Chang, Jinyuan; Chen, Cheng; Qiao, Xinghao; Yao, Qiwei An autocovariance-based learning framework for high-dimensional functional time series. (English) Zbl 07814005 J. Econom. 239, No. 2, Article ID 105385, 25 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Chang} et al., J. Econom. 239, No. 2, Article ID 105385, 25 p. (2024; Zbl 07814005) Full Text: DOI arXiv
Wang, Bingjie; Li, Jinzhu Asymptotic results on tail moment for light-tailed risks. (English) Zbl 07804019 Insur. Math. Econ. 114, 43-55 (2024). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{B. Wang} and \textit{J. Li}, Insur. Math. Econ. 114, 43--55 (2024; Zbl 07804019) Full Text: DOI
Bandi, Federico M.; Pirino, Davide; Renò, Roberto Systematic staleness. (English) Zbl 07803923 J. Econom. 238, No. 1, Article ID 105522, 38 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. M. Bandi} et al., J. Econom. 238, No. 1, Article ID 105522, 38 p. (2024; Zbl 07803923) Full Text: DOI
Liu, Xijun; Gao, Qingwu; Dong, Zimai Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims. (English) Zbl 07803299 Stoch. Models 40, No. 1, 97-122 (2024). MSC: 62E20 62P05 91B30 PDFBibTeX XMLCite \textit{X. Liu} et al., Stoch. Models 40, No. 1, 97--122 (2024; Zbl 07803299) Full Text: DOI
Yang, Yang; Bian, Tongxin; Chen, Shaoying Tail behavior of discounted portfolio loss under upper tail comonotonicity. (English) Zbl 07799967 J. Ind. Manag. Optim. 20, No. 3, 1296-1317 (2024). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 20, No. 3, 1296--1317 (2024; Zbl 07799967) Full Text: DOI
Miyoshi, Hiroyuki; Crowdy, Darren G. Estimating conformal capacity using asymptotic matching. (English) Zbl 07813608 IMA J. Appl. Math. 88, No. 3, 472-497 (2023). MSC: 91-XX 92-XX PDFBibTeX XMLCite \textit{H. Miyoshi} and \textit{D. G. Crowdy}, IMA J. Appl. Math. 88, No. 3, 472--497 (2023; Zbl 07813608) Full Text: DOI OA License
Pirjol, Dan; Zhu, Lingjiong Short-maturity asymptotics for option prices with interest rate effects. (English) Zbl 07806897 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350023, 28 p. (2023). MSC: 91G20 91G30 60F10 PDFBibTeX XMLCite \textit{D. Pirjol} and \textit{L. Zhu}, Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2350023, 28 p. (2023; Zbl 07806897) Full Text: DOI
Dall’Acqua, Enrico; Longoni, Riccardo; Pallavicini, Andrea Rough-Heston local-volatility model. (English) Zbl 07806895 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350021, 18 p. (2023). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{E. Dall'Acqua} et al., Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2350021, 18 p. (2023; Zbl 07806895) Full Text: DOI arXiv
Bugni, Federico A.; Li, Jia; Li, Qiyuan Permutation-based tests for discontinuities in event studies. (English) Zbl 07766836 Quant. Econ. 14, No. 1, 37-70 (2023). MSC: 91-XX PDFBibTeX XMLCite \textit{F. A. Bugni} et al., Quant. Econ. 14, No. 1, 37--70 (2023; Zbl 07766836) Full Text: DOI arXiv OA License
Yuan, Meng; Lu, Dawei Asymptotics for a time-dependent by-claim model with dependent subexponential claims. (English) Zbl 1522.62096 Insur. Math. Econ. 112, 120-141 (2023). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{M. Yuan} and \textit{D. Lu}, Insur. Math. Econ. 112, 120--141 (2023; Zbl 1522.62096) Full Text: DOI
Forde, Martin; Smith, Benjamin Markovian stochastic volatility with stochastic correlation – joint calibration and consistency of SPX/VIX short-maturity smiles. (English) Zbl 1521.91358 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350007, 42 p. (2023). MSC: 91G20 60F10 60G46 PDFBibTeX XMLCite \textit{M. Forde} and \textit{B. Smith}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350007, 42 p. (2023; Zbl 1521.91358) 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
Chen, Yiqing; Liu, Jiajun; Yang, Yang Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks. (English) Zbl 1514.62204 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 14, 26 p. (2023). MSC: 62P05 62E20 91G05 PDFBibTeX XMLCite \textit{Y. Chen} et al., Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 14, 26 p. (2023; Zbl 1514.62204) Full Text: DOI
