Shao, Jinghai; Mitra, Sovan; Karathanasopoulos, Andreas Optimal feedback control of stock prices under credit risk dynamics. (English) Zbl 07553154 Ann. Oper. Res. 313, No. 2, 1285-1318 (2022). MSC: 93B52 60J60 49K30 60J27 PDF BibTeX XML Cite \textit{J. Shao} et al., Ann. Oper. Res. 313, No. 2, 1285--1318 (2022; Zbl 07553154) Full Text: DOI OpenURL
Mukherjee, Soumyatanu; Padhi, Sidhartha S. Sourcing decision under interconnected risks: an application of mean-variance preferences approach. (English) Zbl 07553152 Ann. Oper. Res. 313, No. 2, 1243-1268 (2022). MSC: 91Bxx 90Bxx 90Cxx PDF BibTeX XML Cite \textit{S. Mukherjee} and \textit{S. S. Padhi}, Ann. Oper. Res. 313, No. 2, 1243--1268 (2022; Zbl 07553152) Full Text: DOI OpenURL
Khalfaoui, Rabeh; Solarin, Sakiru Adebola; Al-Qadasi, Adel; Ben Jabeur, Sami Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries. (English) Zbl 07550833 Ann. Oper. Res. 313, No. 1, 105-143 (2022). MSC: 62P05 62G10 62M10 62P10 68T05 PDF BibTeX XML Cite \textit{R. Khalfaoui} et al., Ann. Oper. Res. 313, No. 1, 105--143 (2022; Zbl 07550833) Full Text: DOI OpenURL
Chen, Pinhan; Gao, Chao; Zhang, Anderson Y. Optimal full ranking from pairwise comparisons. (English) Zbl 07547950 Ann. Stat. 50, No. 3, 1775-1805 (2022). MSC: 62F07 PDF BibTeX XML Cite \textit{P. Chen} et al., Ann. Stat. 50, No. 3, 1775--1805 (2022; Zbl 07547950) Full Text: DOI OpenURL
Streltsova, E.; Borodin, A.; Yakovenko, I. Fuzzy-logic model for feasibility study of project implementation: project’s investment risk. (English) Zbl 07547162 Iran. J. Fuzzy Syst. 19, No. 2, 1-15 (2022). MSC: 91Bxx 90Cxx 03Exx PDF BibTeX XML Cite \textit{E. Streltsova} et al., Iran. J. Fuzzy Syst. 19, No. 2, 1--15 (2022; Zbl 07547162) Full Text: DOI OpenURL
Deng, M.; Aminzadeh, M. S. Bayesian predictive analysis for Weibull-Pareto composite model with an application to insurance data. (English) Zbl 07545886 Commun. Stat., Simulation Comput. 51, No. 5, 2683-2709 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Deng} and \textit{M. S. Aminzadeh}, Commun. Stat., Simulation Comput. 51, No. 5, 2683--2709 (2022; Zbl 07545886) Full Text: DOI OpenURL
Choi, Wonhyung; Lin, Zhigui; Ahn, Inkyung SIS reaction-diffusion model with risk-induced dispersal under free boundary. (English) Zbl 07544597 Nonlinear Anal., Real World Appl. 67, Article ID 103605, 18 p. (2022). MSC: 35Q92 35Kxx 92Dxx 35Rxx PDF BibTeX XML Cite \textit{W. Choi} et al., Nonlinear Anal., Real World Appl. 67, Article ID 103605, 18 p. (2022; Zbl 07544597) Full Text: DOI OpenURL
Schmidli, Hanspeter Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times. (English) Zbl 07544485 Scand. Actuar. J. 2022, No. 1, 49-63 (2022). MSC: 91B30 PDF BibTeX XML Cite \textit{H. Schmidli}, Scand. Actuar. J. 2022, No. 1, 49--63 (2022; Zbl 07544485) Full Text: DOI OpenURL
Gavagan, Joshua; Hu, Liang; Lee, Gee Y.; Liu, Haiyan; Weixel, Anna Optimal reinsurance with model uncertainty and Stackelberg game. (English) Zbl 07544484 Scand. Actuar. J. 2022, No. 1, 29-48 (2022). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Gavagan} et al., Scand. Actuar. J. 2022, No. 1, 29--48 (2022; Zbl 07544484) Full Text: DOI OpenURL
