Kontosakos, Vasileios E.; Hwang, Soosung; Kallinterakis, Vasileios; Pantelous, Athanasios A. Long-term dynamic asset allocation under asymmetric risk preferences. (English) Zbl 07764657 Eur. J. Oper. Res. 312, No. 2, 765-782 (2024). MSC: 90Bxx PDFBibTeX XMLCite \textit{V. E. Kontosakos} et al., Eur. J. Oper. Res. 312, No. 2, 765--782 (2024; Zbl 07764657) Full Text: DOI
Cummins, Mark; Gogolin, Fabian; Kearney, Fearghal; Kiely, Greg; Murphy, Bernard Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. (English) Zbl 07801442 Ann. Oper. Res. 330, No. 1-2, 431-455 (2023). MSC: 91B05 91G99 PDFBibTeX XMLCite \textit{M. Cummins} et al., Ann. Oper. Res. 330, No. 1--2, 431--455 (2023; Zbl 07801442) Full Text: DOI OA License
Jeanblanc, Monique Some remarks on enlargement of filtration and finance. (English) Zbl 1525.60052 Morel, Jean-Michel (ed.) et al., Mathematics going forward. Collected mathematical brushstrokes. Cham: Springer. Lect. Notes Math. 2313, 95-114 (2023). MSC: 60G44 60G40 60G07 60H30 91G40 PDFBibTeX XMLCite \textit{M. Jeanblanc}, Lect. Notes Math. 2313, 95--114 (2023; Zbl 1525.60052) Full Text: DOI
Carey, Michelle; Genest, Christian; Ramsay, James O. Sparse estimation within Pearson’s system, with an application to financial market risk. (English. French summary) Zbl 07759557 Can. J. Stat. 51, No. 3, 800-823 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{M. Carey} et al., Can. J. Stat. 51, No. 3, 800--823 (2023; Zbl 07759557) Full Text: DOI OA License
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. A stochastic control perspective on term structure models with roll-over risk. (English) Zbl 1524.91127 Finance Stoch. 27, No. 4, 903-932 (2023). MSC: 91G30 60G44 93E20 91G10 PDFBibTeX XMLCite \textit{C. Fontana} et al., Finance Stoch. 27, No. 4, 903--932 (2023; Zbl 1524.91127) Full Text: DOI arXiv OA License
Criens, David; Niemann, Lars Robust utility maximization with nonlinear continuous semimartingales. (English) Zbl 1522.91214 Math. Financ. Econ. 17, No. 3, 499-536 (2023). MSC: 91G10 91B16 93E20 60G44 PDFBibTeX XMLCite \textit{D. Criens} and \textit{L. Niemann}, Math. Financ. Econ. 17, No. 3, 499--536 (2023; Zbl 1522.91214) Full Text: DOI arXiv
Bhagwat, Pankaj; Marchand, Éric Predictive density estimators with integrated \(L_1\) loss. (English) Zbl 07723938 J. Multivariate Anal. 197, Article ID 105190, 15 p. (2023). MSC: 62Hxx 62H12 62F12 PDFBibTeX XMLCite \textit{P. Bhagwat} and \textit{É. Marchand}, J. Multivariate Anal. 197, Article ID 105190, 15 p. (2023; Zbl 07723938) Full Text: DOI arXiv
Mahmoudi, Eisa; Nemati, Zahra; Khalifeh, Ashkan Two-stage estimation of the combination of location and scale parameter of the exponential distribution under the constraint of bounded risk per unit cost index. (English) Zbl 07723904 Sequential Anal. 42, No. 3, 211-227 (2023). MSC: 62L15 60G40 62F12 60K10 PDFBibTeX XMLCite \textit{E. Mahmoudi} et al., Sequential Anal. 42, No. 3, 211--227 (2023; Zbl 07723904) Full Text: DOI
Gao, Shuang; Zhao, Shunyi; Luan, Xiaoli; Liu, Fei Adaptive risk-sensitive filter for Markovian jump linear systems. (English) Zbl 1520.93566 Automatica 151, Article ID 110897, 8 p. (2023). MSC: 93E11 93E35 93C05 PDFBibTeX XMLCite \textit{S. Gao} et al., Automatica 151, Article ID 110897, 8 p. (2023; Zbl 1520.93566) Full Text: DOI
Gürtler, Marc; Zöllner, Marvin Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method. (English) Zbl 1517.90071 OR Spectrum 45, No. 1, 251-287 (2023). MSC: 90B50 90B25 68T05 62M20 PDFBibTeX XMLCite \textit{M. Gürtler} and \textit{M. Zöllner}, OR Spectrum 45, No. 1, 251--287 (2023; Zbl 1517.90071) Full Text: DOI
Vonesh, Edward F.; Greene, Tom Comment on: Biased estimation with shared parameter models in the presence of competing dropout mechanisms. (English) Zbl 1520.62351 Biometrics 78, No. 1, 399-406 (2022). MSC: 62P10 PDFBibTeX XMLCite \textit{E. F. Vonesh} and \textit{T. Greene}, Biometrics 78, No. 1, 399--406 (2022; Zbl 1520.62351) Full Text: DOI
Alomani, Ghadah; Al-Omari, Amer I. Single acceptance sampling plans based on truncated lifetime tests for two-parameter Xgamma distribution with real data application. (English) Zbl 07668390 Math. Biosci. Eng. 19, No. 12, 13321-13336 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{G. Alomani} and \textit{A. I. Al-Omari}, Math. Biosci. Eng. 19, No. 12, 13321--13336 (2022; Zbl 07668390) Full Text: DOI