Wang, Yiwei; Yang, Nian Asymptotics for the survival probability of time-inhomogeneous diffusion processes. (English) Zbl 1525.60100 Oper. Res. Lett. 51, No. 3, 308-311 (2023). MSC: 60J60 91G20 PDFBibTeX XMLCite \textit{Y. Wang} and \textit{N. Yang}, Oper. Res. Lett. 51, No. 3, 308--311 (2023; Zbl 1525.60100) Full Text: DOI
Yazdani, Salamn; Hadizadeh, Mahmoud; Fakoor, Vahid An asymptotic computational method for the nonlinear weakly singular integral models in option pricing. (English) Zbl 1524.91153 J. Math. Model. 11, No. 1, 171-185 (2023). MSC: 91G60 65R20 45M05 45D05 91G20 PDFBibTeX XMLCite \textit{S. Yazdani} et al., J. Math. Model. 11, No. 1, 171--185 (2023; Zbl 1524.91153) Full Text: DOI
Fibich, Gadi; Golan, Amit; Schochet, Steve Compartmental limit of discrete Bass models on networks. (English) Zbl 1512.91096 Discrete Contin. Dyn. Syst., Ser. B 28, No. 5, 3052-3078 (2023). MSC: 91D30 34E10 PDFBibTeX XMLCite \textit{G. Fibich} et al., Discrete Contin. Dyn. Syst., Ser. B 28, No. 5, 3052--3078 (2023; Zbl 1512.91096) Full Text: DOI arXiv
Hwang, Jungbin; Valdés, Gonzalo Finite-sample corrected inference for two-step GMM in time series. (English) Zbl 07674660 J. Econom. 234, No. 1, 327-352 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Hwang} and \textit{G. Valdés}, J. Econom. 234, No. 1, 327--352 (2023; Zbl 07674660) Full Text: DOI
Yang, Yang; Liu, Shuang; Liu, Jie Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses. (English) Zbl 1524.62519 J. Ind. Manag. Optim. 19, No. 7, 5025-5044 (2023). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 19, No. 7, 5025--5044 (2023; Zbl 1524.62519) Full Text: DOI
Li, Jinzhu Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims. (English) Zbl 1524.62512 J. Ind. Manag. Optim. 19, No. 6, 3840-3853 (2023). MSC: 62P05 60K10 62E20 91B05 PDFBibTeX XMLCite \textit{J. Li}, J. Ind. Manag. Optim. 19, No. 6, 3840--3853 (2023; Zbl 1524.62512) Full Text: DOI
Sonntag, Konstantin; Peitz, Sebastian Fast Convergence of Inertial Multiobjective Gradient-like Systems with Asymptotic Vanishing Damping. arXiv:2307.00975 Preprint, arXiv:2307.00975 [math.OC] (2023). MSC: 90C29 90C30 90C25 91A12 91B55 34E10 37L05 90B50 91B55 BibTeX Cite \textit{K. Sonntag} and \textit{S. Peitz}, ``Fast Convergence of Inertial Multiobjective Gradient-like Systems with Asymptotic Vanishing Damping'', Preprint, arXiv:2307.00975 [math.OC] (2023) Full Text: arXiv OA License
Bodnar, Taras; Dette, Holger; Parolya, Nestor; Thorsén, Erik Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions. (English) Zbl 1523.62079 Random Matrices Theory Appl. 11, No. 1, Article ID 2250008, 47 p. (2022); corrigendum ibid. 12, No. 3, Article ID 2392001, 6 p. (2023). MSC: 62P05 62H10 62H12 62E20 91G10 PDFBibTeX XMLCite \textit{T. Bodnar} et al., Random Matrices Theory Appl. 11, No. 1, Article ID 2250008, 47 p. (2022; Zbl 1523.62079) Full Text: DOI arXiv
Blanchet, Jose H.; Reiman, Martin I.; Shah, Virag; Wein, Lawrence M.; Wu, Linjia Asymptotically optimal control of a centralized dynamic matching market with general utilities. (English) Zbl 1509.60161 Oper. Res. 70, No. 6, 3355-3370 (2022). MSC: 60K25 90B22 91B68 PDFBibTeX XMLCite \textit{J. H. Blanchet} et al., Oper. Res. 70, No. 6, 3355--3370 (2022; Zbl 1509.60161) Full Text: DOI arXiv
Ling, Chengxiu; Liu, Jiajun Extremes for a general contagion risk measure. (English) Zbl 1505.91407 Eur. Actuar. J. 12, No. 2, 579-605 (2022). MSC: 91G45 91G70 60G70 PDFBibTeX XMLCite \textit{C. Ling} and \textit{J. Liu}, Eur. Actuar. J. 12, No. 2, 579--605 (2022; Zbl 1505.91407) Full Text: DOI
Palmowski, Zbigniew Ruin probabilities for risk process in a regime-switching environment. (English) Zbl 1505.91337 Scand. Actuar. J. 2022, No. 7, 565-590 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 60F05 PDFBibTeX XMLCite \textit{Z. Palmowski}, Scand. Actuar. J. 2022, No. 7, 565--590 (2022; Zbl 1505.91337) Full Text: DOI arXiv