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V. Collective reserving using individual claims data. (English) Zbl 07544483 Scand. Actuar. J. 2022, No. 1, 1-28 (2022). MSC: 91B30 PDF BibTeX XML Cite \textit{Ł. Delong} et al., Scand. Actuar. J. 2022, No. 1, 1--28 (2022; Zbl 07544483) Full Text: DOI OpenURL
Bates, Paul D. Flood inundation prediction. (English) Zbl 07544328 Moin, Parviz (ed.) et al., Annual review of fluid mechanics. Vol. 54. Palo Alto, CA: Annual Reviews. Annu. Rev. Fluid Mech. 54, 287-315 (2022). MSC: 76B15 76B10 76M99 76-02 86A05 PDF BibTeX XML Cite \textit{P. D. Bates}, Annu. Rev. Fluid Mech. 54, 287--315 (2022; Zbl 07544328) Full Text: DOI OpenURL
Liu, Guoxin; Liu, Xiaoying; Liu, Zhaoyang The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model. (English) Zbl 07542689 J. Comput. Appl. Math. 413, Article ID 114368, 14 p. (2022). MSC: 60J25 65K10 91B05 93E20 60G55 PDF BibTeX XML Cite \textit{G. Liu} et al., J. Comput. Appl. Math. 413, Article ID 114368, 14 p. (2022; Zbl 07542689) Full Text: DOI OpenURL
Uozumi, Ryuji; Yada, Shinjo; Maruo, Kazushi; Kawaguchi, Atsushi Confidence intervals for difference between two binomial proportions derived from logistic regression. (English) Zbl 07540835 Commun. Stat., Simulation Comput. 51, No. 6, 3223-3236 (2022). MSC: 62J12 62F25 62P10 PDF BibTeX XML Cite \textit{R. Uozumi} et al., Commun. Stat., Simulation Comput. 51, No. 6, 3223--3236 (2022; Zbl 07540835) Full Text: DOI OpenURL
Lin, Tzuling; Tsai, Cary Chi-Liang Hierarchical Bayesian modeling of multi-country mortality rates. (English) Zbl 07540571 Scand. Actuar. J. 2022, No. 5, 375-398 (2022). MSC: 91B30 PDF BibTeX XML Cite \textit{T. Lin} and \textit{C. C. L. Tsai}, Scand. Actuar. J. 2022, No. 5, 375--398 (2022; Zbl 07540571) Full Text: DOI OpenURL
Li, Jackie; Pitt, David; Li, Han Dispersion modelling of mortality for both sexes with Tweedie distributions. (English) Zbl 07540570 Scand. Actuar. J. 2022, No. 4, 356-374 (2022). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Li} et al., Scand. Actuar. J. 2022, No. 4, 356--374 (2022; Zbl 07540570) Full Text: DOI OpenURL
Xun, Baoyin; Yuen, Kam C.; Wang, Kaiyong The finite-time ruin probability of a risk model with a general counting process and stochastic return. (English) Zbl 07538978 J. Ind. Manag. Optim. 18, No. 3, 1541-1556 (2022). MSC: 62P05 62E10 60F05 PDF BibTeX XML Cite \textit{B. Xun} et al., J. Ind. Manag. Optim. 18, No. 3, 1541--1556 (2022; Zbl 07538978) Full Text: DOI OpenURL
Gao, Zhongqin; He, Jingmin; Zhao, Zhifeng; Wang, Bingbing Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy. (English) Zbl 07536584 Methodol. Comput. Appl. Probab. 24, No. 1, 233-258 (2022). MSC: 62P05 91B05 PDF BibTeX XML Cite \textit{Z. Gao} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 233--258 (2022; Zbl 07536584) Full Text: DOI OpenURL
Chateauneuf, Alain; Cornet, Bernard Submodular financial markets with frictions. (English) Zbl 07535182 Econ. Theory 73, No. 2-3, 721-744 (2022). MSC: 91G15 PDF BibTeX XML Cite \textit{A. Chateauneuf} and \textit{B. Cornet}, Econ. Theory 73, No. 2--3, 721--744 (2022; Zbl 07535182) Full Text: DOI OpenURL
Kriukov, Nikolai Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model. (English) Zbl 07533903 Stochastics 94, No. 4, 629-645 (2022). MSC: 60G15 60G70 PDF BibTeX XML Cite \textit{N. Kriukov}, Stochastics 94, No. 4, 629--645 (2022; Zbl 07533903) Full Text: DOI OpenURL