Peng, Xingchun; Chen, Fenge Deterministic investment strategy in a DC pension plan with inflation risk under mean-variance criterion. (English) Zbl 1505.91338 Probab. Eng. Inf. Sci. 36, No. 1, 201-216 (2022). MSC: 91G05 60H07 PDFBibTeX XMLCite \textit{X. Peng} and \textit{F. Chen}, Probab. Eng. Inf. Sci. 36, No. 1, 201--216 (2022; Zbl 1505.91338) Full Text: DOI
Li, Libo Characterisation of honest times and optional semimartingales of class-\((\Sigma)\). (English) Zbl 1515.60120 J. Theor. Probab. 35, No. 4, 2145-2175 (2022). MSC: 60G44 60G40 60G07 91G40 PDFBibTeX XMLCite \textit{L. Li}, J. Theor. Probab. 35, No. 4, 2145--2175 (2022; Zbl 1515.60120) Full Text: DOI arXiv
Nie, Tianyang; Rutkowski, Marek Reflected and doubly reflected BSDEs driven by RCLL martingales. (English) Zbl 1498.60231 Stoch. Dyn. 22, No. 5, Article ID 2250012, 34 p. (2022). MSC: 60H10 60G44 60H30 91G30 91G40 PDFBibTeX XMLCite \textit{T. Nie} and \textit{M. Rutkowski}, Stoch. Dyn. 22, No. 5, Article ID 2250012, 34 p. (2022; Zbl 1498.60231) Full Text: DOI arXiv
Girard, Stéphane; Stupfler, Gilles; Usseglio-Carleve, Antoine On automatic bias reduction for extreme expectile estimation. (English) Zbl 1495.62010 Stat. Comput. 32, No. 4, Paper No. 64, 18 p. (2022). MSC: 62-08 62G32 62P05 91G70 PDFBibTeX XMLCite \textit{S. Girard} et al., Stat. Comput. 32, No. 4, Paper No. 64, 18 p. (2022; Zbl 1495.62010) Full Text: DOI
Fan, Xiequan; Alquier, Pierre; Doukhan, Paul Deviation inequalities for stochastic approximation by averaging. (English) Zbl 1502.60055 Stochastic Processes Appl. 152, 452-485 (2022). MSC: 60G42 60J05 60F10 60E15 PDFBibTeX XMLCite \textit{X. Fan} et al., Stochastic Processes Appl. 152, 452--485 (2022; Zbl 1502.60055) Full Text: DOI arXiv
Choulli, Tahir; Yansori, Sina Explicit description of all deflators for market models under random horizon with applications to NFLVR. (English) Zbl 1497.91287 Stochastic Processes Appl. 151, 230-264 (2022). MSC: 91G15 60G44 PDFBibTeX XMLCite \textit{T. Choulli} and \textit{S. Yansori}, Stochastic Processes Appl. 151, 230--264 (2022; Zbl 1497.91287) Full Text: DOI arXiv
Protter, Philip Book review of: R.A. Jarrow, Continuous-time asset pricing theory. (English) Zbl 1490.00009 Quant. Finance 22, No. 5, 813-815 (2022). MSC: 00A17 91-01 91G20 91G30 91G40 91G10 60G44 91B16 PDFBibTeX XMLCite \textit{P. Protter}, Quant. Finance 22, No. 5, 813--815 (2022; Zbl 1490.00009) 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
Gomez, Ledys Llasmin Salazar; Torres, Soledad; Kiseľák, Jozef; Fuders, Felix; Ishimura, Naoyuki; Yoshizawa, Yasukazu; Stehlík, Milan Long memory estimation in a non-Gaussian bivariate process. (English) Zbl 1510.60027 Appl. Math. Comput. 420, Article ID 126871, 16 p. (2022). MSC: 60G18 60G22 91G45 PDFBibTeX XMLCite \textit{L. L. S. Gomez} et al., Appl. Math. Comput. 420, Article ID 126871, 16 p. (2022; Zbl 1510.60027) Full Text: DOI
George, Edward; Mukherjee, Gourab; Yano, Keisuke Optimal shrinkage estimation of predictive densities under \(\alpha\)-divergences. (English) Zbl 07808149 Bayesian Anal. 16, No. 4, 1139-1155 (2021). MSC: 62-XX 62L20 60F15 60G42 PDFBibTeX XMLCite \textit{E. George} et al., Bayesian Anal. 16, No. 4, 1139--1155 (2021; Zbl 07808149) Full Text: DOI Link
Möstel, Linda; Fischer, Matthias; Pfälzner, Fabian; Pfeuffer, Marius Parameter estimation of Tukey-type distributions: a comparative analysis. (English) Zbl 1489.62060 Commun. Stat., Simulation Comput. 50, No. 4, 957-992 (2021). MSC: 62E15 62E10 62P05 62-08 PDFBibTeX XMLCite \textit{L. Möstel} et al., Commun. Stat., Simulation Comput. 50, No. 4, 957--992 (2021; Zbl 1489.62060) Full Text: DOI
Biagini, Francesca; Oberpriller, Katharina Reduced-form setting under model uncertainty with non-linear affine intensities. (English) Zbl 1490.91226 Probab. Uncertain. Quant. Risk 6, No. 3, 159-188 (2021). MSC: 91G40 91G05 60G44 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{K. Oberpriller}, Probab. Uncertain. Quant. Risk 6, No. 3, 159--188 (2021; Zbl 1490.91226) Full Text: DOI
Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; Abbas, Karim Functional sensitivity analysis of ruin probability in the classical risk models. (English) Zbl 1485.91054 Scand. Actuar. J. 2021, No. 10, 936-968 (2021). MSC: 91B05 PDFBibTeX XMLCite \textit{F. Cheurfa} et al., Scand. Actuar. J. 2021, No. 10, 936--968 (2021; Zbl 1485.91054) Full Text: DOI