Klimsiak, Tomasz; Rozkosz, Andrzej Long-time asymptotic behaviour of the value function in nonlinear stopping problems. (English) Zbl 1507.60052 ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1133-1160 (2022). MSC: 60G40 60H10 91G20 PDFBibTeX XMLCite \textit{T. Klimsiak} and \textit{A. Rozkosz}, ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1133--1160 (2022; Zbl 1507.60052) Full Text: arXiv Link
Li, Z. Merrick; Linton, Oliver A ReMeDI for microstructure noise. (English) Zbl 1492.91399 Econometrica 90, No. 1, 367-389 (2022). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{Z. M. Li} and \textit{O. Linton}, Econometrica 90, No. 1, 367--389 (2022; Zbl 1492.91399) Full Text: DOI
Liu, Xijun; Gao, Qingwu Uniform asymptotics for the compound risk model with dependence structures and constant force of interest. (English) Zbl 1490.91052 Stochastics 94, No. 2, 191-211 (2022). MSC: 91B05 60K10 62E20 62P05 PDFBibTeX XMLCite \textit{X. Liu} and \textit{Q. Gao}, Stochastics 94, No. 2, 191--211 (2022; Zbl 1490.91052) Full Text: DOI
Xie, Lin; Xiao, Hongmin; He, Yan The limit property of a risk model based on entrance processes. (English) Zbl 1524.91094 Commun. Stat., Simulation Comput. 51, No. 3, 955-972 (2022). MSC: 91G05 62P05 91B05 PDFBibTeX XMLCite \textit{L. Xie} et al., Commun. Stat., Simulation Comput. 51, No. 3, 955--972 (2022; Zbl 1524.91094) Full Text: DOI
Anatolyev, Stanislav; Mikusheva, Anna Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (English) Zbl 07538792 J. Econom. 229, No. 1, 103-126 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Anatolyev} and \textit{A. Mikusheva}, J. Econom. 229, No. 1, 103--126 (2022; Zbl 07538792) Full Text: DOI arXiv
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo Short-dated smile under rough volatility: asymptotics and numerics. (English) Zbl 1487.91137 Quant. Finance 22, No. 3, 463-480 (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{P. K. Friz} et al., Quant. Finance 22, No. 3, 463--480 (2022; Zbl 1487.91137) Full Text: DOI arXiv
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Kriukov, Nikolai Pandemic-type failures in multivariate Brownian risk models. (English) Zbl 1496.91039 Extremes 25, No. 1, 1-23 (2022). MSC: 91B05 60J70 PDFBibTeX XMLCite \textit{K. Dȩbicki} et al., Extremes 25, No. 1, 1--23 (2022; Zbl 1496.91039) Full Text: DOI arXiv
Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip Dynamic mean-variance problem with frictions. (English) Zbl 1484.91414 Finance Stoch. 26, No. 2, 267-300 (2022). MSC: 91G10 91G80 PDFBibTeX XMLCite \textit{A. Bensoussan} et al., Finance Stoch. 26, No. 2, 267--300 (2022; Zbl 1484.91414) Full Text: DOI
Bouchard, Bruno; Muhle-Karbe, Johannes Simple bounds for utility maximization with small transaction costs. (English) Zbl 1485.91218 Stochastic Processes Appl. 146, 98-113 (2022). MSC: 91G15 91B16 60H07 PDFBibTeX XMLCite \textit{B. Bouchard} and \textit{J. Muhle-Karbe}, Stochastic Processes Appl. 146, 98--113 (2022; Zbl 1485.91218) Full Text: DOI arXiv
Fouque, Jean-Pierre; Hu, Ruimeng; Sircar, Ronnie Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets. (English) Zbl 1483.91214 SIAM J. Financ. Math. 13, No. 1, 109-128 (2022). MSC: 91G10 93E20 60H30 35C20 PDFBibTeX XMLCite \textit{J.-P. Fouque} et al., SIAM J. Financ. Math. 13, No. 1, 109--128 (2022; Zbl 1483.91214) Full Text: DOI arXiv
Pigato, Paolo Density estimates and short-time asymptotics for a hypoelliptic diffusion process. (English) Zbl 1480.60170 Stochastic Processes Appl. 145, 117-142 (2022). MSC: 60H10 60H30 60H07 60J60 60F05 91G20 PDFBibTeX XMLCite \textit{P. Pigato}, Stochastic Processes Appl. 145, 117--142 (2022; Zbl 1480.60170) Full Text: DOI arXiv
Sonntag, Konstantin; Peitz, Sebastian Fast Multiobjective Gradient Methods with Nesterov Acceleration via Inertial Gradient-like Systems. arXiv:2207.12707 Preprint, arXiv:2207.12707 [math.OC] (2022). MSC: 90C29 90C30 90C25 91A12 91B55 34E10 37L05 90B50 91B55 BibTeX Cite \textit{K. Sonntag} and \textit{S. Peitz}, ``Fast Multiobjective Gradient Methods with Nesterov Acceleration via Inertial Gradient-like Systems'', Preprint, arXiv:2207.12707 [math.OC] (2022) Full Text: arXiv OA License