Wu, Cong; Wang, Jinru; Zeng, Xiaochen Adaptive and optimal point-wise estimations for densities in GARCH-type model by wavelets. (English) Zbl 07533090 J. Comput. Math. 40, No. 1, 108-126 (2022). MSC: 42C40 62G07 62G20 PDF BibTeX XML Cite \textit{C. Wu} et al., J. Comput. Math. 40, No. 1, 108--126 (2022; Zbl 07533090) Full Text: DOI OpenURL
Wang, Xiaodong; Hsieh, Fushing Unraveling S&P\(500\) stock volatility and networks – an encoding-and-decoding approach. (English) Zbl 07532624 Quant. Finance 22, No. 5, 997-1016 (2022). MSC: 91G15 91G45 PDF BibTeX XML Cite \textit{X. Wang} and \textit{F. Hsieh}, Quant. Finance 22, No. 5, 997--1016 (2022; Zbl 07532624) Full Text: DOI OpenURL
Chen, Yu; Wang, Jiayi; Zhang, Weiping Tail distortion risk measure for portfolio with multivariate regularly variation. (English) Zbl 07531922 Commun. Math. Stat. 10, No. 2, 263-285 (2022). MSC: 62E20 PDF BibTeX XML Cite \textit{Y. Chen} et al., Commun. Math. Stat. 10, No. 2, 263--285 (2022; Zbl 07531922) Full Text: DOI OpenURL
Papayiannis, Georgios I. Robust policy selection and harvest risk quantification for natural resources management under model uncertainty. (English) Zbl 07529799 J. Dyn. Games 9, No. 2, 203-217 (2022). MSC: 91B76 91B05 49N90 PDF BibTeX XML Cite \textit{G. I. Papayiannis}, J. Dyn. Games 9, No. 2, 203--217 (2022; Zbl 07529799) Full Text: DOI OpenURL
Xiao, Lin Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm. (English) Zbl 07529328 Appl. Math. Comput. 424, Article ID 126969, 26 p. (2022). MSC: 91Bxx 62Pxx 60Jxx PDF BibTeX XML Cite \textit{L. Xiao}, Appl. Math. Comput. 424, Article ID 126969, 26 p. (2022; Zbl 07529328) Full Text: DOI OpenURL
Galtchouk, Leonid I.; Pergamenshchikov, Serge M. Adaptive efficient analysis for big data ergodic diffusion models. (English) Zbl 07527234 Stat. Inference Stoch. Process. 25, No. 1, 127-158 (2022). MSC: 62G08 62G05 62G20 PDF BibTeX XML Cite \textit{L. I. Galtchouk} and \textit{S. M. Pergamenshchikov}, Stat. Inference Stoch. Process. 25, No. 1, 127--158 (2022; Zbl 07527234) Full Text: DOI OpenURL
Behme, Anita; Sideris, Apostolos Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory. (English) Zbl 07526586 Bernoulli 28, No. 2, 1309-1339 (2022). MSC: 60J25 60H25 60G51 PDF BibTeX XML Cite \textit{A. Behme} and \textit{A. Sideris}, Bernoulli 28, No. 2, 1309--1339 (2022; Zbl 07526586) Full Text: DOI Link OpenURL
Ogawa, Toshiaki Welfare implications of bank capital requirements under dynamic default decisions. (English) Zbl 07526556 J. Econ. Dyn. Control 138, Article ID 104360, 32 p. (2022). MSC: 91G45 91B50 PDF BibTeX XML Cite \textit{T. Ogawa}, J. Econ. Dyn. Control 138, Article ID 104360, 32 p. (2022; Zbl 07526556) Full Text: DOI OpenURL
Hong, Linxiong; Li, Huacong; Fu, Jiangfeng A novel surrogate-model based active learning method for structural reliability analysis. (English) Zbl 07526195 Comput. Methods Appl. Mech. Eng. 394, Article ID 114835, 23 p. (2022). MSC: 92-XX 90-XX PDF BibTeX XML Cite \textit{L. Hong} et al., Comput. Methods Appl. Mech. Eng. 394, Article ID 114835, 23 p. (2022; Zbl 07526195) Full Text: DOI OpenURL