Gapeev, Pavel V.; Jeanblanc, Monique; Wu, Dongli Projections of martingales in enlargements of Brownian filtrations under Jacod’s equivalence hypothesis. (English) Zbl 1497.60066 Electron. J. Probab. 26, Paper No. 136, 24 p. (2021). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 60G44 60J65 60G40 60G35 60H10 91G40 PDFBibTeX XMLCite \textit{P. V. Gapeev} et al., Electron. J. Probab. 26, Paper No. 136, 24 p. (2021; Zbl 1497.60066) Full Text: DOI
Han, Yanjun; Özgür, Ayfer; Weissman, Tsachy Geometric lower bounds for distributed parameter estimation under communication constraints. (English) Zbl 1489.94005 IEEE Trans. Inf. Theory 67, No. 12, 8248-8263 (2021). MSC: 94A05 PDFBibTeX XMLCite \textit{Y. Han} et al., IEEE Trans. Inf. Theory 67, No. 12, 8248--8263 (2021; Zbl 1489.94005) Full Text: DOI arXiv
Zhou, Qianqian; Sakhanenko, Alexander; Guo, Junyi Exponential bounds of ruin probabilities for non-homogeneous risk models. (English) Zbl 1485.91212 Probab. Math. Stat. 41, No. 2, 217-235 (2021). MSC: 91G05 60G44 PDFBibTeX XMLCite \textit{Q. Zhou} et al., Probab. Math. Stat. 41, No. 2, 217--235 (2021; Zbl 1485.91212) Full Text: DOI arXiv
Crespo, Luis G.; Slaba, Tony C.; Kenny, Sean P.; Swinney, Mathew W.; Giesy, Daniel P. Calibration of a radiation quality model for sparse and uncertain data. (English) Zbl 1481.62114 Appl. Math. Modelling 95, 734-759 (2021). MSC: 62P30 62F10 PDFBibTeX XMLCite \textit{L. G. Crespo} et al., Appl. Math. Modelling 95, 734--759 (2021; Zbl 1481.62114) Full Text: DOI
Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Niewęgłowski, Mariusz Semimartingales and shrinkage of filtration. (English) Zbl 1479.60084 Ann. Appl. Probab. 31, No. 3, 1376-1402 (2021). MSC: 60G44 91G40 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Ann. Appl. Probab. 31, No. 3, 1376--1402 (2021; Zbl 1479.60084) Full Text: DOI arXiv Link
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D. A characterization of martingale-equivalent mixed compound Poisson processes. (English) Zbl 1476.91036 Ann. Appl. Probab. 31, No. 2, 778-805 (2021). MSC: 91B05 60G44 60G51 60G55 PDFBibTeX XMLCite \textit{D. P. Lyberopoulos} and \textit{N. D. Macheras}, Ann. Appl. Probab. 31, No. 2, 778--805 (2021; Zbl 1476.91036) Full Text: DOI arXiv Link
Gangopadhyay, Ujan; Mukherjee, Gourab On discrete priors and sparse minimax optimal predictive densities. (English) Zbl 1471.62245 Electron. J. Stat. 15, No. 1, 1636-1660 (2021). MSC: 62C20 60F15 60G42 PDFBibTeX XMLCite \textit{U. Gangopadhyay} and \textit{G. Mukherjee}, Electron. J. Stat. 15, No. 1, 1636--1660 (2021; Zbl 1471.62245) Full Text: DOI
Jarrow, Robert A. Continuous-time asset pricing theory. A martingale-based approach. 2nd extended edition. (English) Zbl 1480.91001 Springer Finance Textbooks. Cham: Springer (ISBN 978-3-030-74409-0/hbk; 978-3-030-74410-6/ebook). xxiii, 456 p. (2021). Reviewer: Gianluca Cassese (Milano) MSC: 91-01 91G20 91G30 91G40 91G10 60G44 91B16 PDFBibTeX XMLCite \textit{R. A. Jarrow}, Continuous-time asset pricing theory. A martingale-based approach. 2nd extended edition. Cham: Springer (2021; Zbl 1480.91001) Full Text: DOI
Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G. Change of drift in one-dimensional diffusions. (English) Zbl 1461.91365 Finance Stoch. 25, No. 2, 359-381 (2021). MSC: 91G70 60G44 91B70 PDFBibTeX XMLCite \textit{S. Desmettre} et al., Finance Stoch. 25, No. 2, 359--381 (2021; Zbl 1461.91365) Full Text: DOI arXiv
Bahl, Raj Kumari; Sabanis, Sotirios Model-independent price bounds for catastrophic mortality bonds. (English) Zbl 1460.91209 Insur. Math. Econ. 96, 276-291 (2021). MSC: 91G05 91G20 60G44 PDFBibTeX XMLCite \textit{R. K. Bahl} and \textit{S. Sabanis}, Insur. Math. Econ. 96, 276--291 (2021; Zbl 1460.91209) Full Text: DOI arXiv
Gu, Xing; Mamon, Rogemar; Duprey, Thibaut; Xiong, Heng Online estimation for a predictive analytics platform with a financial-stability-analysis application. (English) Zbl 1455.91247 Eur. J. Control 57, 205-221 (2021). MSC: 91G15 91G45 93E10 93E11 PDFBibTeX XMLCite \textit{X. Gu} et al., Eur. J. Control 57, 205--221 (2021; Zbl 1455.91247) Full Text: DOI
Matrogiacomo, Elisa; Gianin, Emanuela Rosazza Dynamic capital allocation rules via BSDEs: an axiomatic approach. arXiv:2112.08832 Preprint, arXiv:2112.08832 [math.PR] (2021). MSC: 60H10 60G44 91G70 BibTeX Cite \textit{E. Matrogiacomo} and \textit{E. R. Gianin}, ``Dynamic capital allocation rules via BSDEs: an axiomatic approach'', Preprint, arXiv:2112.08832 [math.PR] (2021) Full Text: arXiv OA License