Forde, Martin; Gerhold, Stefan; Smith, Benjamin Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. (English) Zbl 1522.91243 Math. Finance 31, No. 1, 203-241 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G20 91B70 60G60 PDFBibTeX XMLCite \textit{M. Forde} et al., Math. Finance 31, No. 1, 203--241 (2021; Zbl 1522.91243) Full Text: DOI arXiv
Cheng, Dongya Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations. (English) Zbl 1490.62314 Stochastics 93, No. 1, 56-71 (2021). MSC: 62P05 62E10 91B05 PDFBibTeX XMLCite \textit{D. Cheng}, Stochastics 93, No. 1, 56--71 (2021; Zbl 1490.62314) Full Text: DOI
Lin, Jianxi Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims. (English) Zbl 07532943 Commun. Stat., Theory Methods 50, No. 5, 1200-1209 (2021). MSC: 91B30 62E20 60G50 62-XX PDFBibTeX XMLCite \textit{J. Lin}, Commun. Stat., Theory Methods 50, No. 5, 1200--1209 (2021; Zbl 07532943) Full Text: DOI
Wei, Shengxue; Gan, Xiaoli; Xing, Guodong Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure. (English) Zbl 07532110 Commun. Stat., Theory Methods 50, No. 1, 132-142 (2021). MSC: 60F05 91B30 62-XX PDFBibTeX XMLCite \textit{S. Wei} et al., Commun. Stat., Theory Methods 50, No. 1, 132--142 (2021; Zbl 07532110) Full Text: DOI
Karlsson, Sune; Mazur, Stepan; Muhinyuza, Stanislas Statistical inference for the tangency portfolio in high dimension. (English) Zbl 1477.62294 Statistics 55, No. 3, 532-560 (2021). MSC: 62P05 62H10 62H12 62H15 91G10 PDFBibTeX XMLCite \textit{S. Karlsson} et al., Statistics 55, No. 3, 532--560 (2021; Zbl 1477.62294) Full Text: DOI
Friz, P. K.; Gassiat, P.; Pigato, P. Precise asymptotics: robust stochastic volatility models. (English) Zbl 1476.60183 Ann. Appl. Probab. 31, No. 2, 896-940 (2021). MSC: 60L30 60F10 60G18 60G22 60H30 60L90 91G20 PDFBibTeX XMLCite \textit{P. K. Friz} et al., Ann. Appl. Probab. 31, No. 2, 896--940 (2021; Zbl 1476.60183) Full Text: DOI arXiv Link
Wang, Xuhui; Wu, Sheng-Jhih; Yue, Xingye Pricing timer options: second-order multiscale stochastic volatility asymptotics. (English) Zbl 1471.91585 ANZIAM J. 63, No. 2, 249-267 (2021). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{X. Wang} et al., ANZIAM J. 63, No. 2, 249--267 (2021; Zbl 1471.91585) Full Text: DOI
Liu, Jiajun; Yang, Yang Asymptotics for systemic risk with dependent heavy-tailed losses. (English) Zbl 1471.91610 ASTIN Bull. 51, No. 2, 571-605 (2021). MSC: 91G45 62P05 PDFBibTeX XMLCite \textit{J. Liu} and \textit{Y. Yang}, ASTIN Bull. 51, No. 2, 571--605 (2021; Zbl 1471.91610) Full Text: DOI
Gerhold, Stefan; Jacquier, Antoine; Pakkanen, Mikko; Stone, Henry; Wagenhofer, Thomas Corrigendum to: “Pathwise large deviations for the rough Bergomi model”. (English) Zbl 1470.60087 J. Appl. Probab. 58, No. 3, 849-850 (2021). MSC: 60F10 60G22 91G20 60G15 PDFBibTeX XMLCite \textit{S. Gerhold} et al., J. Appl. Probab. 58, No. 3, 849--850 (2021; Zbl 1470.60087) Full Text: DOI
Jasnovidov, Grigori Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid. (English) Zbl 1475.60071 Lith. Math. J. 61, No. 2, 246-260 (2021). MSC: 60G15 60G22 60G70 91G05 PDFBibTeX XMLCite \textit{G. Jasnovidov}, Lith. Math. J. 61, No. 2, 246--260 (2021; Zbl 1475.60071) Full Text: DOI arXiv
Rho, Seunghwa; Vogelsang, Timothy J. Inference in time series models using smoothed-clustered standard errors. (English) Zbl 07376510 J. Econom. 224, No. 1, 113-133 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Rho} and \textit{T. J. Vogelsang}, J. Econom. 224, No. 1, 113--133 (2021; Zbl 07376510) Full Text: DOI
Casini, Alessandro; Perron, Pierre Continuous record Laplace-based inference about the break date in structural change models. (English) Zbl 07376505 J. Econom. 224, No. 1, 3-21 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Casini} and \textit{P. Perron}, J. Econom. 224, No. 1, 3--21 (2021; Zbl 07376505) Full Text: DOI arXiv
Chen, Yiqing; White, Toby; Yuen, Kam Chuen Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times. (English) Zbl 1460.91215 Insur. Math. Econ. 97, 1-6 (2021). MSC: 91G05 60F10 60G50 60K05 PDFBibTeX XMLCite \textit{Y. Chen} et al., Insur. Math. Econ. 97, 1--6 (2021; Zbl 1460.91215) Full Text: DOI