Wang, Wenyuan; Xie, Jiayi; Zhang, Zhimin Estimating the time value of ruin in a Lévy risk model under low-frequency observation. (English) Zbl 07525955 Insur. Math. Econ. 104, 133-157 (2022). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{W. Wang} et al., Insur. Math. Econ. 104, 133--157 (2022; Zbl 07525955) Full Text: DOI OpenURL
Dussap, Florian Nonparametric estimation of the expected discounted penalty function in the compound Poisson model. (English) Zbl 07524971 Electron. J. Stat. 16, No. 1, 2124-2174 (2022). MSC: 62G05 62P05 91G70 PDF BibTeX XML Cite \textit{F. Dussap}, Electron. J. Stat. 16, No. 1, 2124--2174 (2022; Zbl 07524971) Full Text: DOI Link OpenURL
Rasekhi, Mahdi; Altun, Emrah; Alizadeh, Morad; Yousof, Haitham M. The odd log-logistic Weibull-G family of distributions with regression and financial risk models. (English) Zbl 07524842 J. Oper. Res. Soc. China 10, No. 1, 133-158 (2022). MSC: 62E15 62J05 PDF BibTeX XML Cite \textit{M. Rasekhi} et al., J. Oper. Res. Soc. China 10, No. 1, 133--158 (2022; Zbl 07524842) Full Text: DOI OpenURL
Bäuerle, Nicole; Leimcke, Gregor Bayesian optimal investment and reinsurance with dependent financial and insurance risks. (English) Zbl 07523497 Stat. Risk. Model. 39, No. 1-2, 23-47 (2022). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{N. Bäuerle} and \textit{G. Leimcke}, Stat. Risk. Model. 39, No. 1--2, 23--47 (2022; Zbl 07523497) Full Text: DOI OpenURL
Jiang, Zhengjun Banach contraction principle, \(q\)-scale function and ultimate ruin probability under a Markov-modulated classical risk model. (English) Zbl 07518395 Scand. Actuar. J. 2022, No. 3, 234-243 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60K37 60J70 PDF BibTeX XML Cite \textit{Z. Jiang}, Scand. Actuar. J. 2022, No. 3, 234--243 (2022; Zbl 07518395) Full Text: DOI OpenURL
Wu, Bo; Qiu, Weixing; Huang, Wei; Meng, Guowang; Huang, Jingsong; Xu, Shixiang Dynamic risk evaluation method for collapse disasters of drill-and-blast tunnels: a case study. (English) Zbl 07513170 Math. Biosci. Eng. 19, No. 1, 309-330 (2022). MSC: 91B05 PDF BibTeX XML Cite \textit{B. Wu} et al., Math. Biosci. Eng. 19, No. 1, 309--330 (2022; Zbl 07513170) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Yuan} and \textit{D. Lu}, Stat. Probab. Lett. 185, Article ID 109440, 9 p. (2022; Zbl 1484.62127) Full Text: DOI OpenURL
Calcagnì, Antonio; Lombardi, Luigi Modeling random and non-random decision uncertainty in ratings data: a fuzzy beta model. (English) Zbl 1484.62099 AStA, Adv. Stat. Anal. 106, No. 1, 145-173 (2022). MSC: 62J86 62J12 62P25 PDF BibTeX XML Cite \textit{A. Calcagnì} and \textit{L. Lombardi}, AStA, Adv. Stat. Anal. 106, No. 1, 145--173 (2022; Zbl 1484.62099) Full Text: DOI OpenURL
Chateauneuf, Alain; Cohen, Michèle; Mostoufi, Mina Optimality of deductible: a characterization, with application to Yaari’s dual theory. (English) Zbl 1484.91184 Theory Decis. 92, No. 3-4, 569-580 (2022); correction ibid. 92, No. 3-4, 581 (2022). MSC: 91B16 91G05 PDF BibTeX XML Cite \textit{A. Chateauneuf} et al., Theory Decis. 92, No. 3--4, 569--580 (2022; Zbl 1484.91184) Full Text: DOI OpenURL
Matsuura, Shun; Kurata, Hiroshi Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression. (English) Zbl 1483.62121 Stat. Pap. 63, No. 1, 123-141 (2022). MSC: 62J05 62H12 PDF BibTeX XML Cite \textit{S. Matsuura} and \textit{H. Kurata}, Stat. Pap. 63, No. 1, 123--141 (2022; Zbl 1483.62121) Full Text: DOI OpenURL