Han, Ming E-Bayesian estimation and its E-posterior risk of the exponential distribution parameter based on complete and type I censored samples. (English) Zbl 1511.62056 Commun. Stat., Theory Methods 49, No. 8, 1858-1872 (2020). MSC: 62F15 62N05 62C12 PDFBibTeX XMLCite \textit{M. Han}, Commun. Stat., Theory Methods 49, No. 8, 1858--1872 (2020; Zbl 1511.62056) Full Text: DOI
Sheraz, Muhammad; Preda, Vasile; Dedu, Silvia Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling. (English) Zbl 1485.91235 AIMS Math. 5, No. 1, 300-310 (2020). MSC: 91G30 60G42 60K15 94A17 PDFBibTeX XMLCite \textit{M. Sheraz} et al., AIMS Math. 5, No. 1, 300--310 (2020; Zbl 1485.91235) Full Text: DOI
Niu, Yinju; Ma, Chongwu The ruin probability of the risk model with claim numbers in Poisson negative binomial distribution. (Chinese. English summary) Zbl 1474.62369 J. Jiangxi Norm. Univ., Nat. Sci. Ed. 44, No. 5, 530-533 (2020). MSC: 62P05 91G05 60G44 PDFBibTeX XMLCite \textit{Y. Niu} and \textit{C. Ma}, J. Jiangxi Norm. Univ., Nat. Sci. Ed. 44, No. 5, 530--533 (2020; Zbl 1474.62369) Full Text: DOI
Choulli, Tahir; Daveloose, Catherine; Vanmaele, Michèle A martingale representation theorem and valuation of defaultable securities. (English) Zbl 1508.91553 Math. Finance 30, No. 4, 1527-1564 (2020). MSC: 91G20 60G44 91G40 PDFBibTeX XMLCite \textit{T. Choulli} et al., Math. Finance 30, No. 4, 1527--1564 (2020; Zbl 1508.91553) Full Text: DOI arXiv
Njenga, Carolyn Ndigwako; Sherris, Michael Modeling mortality with a Bayesian vector autoregression. (English) Zbl 1452.91244 Insur. Math. Econ. 94, 40-57 (2020). MSC: 91D20 91G05 62P05 PDFBibTeX XMLCite \textit{C. N. Njenga} and \textit{M. Sherris}, Insur. Math. Econ. 94, 40--57 (2020; Zbl 1452.91244) Full Text: DOI Link
Bakas, Dimitrios; Mendieta-Muñoz, Ivan Financial crises and economic recovery: cross-country heterogeneity and cross-sectional dependence. (English) Zbl 1451.91217 Econ. Lett. 195, Article ID 109435, 4 p. (2020). MSC: 91G45 PDFBibTeX XMLCite \textit{D. Bakas} and \textit{I. Mendieta-Muñoz}, Econ. Lett. 195, Article ID 109435, 4 p. (2020; Zbl 1451.91217) Full Text: DOI
Jeanblanc, Monique; Li, Libo Characteristics and constructions of default times. (English) Zbl 1448.91312 SIAM J. Financ. Math. 11, No. 3, 720-749 (2020). Reviewer: George Stoica (Saint John) MSC: 91G40 60G44 PDFBibTeX XMLCite \textit{M. Jeanblanc} and \textit{L. Li}, SIAM J. Financ. Math. 11, No. 3, 720--749 (2020; Zbl 1448.91312) Full Text: DOI HAL
Spielmann, J.; Vostrikova, L. On the ruin problem with investment when the risky asset is a semimartingale. (English. Russian original) Zbl 1459.60100 Theory Probab. Appl. 65, No. 2, 249-269 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 312-337 (2020). MSC: 60G51 91G40 60G44 60H30 PDFBibTeX XMLCite \textit{J. Spielmann} and \textit{L. Vostrikova}, Theory Probab. Appl. 65, No. 2, 249--269 (2020; Zbl 1459.60100); translation from Teor. Veroyatn. Primen. 65, No. 2, 312--337 (2020) Full Text: DOI arXiv
Bo, Lijun; Ceci, Claudia Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives. (English) Zbl 1448.91293 Appl. Math. Optim. 82, No. 2, 799-850 (2020). MSC: 91G20 91G40 91G10 60G44 PDFBibTeX XMLCite \textit{L. Bo} and \textit{C. Ceci}, Appl. Math. Optim. 82, No. 2, 799--850 (2020; Zbl 1448.91293) Full Text: DOI
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
Hu, Limei; Chen, Feng; Duan, Shukai; Wang, Lidan; Wu, Jiagui An improved diffusion affine projection estimation algorithm for wireless sensor networks. (English) Zbl 1452.94015 Circuits Syst. Signal Process. 39, No. 6, 3173-3188 (2020). MSC: 94A12 PDFBibTeX XMLCite \textit{L. Hu} et al., Circuits Syst. Signal Process. 39, No. 6, 3173--3188 (2020; Zbl 1452.94015) Full Text: DOI
Guo, Wenjing; Jiang, Haiwen Optimal behavioral portfolio selection for an individual under inflation risk. (Chinese. English summary) Zbl 1449.91123 Chin. J. Eng. Math. 37, No. 2, 131-145 (2020). MSC: 91G10 60G44 PDFBibTeX XMLCite \textit{W. Guo} and \textit{H. Jiang}, Chin. J. Eng. Math. 37, No. 2, 131--145 (2020; Zbl 1449.91123) Full Text: DOI
Sala, Carlo; Barone-Adesi, Giovanni Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set. (English) Zbl 1445.91064 Stochastic Anal. Appl. 38, No. 4, 686-707 (2020). MSC: 91G20 60G44 62P05 PDFBibTeX XMLCite \textit{C. Sala} and \textit{G. Barone-Adesi}, Stochastic Anal. Appl. 38, No. 4, 686--707 (2020; Zbl 1445.91064) Full Text: DOI
Cretarola, Alessandra; Figà-Talamanca, Gianna Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. (English) Zbl 1436.91113 Econ. Lett. 191, Article ID 108831, 5 p. (2020). MSC: 91G70 60G44 60J27 PDFBibTeX XMLCite \textit{A. Cretarola} and \textit{G. Figà-Talamanca}, Econ. Lett. 191, Article ID 108831, 5 p. (2020; Zbl 1436.91113) Full Text: DOI