Pittel, Boris One-sided version of Gale-Shapley proposal algorithm and its likely behavior under random preferences. (English) Zbl 1512.05020 Discrete Appl. Math. 292, 1-18 (2021). MSC: 05A05 60C05 91B68 PDFBibTeX XMLCite \textit{B. Pittel}, Discrete Appl. Math. 292, 1--18 (2021; Zbl 1512.05020) Full Text: DOI arXiv
Xing, Guo-dong; Li, Xiaohu; Yang, Shanchao On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. (English) Zbl 07552783 Commun. Stat., Simulation Comput. 49, No. 8, 2049-2058 (2020). MSC: 60F05 91B30 PDFBibTeX XMLCite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 8, 2049--2058 (2020; Zbl 07552783) Full Text: DOI
Cheng, Dongya; Yu, Changjun Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times. (English) Zbl 1511.91035 Commun. Stat., Theory Methods 49, No. 7, 1742-1760 (2020). MSC: 91B05 60K10 62H05 62P05 PDFBibTeX XMLCite \textit{D. Cheng} and \textit{C. Yu}, Commun. Stat., Theory Methods 49, No. 7, 1742--1760 (2020; Zbl 1511.91035) Full Text: DOI
Liu, Xijun; Gao, Qingwu; Liu, Ming Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims. (English) Zbl 1511.60048 Commun. Stat., Theory Methods 49, No. 13, 3073-3093 (2020). MSC: 60F10 62P05 91B05 60K10 PDFBibTeX XMLCite \textit{X. Liu} et al., Commun. Stat., Theory Methods 49, No. 13, 3073--3093 (2020; Zbl 1511.60048) Full Text: DOI
Lin, Jianxi Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima. (English) Zbl 1511.60067 Commun. Stat., Theory Methods 49, No. 11, 2648-2670 (2020). MSC: 60G50 60G70 62E20 62P05 91B05 PDFBibTeX XMLCite \textit{J. Lin}, Commun. Stat., Theory Methods 49, No. 11, 2648--2670 (2020; Zbl 1511.60067) Full Text: DOI
Furlani, Luiz Gustavo C.; Laurini, Márcio P.; Portugal, Marcelo S. Data cloning: maximum likelihood estimation of DSGE models. (English) Zbl 1466.62456 Results Appl. Math. 7, Article ID 100121, 5 p. (2020). MSC: 62R07 62F12 62L20 65C05 91B51 PDFBibTeX XMLCite \textit{L. G. C. Furlani} et al., Results Appl. Math. 7, Article ID 100121, 5 p. (2020; Zbl 1466.62456) Full Text: DOI
Gao, Qingwu; Liu, Xijun; Chai, Chunhong Asymptotic bounds for precise large deviations in a compound risk model under dependence structures. (English) Zbl 1466.60058 J. Math. Inequal. 14, No. 4, 1067-1082 (2020). MSC: 60F10 62P05 91G40 PDFBibTeX XMLCite \textit{Q. Gao} et al., J. Math. Inequal. 14, No. 4, 1067--1082 (2020; Zbl 1466.60058) Full Text: DOI
Melnyk, Yaroslav; Muhle-Karbe, Johannes; Seifried, Frank Thomas Lifetime investment and consumption with recursive preferences and small transaction costs. (English) Zbl 1508.91509 Math. Finance 30, No. 3, 1135-1167 (2020). MSC: 91G10 PDFBibTeX XMLCite \textit{Y. Melnyk} et al., Math. Finance 30, No. 3, 1135--1167 (2020; Zbl 1508.91509) Full Text: DOI
Xing, Guodong; Yang, Shanchao First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation. (English) Zbl 1455.91241 J. Syst. Sci. Complex. 33, No. 5, 1533-1544 (2020). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{G. Xing} and \textit{S. Yang}, J. Syst. Sci. Complex. 33, No. 5, 1533--1544 (2020; Zbl 1455.91241) Full Text: DOI
Capponi, Agostino; Sun, Xu; Yao, David D. A dynamic network model of interbank lending – systemic risk and liquidity provisioning. (English) Zbl 1457.91406 Math. Oper. Res. 45, No. 3, 1127-1152 (2020). MSC: 91G45 PDFBibTeX XMLCite \textit{A. Capponi} et al., Math. Oper. Res. 45, No. 3, 1127--1152 (2020; Zbl 1457.91406) Full Text: DOI
Ji, Lanpeng On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. (English) Zbl 1454.91196 Scand. Actuar. J. 2020, No. 9, 819-842 (2020). MSC: 91G05 60J70 PDFBibTeX XMLCite \textit{L. Ji}, Scand. Actuar. J. 2020, No. 9, 819--842 (2020; Zbl 1454.91196) Full Text: DOI arXiv
Agarwal, Ankush; Lorig, Matthew The implied Sharpe ratio. (English) Zbl 1454.91274 Quant. Finance 20, No. 6, 1009-1026 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{A. Agarwal} and \textit{M. Lorig}, Quant. Finance 20, No. 6, 1009--1026 (2020; Zbl 1454.91274) Full Text: DOI arXiv Link
Aurzada, Frank; Buck, Micha Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital. (English) Zbl 1452.91258 Eur. Actuar. J. 10, No. 1, 261-269 (2020). MSC: 91G05 PDFBibTeX XMLCite \textit{F. Aurzada} and \textit{M. Buck}, Eur. Actuar. J. 10, No. 1, 261--269 (2020; Zbl 1452.91258) Full Text: DOI arXiv