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Kriukov, Nikolai Pandemic-type failures in multivariate Brownian risk models. (English) Zbl 07502777 Extremes 25, No. 1, 1-23 (2022). MSC: 60G15 60G70 PDF BibTeX XML Cite \textit{K. Dȩbicki} et al., Extremes 25, No. 1, 1--23 (2022; Zbl 07502777) Full Text: DOI OpenURL
Minford, Patrick; Ou, Zhirong; Zhu, Zheyi Is there consumer risk-pooling in the open economy? The evidence reconsidered. (English) Zbl 1485.91134 Open Econ. Rev. 33, No. 1, 109-120 (2022). MSC: 91B51 62P20 91B64 PDF BibTeX XML Cite \textit{P. Minford} et al., Open Econ. Rev. 33, No. 1, 109--120 (2022; Zbl 1485.91134) Full Text: DOI OpenURL
Liang, Xiaoqing; Young, Virginia R. Discounted probability of exponential Parisian ruin: diffusion approximation. (English) Zbl 1483.91058 J. Appl. Probab. 59, No. 1, 17-37 (2022). MSC: 91B05 90C59 45J05 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, J. Appl. Probab. 59, No. 1, 17--37 (2022; Zbl 1483.91058) Full Text: DOI OpenURL
Guo, Bin; Huang, Fuzhe; Li, Kai Time to build and bond risk premia. (English) Zbl 07490756 J. Econ. Dyn. Control 136, Article ID 104080, 23 p. (2022). MSC: 91-XX PDF BibTeX XML Cite \textit{B. Guo} et al., J. Econ. Dyn. Control 136, Article ID 104080, 23 p. (2022; Zbl 07490756) Full Text: DOI OpenURL
Li, Xiaoyue; Uysal, A. Sinem; Mulvey, John M. Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks. (English) Zbl 07487818 Eur. J. Oper. Res. 299, No. 3, 1158-1176 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{X. Li} et al., Eur. J. Oper. Res. 299, No. 3, 1158--1176 (2022; Zbl 07487818) Full Text: DOI arXiv OpenURL
Huang, Yiming; Mamon, Rogemar; Xiong, Heng Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (English) Zbl 1484.91387 Insur. Math. Econ. 103, 1-26 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{Y. Huang} et al., Insur. Math. Econ. 103, 1--26 (2022; Zbl 1484.91387) Full Text: DOI OpenURL
Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena Parameter estimation in CKLS model by continuous observations. (English) Zbl 07484435 Stat. Probab. Lett. 184, Article ID 109391, 10 p. (2022). MSC: 60H10 62F10 62F12 91G70 PDF BibTeX XML Cite \textit{Y. Mishura} et al., Stat. Probab. Lett. 184, Article ID 109391, 10 p. (2022; Zbl 07484435) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{K.-A. Fu} et al., Stat. Probab. Lett. 184, Article ID 109365, 7 p. (2022; Zbl 1480.91075) Full Text: DOI OpenURL
Chiu, Wan-Yi Another look at portfolio optimization with mental accounts. (English) Zbl 07483684 Appl. Math. Comput. 419, Article ID 126851, 14 p. (2022). MSC: 91Gxx 62Hxx 62Pxx PDF BibTeX XML Cite \textit{W.-Y. Chiu}, Appl. Math. Comput. 419, Article ID 126851, 14 p. (2022; Zbl 07483684) Full Text: DOI OpenURL
Li, Jiang-Cheng; Tao, Chen; Li, Hai-Feng Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods. (English) Zbl 07483652 Physica A 588, Article ID 126546, 16 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{J.-C. Li} et al., Physica A 588, Article ID 126546, 16 p. (2022; Zbl 07483652) Full Text: DOI OpenURL