Benvenuto, Federico; Jin, Bangti A parameter choice rule for Tikhonov regularization based on predictive risk. (English) Zbl 07211714 Inverse Probl. 36, No. 6, Article ID 065004, 24 p. (2020). MSC: 47Axx 44Axx 65-XX 65Jxx PDFBibTeX XMLCite \textit{F. Benvenuto} and \textit{B. Jin}, Inverse Probl. 36, No. 6, Article ID 065004, 24 p. (2020; Zbl 07211714) Full Text: DOI arXiv
Crépey, Stéphane; Sabbagh, Wissal; Song, Shiqi When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. (English) Zbl 1443.91286 SIAM J. Financ. Math. 11, No. 1, 99-130 (2020). MSC: 91G20 60H10 91G40 60G44 PDFBibTeX XMLCite \textit{S. Crépey} et al., SIAM J. Financ. Math. 11, No. 1, 99--130 (2020; Zbl 1443.91286) Full Text: DOI
Fu, Ke-Ang; Ni, Chang; Chen, Hao A particular bidimensional time-dependent renewal risk model with constant interest rates. (English) Zbl 1434.60254 Probab. Eng. Inf. Sci. 34, No. 2, 172-182 (2020). MSC: 60K10 60G44 91G05 PDFBibTeX XMLCite \textit{K.-A. Fu} et al., Probab. Eng. Inf. Sci. 34, No. 2, 172--182 (2020; Zbl 1434.60254) Full Text: DOI
Salimov, Rustem; Yang, Su-Fen; Volodin, Andrei; Volodin, Igor Estimation of mean value of a normal distribution with constraints on the relative error and \(d\)-risk. (English) Zbl 07194339 J. Stat. Comput. Simulation 90, No. 7, 1286-1300 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{R. Salimov} et al., J. Stat. Comput. Simulation 90, No. 7, 1286--1300 (2020; Zbl 07194339) Full Text: DOI
Brugière, Pierre Quantitative portfolio management. With applications in Python. (English) Zbl 1452.91005 Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-030-37739-7/hbk; 978-3-030-37740-3/ebook). xii, 205 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91G10 91-08 PDFBibTeX XMLCite \textit{P. Brugière}, Quantitative portfolio management. With applications in Python. Cham: Springer (2020; Zbl 1452.91005) Full Text: DOI
Macheras, Nikolaos D.; Tzaninis, Spyridon M. A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. (English) Zbl 1435.60039 Mod. Stoch., Theory Appl. 7, No. 1, 43-60 (2020). MSC: 60G55 91G40 28A35 60G44 60K05 PDFBibTeX XMLCite \textit{N. D. Macheras} and \textit{S. M. Tzaninis}, Mod. Stoch., Theory Appl. 7, No. 1, 43--60 (2020; Zbl 1435.60039) Full Text: DOI arXiv
Hess, Markus Enlarged filtrations and indistinguishable processes. (English) Zbl 1427.60074 Stochastic Anal. Appl. 38, No. 1, 179-189 (2020). MSC: 60G44 60G51 60H10 91G20 60G57 91B44 91G70 91G10 93E20 PDFBibTeX XMLCite \textit{M. Hess}, Stochastic Anal. Appl. 38, No. 1, 179--189 (2020; Zbl 1427.60074) Full Text: DOI
Tzaninis, Spyridon M.; Macheras, Nikolaos D. A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory. arXiv:2007.09051 Preprint, arXiv:2007.09051 [math.PR] (2020). MSC: 60G55 91B30 28A35 60A10 60G44 60K05 BibTeX Cite \textit{S. M. Tzaninis} and \textit{N. D. Macheras}, ``A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory'', Preprint, arXiv:2007.09051 [math.PR] (2020) Full Text: arXiv OA License
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D. Some martingale characterizations of compound mixed Poisson processes. arXiv:2004.07835 Preprint, arXiv:2004.07835 [math.PR] (2020). MSC: 60G50 91B30 28A50 60G44 BibTeX Cite \textit{D. P. Lyberopoulos} and \textit{N. D. Macheras}, ``Some martingale characterizations of compound mixed Poisson processes'', Preprint, arXiv:2004.07835 [math.PR] (2020) Full Text: arXiv OA License
Al-Hemyari, Zuhair A.; Al-Dabag, H. A.; Al-Humairi, Ali A class of always pooling shrinkage testimators for the Weibull model. (English) Zbl 1452.62721 Int. J. Math. Oper. Res. 14, No. 3, 407-432 (2019). MSC: 62N05 62F10 62J07 PDFBibTeX XMLCite \textit{Z. A. Al-Hemyari} et al., Int. J. Math. Oper. Res. 14, No. 3, 407--432 (2019; Zbl 1452.62721) Full Text: DOI
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, Marco; Obłój, Jan Pointwise arbitrage pricing theory in discrete time. (English) Zbl 1437.90159 Math. Oper. Res. 44, No. 3, 1034-1057 (2019). MSC: 90C46 90C47 90C17 91G20 49K45 49N15 60G42 93E20 91G70 PDFBibTeX XMLCite \textit{M. Burzoni} et al., Math. Oper. Res. 44, No. 3, 1034--1057 (2019; Zbl 1437.90159) Full Text: DOI arXiv
Miao, Yunfei; Wang, Guoping; Rui, Xiaoting; Tu, Tianxiong An innovative Bayesian sequential censored sampling inspection method and application to test design. (English) Zbl 1481.62051 Appl. Math. Modelling 76, 867-882 (2019). MSC: 62L05 62F15 62N03 62P30 90B25 PDFBibTeX XMLCite \textit{Y. Miao} et al., Appl. Math. Modelling 76, 867--882 (2019; Zbl 1481.62051) Full Text: DOI