Hong, Liang; Martin, Ryan Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors. (English) Zbl 1448.91261 Scand. Actuar. J. 2020, No. 7, 634-649 (2020). MSC: 91G05 62P05 62F15 PDFBibTeX XMLCite \textit{L. Hong} and \textit{R. Martin}, Scand. Actuar. J. 2020, No. 7, 634--649 (2020; Zbl 1448.91261) Full Text: DOI
Pittel, Boris On random stable matchings: cyclic ones with strict preferences and two-sided ones with partially ordered preferences. (English) Zbl 1459.91101 Adv. Appl. Math. 120, Article ID 102061, 26 p. (2020). Reviewer: Swapan Das Gupta (Halifax) MSC: 91B68 91B08 PDFBibTeX XMLCite \textit{B. Pittel}, Adv. Appl. Math. 120, Article ID 102061, 26 p. (2020; Zbl 1459.91101) Full Text: DOI arXiv
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L. A ruin model with a resampled environment. (English) Zbl 1447.91131 Scand. Actuar. J. 2020, No. 4, 323-341 (2020). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{C. Constantinescu} et al., Scand. Actuar. J. 2020, No. 4, 323--341 (2020; Zbl 1447.91131) Full Text: DOI arXiv
Cayé, Thomas; Herdegen, Martin; Muhle-Karbe, Johannes Trading with small nonlinear price impact. (English) Zbl 1447.91157 Ann. Appl. Probab. 30, No. 2, 706-746 (2020). MSC: 91G10 91G80 PDFBibTeX XMLCite \textit{T. Cayé} et al., Ann. Appl. Probab. 30, No. 2, 706--746 (2020; Zbl 1447.91157) Full Text: DOI Euclid
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin Small-time asymptotics for Gaussian self-similar stochastic volatility models. (English) Zbl 1464.60033 Appl. Math. Optim. 82, No. 1, 183-223 (2020). MSC: 60G15 91G20 PDFBibTeX XMLCite \textit{A. Gulisashvili} et al., Appl. Math. Optim. 82, No. 1, 183--223 (2020; Zbl 1464.60033) Full Text: DOI arXiv
Cang, Yuquan; Yang, Yang; Shi, Xixi A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model. (English) Zbl 1443.62337 Lith. Math. J. 60, No. 2, 161-172 (2020). MSC: 62P05 62E20 62G32 91G70 91B05 PDFBibTeX XMLCite \textit{Y. Cang} et al., Lith. Math. J. 60, No. 2, 161--172 (2020; Zbl 1443.62337) Full Text: DOI
Gulisashvili, Archil Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions. (English) Zbl 1434.60089 Stochastic Processes Appl. 130, No. 6, 3648-3686 (2020). MSC: 60F10 60G15 91G20 60G18 60G22 41A60 PDFBibTeX XMLCite \textit{A. Gulisashvili}, Stochastic Processes Appl. 130, No. 6, 3648--3686 (2020; Zbl 1434.60089) 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
Cheng, Dongya; Yu, Changjun Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims. (English) Zbl 1493.62580 Stochastics 91, No. 5, 643-656 (2019). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{D. Cheng} and \textit{C. Yu}, Stochastics 91, No. 5, 643--656 (2019; Zbl 1493.62580) Full Text: DOI
Lu, Dawei; Du, Jiao; Song, Hui Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation. (English) Zbl 1499.91023 Filomat 33, No. 10, 3243-3255 (2019). MSC: 91B05 60K10 PDFBibTeX XMLCite \textit{D. Lu} et al., Filomat 33, No. 10, 3243--3255 (2019; Zbl 1499.91023) Full Text: DOI
Gao, Qingwu; Liu, Xijun Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force. (English) Zbl 1499.91021 Filomat 33, No. 1, 65-79 (2019). MSC: 91B05 60F10 PDFBibTeX XMLCite \textit{Q. Gao} and \textit{X. Liu}, Filomat 33, No. 1, 65--79 (2019; Zbl 1499.91021) Full Text: DOI
Pittel, Boris On likely solutions of the stable matching problem with unequal numbers of men and women. (English) Zbl 1435.91128 Math. Oper. Res. 44, No. 1, 122-146 (2019). MSC: 91B68 PDFBibTeX XMLCite \textit{B. Pittel}, Math. Oper. Res. 44, No. 1, 122--146 (2019; Zbl 1435.91128) Full Text: DOI arXiv
Geiger, Daniel J.; Adekpedjou, Akim On corrected phase-type approximations of the time value of ruin with heavy tails. (English) Zbl 1436.62069 Stat. Risk. Model. 36, No. 1-4, 57-75 (2019). MSC: 62E17 91B05 62P20 PDFBibTeX XMLCite \textit{D. J. Geiger} and \textit{A. Adekpedjou}, Stat. Risk. Model. 36, No. 1--4, 57--75 (2019; Zbl 1436.62069) Full Text: DOI