Luong, Thi Mai; Scheule, Harald Benchmarking forecast approaches for mortgage credit risk for forward periods. (English) Zbl 07479772 Eur. J. Oper. Res. 299, No. 2, 750-767 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{T. M. Luong} and \textit{H. Scheule}, Eur. J. Oper. Res. 299, No. 2, 750--767 (2022; Zbl 07479772) Full Text: DOI OpenURL
Lazar, Emese; Qi, Shuyuan Model risk in the over-the-counter market. (English) Zbl 07478851 Eur. J. Oper. Res. 298, No. 2, 769-784 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{E. Lazar} and \textit{S. Qi}, Eur. J. Oper. Res. 298, No. 2, 769--784 (2022; Zbl 07478851) Full Text: DOI OpenURL
Volk-Makarewicz, Warren; Borovkova, Svetlana; Heidergott, Bernd Assessing the impact of jumps in an option pricing model: a gradient estimation approach. (English) Zbl 07478849 Eur. J. Oper. Res. 298, No. 2, 740-751 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{W. Volk-Makarewicz} et al., Eur. J. Oper. Res. 298, No. 2, 740--751 (2022; Zbl 07478849) Full Text: DOI OpenURL
Albrecher, Hansjoerg; Goffard, Pierre-Olivier On the profitability of selfish blockchain mining under consideration of ruin. (English) Zbl 1484.91526 Oper. Res. 70, No. 1, 179-200 (2022). MSC: 91G99 PDF BibTeX XML Cite \textit{H. Albrecher} and \textit{P.-O. Goffard}, Oper. Res. 70, No. 1, 179--200 (2022; Zbl 1484.91526) Full Text: DOI arXiv OpenURL
Li, Haitao; Wu, Chongfeng; Zhou, Chunyang Time-varying risk aversion and dynamic portfolio allocation. (English) Zbl 1484.91433 Oper. Res. 70, No. 1, 23-37 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{H. Li} et al., Oper. Res. 70, No. 1, 23--37 (2022; Zbl 1484.91433) Full Text: DOI OpenURL
Gong, Yishan; Yang, Yang Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model. (English) Zbl 07475171 J. Ind. Manag. Optim. 18, No. 2, 1321-1337 (2022). MSC: 62P05 62E20 91B30 PDF BibTeX XML Cite \textit{Y. Gong} and \textit{Y. Yang}, J. Ind. Manag. Optim. 18, No. 2, 1321--1337 (2022; Zbl 07475171) Full Text: DOI OpenURL
Pchelintsev, Evgeny; Pergamenshchikov, Serguei; Povzun, Maria Efficient estimation methods for non-Gaussian regression models in continuous time. (English) Zbl 07473257 Ann. Inst. Stat. Math. 74, No. 1, 113-142 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{E. Pchelintsev} et al., Ann. Inst. Stat. Math. 74, No. 1, 113--142 (2022; Zbl 07473257) Full Text: DOI OpenURL
Wang, Bingjie; Yan, Jigao; Cheng, Dongya Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims. (English) Zbl 1478.91055 Japan J. Ind. Appl. Math. 39, No. 1, 177-194 (2022). MSC: 91B05 62P05 60K10 91G05 PDF BibTeX XML Cite \textit{B. Wang} et al., Japan J. Ind. Appl. Math. 39, No. 1, 177--194 (2022; Zbl 1478.91055) Full Text: DOI OpenURL
Guo, Fenglong Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors. (English) Zbl 07427459 Appl. Math. Comput. 413, Article ID 126634, 30 p. (2022). MSC: 62P05 62E20 91B30 PDF BibTeX XML Cite \textit{F. Guo}, Appl. Math. Comput. 413, Article ID 126634, 30 p. (2022; Zbl 07427459) Full Text: DOI OpenURL
Xie, Jiayi; Zhang, Zhimin Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation. (English) Zbl 1476.91038 J. Comput. Appl. Math. 399, Article ID 113703, 22 p. (2022). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B05 65D15 60G51 60K10 PDF BibTeX XML Cite \textit{J. Xie} and \textit{Z. Zhang}, J. Comput. Appl. Math. 399, Article ID 113703, 22 p. (2022; Zbl 1476.91038) Full Text: DOI OpenURL