Harms, Cord; Kiesel, Rüdiger Structural electricity models and asymptotically normal estimators to quantify parameter risk. (English) Zbl 1433.91102 Appl. Math. Finance 26, No. 5, 475-522 (2019). MSC: 91B74 91G20 91G70 PDFBibTeX XMLCite \textit{C. Harms} and \textit{R. Kiesel}, Appl. Math. Finance 26, No. 5, 475--522 (2019; Zbl 1433.91102) Full Text: DOI
Campi, Luciano; Martini, Claude On the support of extremal martingale measures with given marginals: the countable case. (English) Zbl 1427.60072 Adv. Appl. Probab. 51, No. 2, 570-605 (2019). MSC: 60G42 91G70 91G20 PDFBibTeX XMLCite \textit{L. Campi} and \textit{C. Martini}, Adv. Appl. Probab. 51, No. 2, 570--605 (2019; Zbl 1427.60072) Full Text: DOI arXiv Link
Hess, Markus Minimal variance hedging in multicurve interest rate modeling. (English) Zbl 1425.91415 Lith. Math. J. 59, No. 3, 338-356 (2019). MSC: 91G30 91G20 60G44 60G51 60H07 60H10 91B30 91G70 PDFBibTeX XMLCite \textit{M. Hess}, Lith. Math. J. 59, No. 3, 338--356 (2019; Zbl 1425.91415) Full Text: DOI
Renaut, Rosemary A.; Helmstetter, Anthony W.; Vatankhah, Saeed Unbiased predictive risk estimation of the Tikhonov regularization parameter: convergence with increasing rank approximations of the singular value decomposition. (English) Zbl 1434.65039 BIT 59, No. 4, 1031-1061 (2019). MSC: 65F20 65F22 65F15 PDFBibTeX XMLCite \textit{R. A. Renaut} et al., BIT 59, No. 4, 1031--1061 (2019; Zbl 1434.65039) Full Text: DOI arXiv
Schatz, Michael; Sornette, Didier A nonuniformly integrable martingale bubble with a crash. (English) Zbl 1429.91340 SIAM J. Financ. Math. 10, No. 2, 615-631 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G45 60G44 60G55 60J76 PDFBibTeX XMLCite \textit{M. Schatz} and \textit{D. Sornette}, SIAM J. Financ. Math. 10, No. 2, 615--631 (2019; Zbl 1429.91340) Full Text: DOI Link
Gambaro, Anna Maria; Casalini, Riccardo; Fusai, Gianluca; Ghilarducci, Alessandro A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. (English) Zbl 1426.91219 Decis. Econ. Finance 42, No. 1, 157-187 (2019). MSC: 91G05 91G40 91G10 60G44 PDFBibTeX XMLCite \textit{A. M. Gambaro} et al., Decis. Econ. Finance 42, No. 1, 157--187 (2019; Zbl 1426.91219) Full Text: DOI Link
Biagini, Francesca; Zhang, Yinglin Reduced-form framework under model uncertainty. (English) Zbl 1426.91286 Ann. Appl. Probab. 29, No. 4, 2481-2522 (2019). MSC: 91G40 91G05 60G44 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{Y. Zhang}, Ann. Appl. Probab. 29, No. 4, 2481--2522 (2019; Zbl 1426.91286) Full Text: DOI arXiv Euclid
Zhou, Jieming; Zhang, Xiaoye; Huang, Ya; Xiang, Xuyan; Deng, Yingchun Optimal investment and risk control policies for an insurer in an incomplete market. (English) Zbl 1426.91238 Optimization 68, No. 9, 1625-1652 (2019). MSC: 91G05 60K30 60G44 91B16 PDFBibTeX XMLCite \textit{J. Zhou} et al., Optimization 68, No. 9, 1625--1652 (2019; Zbl 1426.91238) Full Text: DOI
Xiao, Hongmin; Liu, Yuedi; Liu, Ailing Optimal investment strategy for risk model of delayed claims. (Chinese. English summary) Zbl 1438.91131 J. Math., Wuhan Univ. 39, No. 2, 297-304 (2019). MSC: 91G10 91B05 60G44 PDFBibTeX XMLCite \textit{H. Xiao} et al., J. Math., Wuhan Univ. 39, No. 2, 297--304 (2019; Zbl 1438.91131) Full Text: DOI
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique No-arbitrage under additional information for thin semimartingale models. (English) Zbl 1479.60083 Stochastic Processes Appl. 129, No. 9, 3080-3115 (2019). MSC: 60G44 60H30 91G99 PDFBibTeX XMLCite \textit{A. Aksamit} et al., Stochastic Processes Appl. 129, No. 9, 3080--3115 (2019; Zbl 1479.60083) Full Text: DOI arXiv
L’Moudden, A.; Marchand, É. On predictive density estimation under \(\alpha\)-divergence loss. (English) Zbl 1426.62018 Math. Methods Stat. 28, No. 2, 127-143 (2019). MSC: 62C20 62F10 62F15 62F30 62H10 62M20 PDFBibTeX XMLCite \textit{A. L'Moudden} and \textit{É. Marchand}, Math. Methods Stat. 28, No. 2, 127--143 (2019; Zbl 1426.62018) Full Text: DOI arXiv
Francq, Christian; Zakoian, Jean-Michel GARCH models. Structure, statistical inference and financial applications. 2nd edition. (English) Zbl 1431.62004 Hoboken, NJ: John Wiley & Sons (ISBN 978-1-119-31357-1/hbk; 978-1-119-31347-2/ebook). xvi, 487 p. (2019). Reviewer: Jonas Šiaulys (Vilnius) MSC: 62-02 62M10 62P05 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoian}, GARCH models. Structure, statistical inference and financial applications. 2nd edition. Hoboken, NJ: John Wiley \& Sons (2019; Zbl 1431.62004) Full Text: DOI