Mao, Yanzhu; Wang, Kaiyong Asymptotics of the finite-time ruin probability of a risk model with Brownian perturbation. (English) Zbl 1449.91036 J. Cent. China Norm. Univ., Nat. Sci. 53, No. 4, 487-490 (2019). MSC: 91B05 62P05 62G32 PDFBibTeX XMLCite \textit{Y. Mao} and \textit{K. Wang}, J. Cent. China Norm. Univ., Nat. Sci. 53, No. 4, 487--490 (2019; Zbl 1449.91036) Full Text: DOI
Avrachenkov, Konstantin; Borkar, Vivek S. Metastability in stochastic replicator dynamics. (English) Zbl 1429.91044 Dyn. Games Appl. 9, No. 2, 366-390 (2019). MSC: 91A22 91A15 60H10 PDFBibTeX XMLCite \textit{K. Avrachenkov} and \textit{V. S. Borkar}, Dyn. Games Appl. 9, No. 2, 366--390 (2019; Zbl 1429.91044) Full Text: DOI arXiv Link
Ekren, Ibrahim; Muhle-Karbe, Johannes Portfolio choice with small temporary and transient price impact. (English) Zbl 1432.91102 Math. Finance 29, No. 4, 1066-1115 (2019). Reviewer: Claudio Fontana (Paris) MSC: 91G10 PDFBibTeX XMLCite \textit{I. Ekren} and \textit{J. Muhle-Karbe}, Math. Finance 29, No. 4, 1066--1115 (2019; Zbl 1432.91102) Full Text: DOI arXiv
Pirjol, Dan; Wang, Jing; Zhu, Lingjiong Short maturity forward start Asian options in local volatility models. (English) Zbl 1426.91274 Appl. Math. Finance 26, No. 3, 187-221 (2019). MSC: 91G20 60F10 PDFBibTeX XMLCite \textit{D. Pirjol} et al., Appl. Math. Finance 26, No. 3, 187--221 (2019; Zbl 1426.91274) Full Text: DOI arXiv
Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B. Short-time near-the-money skew in rough fractional volatility models. (English) Zbl 1420.91445 Quant. Finance 19, No. 5, 779-798 (2019). MSC: 91G20 60H30 60F10 60H07 60G22 60G18 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 19, No. 5, 779--798 (2019; Zbl 1420.91445) Full Text: DOI arXiv
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
Chen, Yiqing; Yang, Yang Bivariate regular variation among randomly weighted sums in general insurance. (English) Zbl 1422.91334 Eur. Actuar. J. 9, No. 1, 301-322 (2019). MSC: 91B30 62P05 62E20 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{Y. Yang}, Eur. Actuar. J. 9, No. 1, 301--322 (2019; Zbl 1422.91334) Full Text: DOI
Bodnar, Taras; Mazur, Stepan; Podgórski, Krzysztof; Tyrcha, Joanna Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory. (English) Zbl 1418.91453 J. Stat. Plann. Inference 201, 40-57 (2019). MSC: 91G10 62H10 62H12 91G70 62P05 PDFBibTeX XMLCite \textit{T. Bodnar} et al., J. Stat. Plann. Inference 201, 40--57 (2019; Zbl 1418.91453) Full Text: DOI Link
Horvath, Blanka; Jacquier, Antoine; Lacombe, Chloé Asymptotic behaviour of randomised fractional volatility models. (English) Zbl 1465.60071 J. Appl. Probab. 56, No. 2, 496-523 (2019). MSC: 60J60 60F10 60G15 60G22 91B70 PDFBibTeX XMLCite \textit{B. Horvath} et al., J. Appl. Probab. 56, No. 2, 496--523 (2019; Zbl 1465.60071) Full Text: DOI arXiv
Yang, Yang; Wang, Kaiyong; Liu, Jiajun; Zhang, Zhimin Asymptotics for a bidimensional risk model with two geometric Lévy price processes. (English) Zbl 1438.91119 J. Ind. Manag. Optim. 15, No. 2, 481-505 (2019). MSC: 91G05 60G51 60K05 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 15, No. 2, 481--505 (2019; Zbl 1438.91119) Full Text: DOI
Pittel, Boris On random stable partitions. (English) Zbl 1417.91385 Int. J. Game Theory 48, No. 2, 433-480 (2019). MSC: 91B68 05C90 PDFBibTeX XMLCite \textit{B. Pittel}, Int. J. Game Theory 48, No. 2, 433--480 (2019; Zbl 1417.91385) Full Text: DOI arXiv
Gao, Qingwu; Zhuang, Jun; Huang, Zhongquan Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest. (English) Zbl 1419.91363 J. Comput. Appl. Math. 353, 219-231 (2019). MSC: 91B30 62P05 62E20 60J60 PDFBibTeX XMLCite \textit{Q. Gao} et al., J. Comput. Appl. Math. 353, 219--231 (2019; Zbl 1419.91363) Full Text: DOI
Barger, Weston; Lorig, Matthew Optimal liquidation under stochastic price impact. (English) Zbl 1411.91477 Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850059, 28 p. (2019). MSC: 91G10 41A60 91G60 PDFBibTeX XMLCite \textit{W. Barger} and \textit{M. Lorig}, Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850059, 28 p. (2019; Zbl 1411.91477) Full Text: DOI arXiv
