Glazyrina} and \textit{A. Melnikov}, Stat. Probab. Lett. 111, 86--92 (2016; Zbl 1338.91140) Full Text: DOI
Dung, Nguyen Tien Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model. (English) Zbl 1336.91082 Stat. Probab. Lett. 112, 98-104 (2016). MSC: 91G30 60H10 60H07 PDFBibTeX XMLCite \textit{N. T. Dung}, Stat. Probab. Lett. 112, 98--104 (2016; Zbl 1336.91082) Full Text: DOI
Chorro, Christophe A simple probabilistic approach of the yard-sale model. (English) Zbl 1382.91056 Stat. Probab. Lett. 112, 35-40 (2016). MSC: 91B64 91A80 60H30 PDFBibTeX XMLCite \textit{C. Chorro}, Stat. Probab. Lett. 112, 35--40 (2016; Zbl 1382.91056) Full Text: DOI Link
Wang, Dongliang; Zhao, Yichuan; Gilmore, Dirk W. Jackknife empirical likelihood confidence interval for the Gini index. (English) Zbl 1383.62328 Stat. Probab. Lett. 110, 289-295 (2016). MSC: 62P20 62G09 91B82 PDFBibTeX XMLCite \textit{D. Wang} et al., Stat. Probab. Lett. 110, 289--295 (2016; Zbl 1383.62328) Full Text: DOI
Liu, Xiangdong; Xiong, Jie; Zhang, Shuaiqi The Gerber-Shiu discounted penalty function in the classical risk model with impulsive dividend policy. (English) Zbl 1357.91020 Stat. Probab. Lett. 107, 183-190 (2015). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{X. Liu} et al., Stat. Probab. Lett. 107, 183--190 (2015; Zbl 1357.91020) Full Text: DOI
Pinelis, Iosif Characteristic function of the positive part of a random variable and related results, with applications. (English) Zbl 1397.60043 Stat. Probab. Lett. 106, 281-286 (2015). MSC: 60E10 44A15 60G50 91G20 PDFBibTeX XMLCite \textit{I. Pinelis}, Stat. Probab. Lett. 106, 281--286 (2015; Zbl 1397.60043) Full Text: DOI arXiv
Li, Peng; Zhou, Ming; Yin, Chuancun Optimal reinsurance with both proportional and fixed costs. (English) Zbl 1398.91341 Stat. Probab. Lett. 106, 134-141 (2015). MSC: 91B30 60G40 60J70 PDFBibTeX XMLCite \textit{P. Li} et al., Stat. Probab. Lett. 106, 134--141 (2015; Zbl 1398.91341) Full Text: DOI
Kromer, E.; Overbeck, L.; Röder, J. A. L. Feynman-Kac for functional jump diffusions with an application to credit value adjustment. (English) Zbl 1330.60098 Stat. Probab. Lett. 105, 120-129 (2015). MSC: 60J60 60J75 60H10 60H05 91G40 91G80 PDFBibTeX XMLCite \textit{E. Kromer} et al., Stat. Probab. Lett. 105, 120--129 (2015; Zbl 1330.60098) Full Text: DOI
Qiao, Gaoxiu; Yao, Qiang Weak convergence of equity derivatives pricing with default risk. (English) Zbl 1328.91278 Stat. Probab. Lett. 103, 46-56 (2015). MSC: 91G20 91G80 60B10 PDFBibTeX XMLCite \textit{G. Qiao} and \textit{Q. Yao}, Stat. Probab. Lett. 103, 46--56 (2015; Zbl 1328.91278) Full Text: DOI arXiv
Jiang, Tao; Cui, Sheng; Ming, Ruixing Large deviations for the stochastic present value of aggregate claims in the renewal risk model. (English) Zbl 1330.60049 Stat. Probab. Lett. 101, 83-91 (2015). MSC: 60F10 60G51 60K05 91B30 PDFBibTeX XMLCite \textit{T. Jiang} et al., Stat. Probab. Lett. 101, 83--91 (2015; Zbl 1330.60049) Full Text: DOI
Louchard, Guy; Ward, Mark Daniel The truncated geometric election algorithm: duration of the election. (English) Zbl 1328.60020 Stat. Probab. Lett. 101, 40-48 (2015). MSC: 60C05 68W40 91B12 PDFBibTeX XMLCite \textit{G. Louchard} and \textit{M. D. Ward}, Stat. Probab. Lett. 101, 40--48 (2015; Zbl 1328.60020) Full Text: DOI
Pan, Xiaoqing; Yuan, Min; Kochar, Subhash C. Stochastic comparisons of weighted sums of arrangement increasing random variables. (English) Zbl 1330.60038 Stat. Probab. Lett. 102, 42-50 (2015). MSC: 60E15 62N05 62G30 91B32 PDFBibTeX XMLCite \textit{X. Pan} et al., Stat. Probab. Lett. 102, 42--50 (2015; Zbl 1330.60038) Full Text: DOI Link
Wang, Ruodu; Ziegel, Johanna F. Elicitable distortion risk measures: a concise proof. (English) Zbl 1320.91097 Stat. Probab. Lett. 100, 172-175 (2015). MSC: 91B30 60A05 62M20 62P05 PDFBibTeX XMLCite \textit{R. Wang} and \textit{J. F. Ziegel}, Stat. Probab. Lett. 100, 172--175 (2015; Zbl 1320.91097) Full Text: DOI Link