Bégin, Jean-François Economic scenario generator and parameter uncertainty: a Bayesian approach. (English) Zbl 1410.91256 ASTIN Bull. 49, No. 2, 335-372 (2019). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{J.-F. Bégin}, ASTIN Bull. 49, No. 2, 335--372 (2019; Zbl 1410.91256) Full Text: DOI
Richards, Donald; Uhler, Caroline Loading monotonicity of weighted premiums, and total positivity properties of weight functions. (English) Zbl 1410.91286 J. Math. Anal. Appl. 475, No. 1, 532-553 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{D. Richards} and \textit{C. Uhler}, J. Math. Anal. Appl. 475, No. 1, 532--553 (2019; Zbl 1410.91286) Full Text: DOI arXiv
Bienek, T.; Scherer, M. Valuation of contingent guarantees using least-squares Monte Carlo. (English) Zbl 1419.91348 ASTIN Bull. 49, No. 1, 31-56 (2019). MSC: 91B30 91G20 60G40 60G44 91G60 PDFBibTeX XMLCite \textit{T. Bienek} and \textit{M. Scherer}, ASTIN Bull. 49, No. 1, 31--56 (2019; Zbl 1419.91348) Full Text: DOI
Lee, Woojoo; Park, Sojung C.; Ahn, Jae Youn Investigating dependence between frequency and severity via simple generalized linear models. (English) Zbl 1411.62299 J. Korean Stat. Soc. 48, No. 1, 13-28 (2019). MSC: 62P05 62J12 91B30 PDFBibTeX XMLCite \textit{W. Lee} et al., J. Korean Stat. Soc. 48, No. 1, 13--28 (2019; Zbl 1411.62299) Full Text: DOI
Papapantoleon, Antonis; Wardenga, Robert Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA. (English) Zbl 1432.91129 Probab. Uncertain. Quant. Risk 3, Paper No. 1, 28 p. (2018). MSC: 91G30 91G20 60G44 PDFBibTeX XMLCite \textit{A. Papapantoleon} and \textit{R. Wardenga}, Probab. Uncertain. Quant. Risk 3, Paper No. 1, 28 p. (2018; Zbl 1432.91129) Full Text: DOI arXiv
Zhao, Xianghua On a risk process driven by a subordinator with liquid reserves, credit and debit interest. (English) Zbl 1429.91338 Far East J. Appl. Math. 99, No. 3, 235-252 (2018). MSC: 91G40 91G70 60G44 PDFBibTeX XMLCite \textit{X. Zhao}, Far East J. Appl. Math. 99, No. 3, 235--252 (2018; Zbl 1429.91338) Full Text: DOI
Mukhopadhyay, Nitis; Zacks, Shelemyahu Modified Linex two-stage and purely sequential estimation of the variance in a normal distribution with illustrations using horticultural data. (English) Zbl 1425.62120 J. Stat. Theory Pract. 12, No. 1, 111-135 (2018). MSC: 62L12 62L05 62G20 62P10 60G40 62P20 PDFBibTeX XMLCite \textit{N. Mukhopadhyay} and \textit{S. Zacks}, J. Stat. Theory Pract. 12, No. 1, 111--135 (2018; Zbl 1425.62120) Full Text: DOI
Tanaka, Hidekazu; Pal, Nabendu; Lim, Wooi K. On improved estimation under Weibull model. (English) Zbl 1420.62104 J. Stat. Theory Pract. 12, No. 1, 48-65 (2018). MSC: 62F12 62C15 62F10 PDFBibTeX XMLCite \textit{H. Tanaka} et al., J. Stat. Theory Pract. 12, No. 1, 48--65 (2018; Zbl 1420.62104) Full Text: DOI
Zhang, Yi; Zhang, Xiankun; Wen, Limin Empirical Bayes estimators of risk premium under variance related premium principle. (English) Zbl 1424.62055 Chin. J. Appl. Probab. Stat. 34, No. 4, 345-363 (2018). MSC: 62F15 91B30 62P05 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Chin. J. Appl. Probab. Stat. 34, No. 4, 345--363 (2018; Zbl 1424.62055) Full Text: DOI
Zaevski, Tsvetelin; Kounchev, Ognyan A jump moment as a stopping time and defaultable derivatives. (English) Zbl 1424.35326 C. R. Acad. Bulg. Sci. 71, No. 9, 1186-1191 (2018). Reviewer: Angela Slavova (Sofia) MSC: 35Q91 60G44 91G20 91G40 PDFBibTeX XMLCite \textit{T. Zaevski} and \textit{O. Kounchev}, C. R. Acad. Bulg. Sci. 71, No. 9, 1186--1191 (2018; Zbl 1424.35326)
Zhang, Yi; Li, Zhilong The weighted credibility estimation and their statistical analysis of claims number. (Chinese. English summary) Zbl 1424.91071 J. Jiangxi Norm. Univ., Nat. Sci. Ed. 42, No. 4, 361-365 (2018). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{Y. Zhang} and \textit{Z. Li}, J. Jiangxi Norm. Univ., Nat. Sci. Ed. 42, No. 4, 361--365 (2018; Zbl 1424.91071) Full Text: DOI
Lo, Ambrose Derivative pricing. A problem-based primer. (English) Zbl 1422.91005 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-138-03335-1/hbk; 978-1-315-30122-8/ebook). xviii, 432 p. (2018). Reviewer: Paweł Kliber (Poznan) MSC: 91-01 91G20 60G40 91B30 60G44 PDFBibTeX XMLCite \textit{A. Lo}, Derivative pricing. A problem-based primer. Boca Raton, FL: CRC Press (2018; Zbl 1422.91005) Full Text: DOI