Tang, Qihe; Tang, Zhaofeng; Yang, Yang Sharp asymptotics for large portfolio losses under extreme risks. (English) Zbl 1431.91370 Eur. J. Oper. Res. 276, No. 2, 710-722 (2019). MSC: 91G10 91G45 PDFBibTeX XMLCite \textit{Q. Tang} et al., Eur. J. Oper. Res. 276, No. 2, 710--722 (2019; Zbl 1431.91370) Full Text: DOI
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon; Park, Hyejin A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility. (English) Zbl 1407.91250 Quant. Finance 19, No. 1, 155-175 (2019). MSC: 91G20 91G80 35Q91 PDFBibTeX XMLCite \textit{J. Huh} et al., Quant. Finance 19, No. 1, 155--175 (2019; Zbl 1407.91250) Full Text: DOI
Zaikin, A. A. Estimates with asymptotically uniformly minimal \(d\)-risk. (English. Russian original) Zbl 1411.62044 Theory Probab. Appl. 63, No. 3, 500-505 (2019); translation from Teor. Veroyatn. Primen. 63, No. 3, 609-618 (2018). MSC: 62F03 91B30 PDFBibTeX XMLCite \textit{A. A. Zaikin}, Theory Probab. Appl. 63, No. 3, 500--505 (2019; Zbl 1411.62044); translation from Teor. Veroyatn. Primen. 63, No. 3, 609--618 (2018) Full Text: DOI
Chen, Yang; Yang, Yang; Jiang, Tao Uniform asymptotics for finite-time ruin probability of a bidimensional risk model. (English) Zbl 1416.91164 J. Math. Anal. Appl. 469, No. 2, 525-536 (2019). MSC: 91B30 62P05 60K10 PDFBibTeX XMLCite \textit{Y. Chen} et al., J. Math. Anal. Appl. 469, No. 2, 525--536 (2019; Zbl 1416.91164) Full Text: DOI
Peng, Jiangyan; Wang, Dingcheng Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments. (English) Zbl 1492.91083 Stochastics 90, No. 3, 432-471 (2018). MSC: 91B05 60G51 60K05 91G05 PDFBibTeX XMLCite \textit{J. Peng} and \textit{D. Wang}, Stochastics 90, No. 3, 432--471 (2018; Zbl 1492.91083) Full Text: DOI
Simar, Léopold; Zelenyuk, Valentin Central limit theorems for aggregate efficiency. (English) Zbl 1457.91211 Oper. Res. 66, No. 1, 137-149 (2018). MSC: 91B38 60F05 PDFBibTeX XMLCite \textit{L. Simar} and \textit{V. Zelenyuk}, Oper. Res. 66, No. 1, 137--149 (2018; Zbl 1457.91211) Full Text: DOI Link
Xiao, Hongmin; Xie, Lin The ruin probability of a renewal risk model based on entrance processes with pairwise quasi-asymptotically independence. (Chinese. English summary) Zbl 1438.91035 J. Lanzhou Univ., Nat. Sci. 54, No. 4, 509-516 (2018). MSC: 91B05 60K05 PDFBibTeX XMLCite \textit{H. Xiao} and \textit{L. Xie}, J. Lanzhou Univ., Nat. Sci. 54, No. 4, 509--516 (2018; Zbl 1438.91035) Full Text: DOI
Chen, Lamei; Gao, Miaomiao; Wang, Kaiyong; Chen, Shurong Finite-time ruin probability of a compound risk model with dependent claim sizes. (Chinese. English summary) Zbl 1424.62174 J. Suzhou Univ. Sci. Technol., Nat. Sci. 35, No. 3, 12-17 (2018). MSC: 62P05 91B30 62G32 PDFBibTeX XMLCite \textit{L. Chen} et al., J. Suzhou Univ. Sci. Technol., Nat. Sci. 35, No. 3, 12--17 (2018; Zbl 1424.62174) Full Text: DOI
Xie, Yingchao; Cheng, Yan; Li, Weibing Perturbation solution for a class of nonlinear Lanchester equation. (Chinese. English summary) Zbl 1424.34169 Math. Pract. Theory 48, No. 13, 270-275 (2018). MSC: 34C60 34A34 34E10 91B99 34E05 PDFBibTeX XMLCite \textit{Y. Xie} et al., Math. Pract. Theory 48, No. 13, 270--275 (2018; Zbl 1424.34169)
Yang, Yang; Yuen, Kam C.; Liu, Jun-Feng Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims. (English) Zbl 1412.91059 J. Ind. Manag. Optim. 14, No. 1, 231-247 (2018). MSC: 91B30 60G51 60K05 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 14, No. 1, 231--247 (2018; Zbl 1412.91059) Full Text: DOI
Jacquier, Antoine; Pakkanen, Mikko S.; Stone, Henry Pathwise large deviations for the rough Bergomi model. (English) Zbl 1405.60037 J. Appl. Probab. 55, No. 4, 1078-1092 (2018); corrigendum ibid. 58, No. 3, 849-850 (2021). MSC: 60F10 60G22 91G20 60G15 PDFBibTeX XMLCite \textit{A. Jacquier} et al., J. Appl. Probab. 55, No. 4, 1078--1092 (2018; Zbl 1405.60037) Full Text: DOI arXiv Link
Cui, Zhaolei; Omey, Edward; Wang, Wenyuan; Wang, Yuebao Asymptotics of convolution with the semi-regular-variation tail and its application to risk. (English) Zbl 1417.60014 Extremes 21, No. 4, 509-532 (2018). MSC: 60E07 60F99 91B30 PDFBibTeX XMLCite \textit{Z. Cui} et al., Extremes 21, No. 4, 509--532 (2018; Zbl 1417.60014) Full Text: DOI arXiv