Feinstein, Zachary; Rudloff, Birgit A supermartingale relation for multivariate risk measures. (English) Zbl 1406.91410 Quant. Finance 18, No. 12, 1971-1990 (2018). MSC: 91G10 91B30 60G44 PDFBibTeX XMLCite \textit{Z. Feinstein} and \textit{B. Rudloff}, Quant. Finance 18, No. 12, 1971--1990 (2018; Zbl 1406.91410) Full Text: DOI arXiv
Marchand, Éric; Sadeghkhani, Abdolnasser On predictive density estimation with additional information. (English) Zbl 1409.62116 Electron. J. Stat. 12, No. 2, 4209-4238 (2018). MSC: 62H12 62F15 62M20 PDFBibTeX XMLCite \textit{É. Marchand} and \textit{A. Sadeghkhani}, Electron. J. Stat. 12, No. 2, 4209--4238 (2018; Zbl 1409.62116) Full Text: DOI arXiv Euclid
Hernández-Hernández, Daniel Variance-optimal martingale measures for diffusion processes with stochastic coefficients. (English) Zbl 1405.60056 Set-Valued Var. Anal. 26, No. 4, 975-991 (2018). MSC: 60G44 91B24 91B70 PDFBibTeX XMLCite \textit{D. Hernández-Hernández}, Set-Valued Var. Anal. 26, No. 4, 975--991 (2018; Zbl 1405.60056) Full Text: DOI
Le Courtois, Olivier Some further results on the tempered multistable approach. (English) Zbl 1418.91611 Asia-Pac. Financ. Mark. 25, No. 2, 87-109 (2018). MSC: 91G70 60G44 60G52 PDFBibTeX XMLCite \textit{O. Le Courtois}, Asia-Pac. Financ. Mark. 25, No. 2, 87--109 (2018; Zbl 1418.91611) Full Text: DOI
Li, Danning; Xue, Lingzhou; Zou, Hui Applications of Peter Hall’s martingale limit theory to estimating and testing high dimensional covariance matrices. (English) Zbl 1406.62057 Stat. Sin. 28, No. 4, Part 2, 2657-2670 (2018). MSC: 62H12 62H15 62G05 60G42 60F15 PDFBibTeX XMLCite \textit{D. Li} et al., Stat. Sin. 28, No. 4, Part 2, 2657--2670 (2018; Zbl 1406.62057) Full Text: DOI Link
Karlsson, Martin; Klohn, Florian; Rickayzen, Ben The role of heterogeneous parameters for the detection of selection in insurance contracts. (English) Zbl 1417.91276 Insur. Math. Econ. 83, 110-121 (2018). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{M. Karlsson} et al., Insur. Math. Econ. 83, 110--121 (2018; Zbl 1417.91276) Full Text: DOI Link
Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; Zabolotskyy, Taras Determination and estimation of risk aversion coefficients. (English) Zbl 1417.91441 Comput. Manag. Sci. 15, No. 2, 297-317 (2018). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{T. Bodnar} et al., Comput. Manag. Sci. 15, No. 2, 297--317 (2018; Zbl 1417.91441) Full Text: DOI
Rio, Emmanuel About Doob’s inequality, entropy and Tchebichef. (English) Zbl 1401.60027 Electron. Commun. Probab. 23, Paper No. 78, 12 p. (2018). MSC: 60E15 60G42 PDFBibTeX XMLCite \textit{E. Rio}, Electron. Commun. Probab. 23, Paper No. 78, 12 p. (2018; Zbl 1401.60027) Full Text: DOI Euclid
Leung, Melvern; Fung, Man Chung; O’Hare, Colin A comparative study of pricing approaches for longevity instruments. (English) Zbl 1416.91200 Insur. Math. Econ. 82, 95-116 (2018). MSC: 91B30 91G20 91-04 62P05 PDFBibTeX XMLCite \textit{M. Leung} et al., Insur. Math. Econ. 82, 95--116 (2018; Zbl 1416.91200) Full Text: DOI
Lucka, Felix; Proksch, Katharina; Brune, Christoph; Bissantz, Nicolai; Burger, Martin; Dette, Holger; Wübbeling, Frank Risk estimators for choosing regularization parameters in ill-posed problems – properties and limitations. (English) Zbl 06945044 Inverse Probl. Imaging 12, No. 5, 1121-1155 (2018). MSC: 65F22 62F12 49N45 PDFBibTeX XMLCite \textit{F. Lucka} et al., Inverse Probl. Imaging 12, No. 5, 1121--1155 (2018; Zbl 06945044) Full Text: DOI arXiv
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter Arbitrage and utility maximization in market models with an insider. (English) Zbl 1396.91232 Math. Financ. Econ. 12, No. 4, 589-614 (2018). MSC: 91B26 91B16 60G44 PDFBibTeX XMLCite \textit{H. N. Chau} et al., Math. Financ. Econ. 12, No. 4, 589--614 (2018; Zbl 1396.91232) Full Text: DOI arXiv Link
Li, Hong; Lu, Yang A Bayesian non-parametric model for small population mortality. (English) Zbl 1416.91204 Scand. Actuar. J. 2018, No. 7, 605-628 (2018). MSC: 91B30 62P05 91D20 62F15 PDFBibTeX XMLCite \textit{H. Li} and \textit{Y. Lu}, Scand. Actuar. J. 2018, No. 7, 605--628 (2018; Zbl 1416.91204) Full Text: DOI HAL
Hata, Hiroaki; Yasuda, Kazuhiro Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model. (English) Zbl 1416.91185 Scand. Actuar. J. 2018, No. 5, 357-378 (2018). MSC: 91B30 91B16 93E20 90C39 60G44 PDFBibTeX XMLCite \textit{H. Hata} and \textit{K. Yasuda}, Scand. Actuar. J. 2018, No. 5, 357--378 (2018; Zbl 1416.91185) Full Text: DOI