Jeon, Jaegi; Huh, Jeonggyu; Kim, Geonwoo Pricing of vulnerable power exchange option under the hybrid model. (English) Zbl 07546026 East Asian Math. J. 37, No. 5, 567-576 (2021). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{J. Jeon} et al., East Asian Math. J. 37, No. 5, 567--576 (2021; Zbl 07546026) Full Text: DOI OpenURL
Gammoudi, Imed; Nani, Asma; El Ghourabi, Mohamed Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications. (English) Zbl 07545725 Commun. Stat., Simulation Comput. 50, No. 11, 3338-3363 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{I. Gammoudi} et al., Commun. Stat., Simulation Comput. 50, No. 11, 3338--3363 (2021; Zbl 07545725) Full Text: DOI OpenURL
Long, Yang; Guohe, Deng A perturbed risk model with constant interest and periodic barrier dividend strategy. (English) Zbl 07545677 Commun. Stat., Simulation Comput. 50, No. 8, 2467-2481 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Long} and \textit{D. Guohe}, Commun. Stat., Simulation Comput. 50, No. 8, 2467--2481 (2021; Zbl 07545677) Full Text: DOI OpenURL
Erem, Ayşegül An exceedance model based on bivariate order statistics. (English) Zbl 07545367 Commun. Fac. Sci. Univ. Ank., Sér. A1, Math. Stat. 70, No. 2, 785-795 (2021). MSC: 62H05 62E15 62H10 PDF BibTeX XML Cite \textit{A. Erem}, Commun. Fac. Sci. Univ. Ank., Sér. A1, Math. Stat. 70, No. 2, 785--795 (2021; Zbl 07545367) Full Text: DOI OpenURL
Li, Hesen; Gu, Jingcheng; Chun, Zhengjie; Luo, Lan; Wu, Xu Study on portfolio model under background risk and fractal market. (English) Zbl 07542121 Fractals 29, No. 8, Article ID 2150262, 11 p. (2021). MSC: 91Gxx 91Bxx 28Axx PDF BibTeX XML Cite \textit{H. Li} et al., Fractals 29, No. 8, Article ID 2150262, 11 p. (2021; Zbl 07542121) Full Text: DOI OpenURL
Melnikov, Alexander; Wan, Hongxi CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs. (English) Zbl 07537232 Probab. Uncertain. Quant. Risk 6, No. 4, 343-368 (2021). MSC: 91G20 91G05 62P05 60J74 PDF BibTeX XML Cite \textit{A. Melnikov} and \textit{H. Wan}, Probab. Uncertain. Quant. Risk 6, No. 4, 343--368 (2021; Zbl 07537232) Full Text: DOI OpenURL
Kang, Yao; Wang, Dehui; Cheng, Jianhua Risk models based on copulas for premiums and claim sizes. (English) Zbl 07533665 Commun. Stat., Theory Methods 50, No. 10, 2250-2269 (2021). MSC: 60J65 62P05 62-XX PDF BibTeX XML Cite \textit{Y. Kang} et al., Commun. Stat., Theory Methods 50, No. 10, 2250--2269 (2021; Zbl 07533665) Full Text: DOI OpenURL
Sun, Fuyun; Li, Yuelei On the improved thinning risk model under a periodic dividend barrier strategy. (English) Zbl 07533495 AIMS Math. 6, No. 12, 13448-13463 (2021). MSC: 91B30 97M30 PDF BibTeX XML Cite \textit{F. Sun} and \textit{Y. Li}, AIMS Math. 6, No. 12, 13448--13463 (2021; Zbl 07533495) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Lin}, Commun. Stat., Theory Methods 50, No. 5, 1200--1209 (2021; Zbl 07532943) Full Text: DOI OpenURL
Wang, Kaiyong; Mao, Yanzhu Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate. (English) Zbl 07532929 Commun. Stat., Theory Methods 50, No. 4, 932-943 (2021). MSC: 62P05 62E10 60F05 62-XX PDF BibTeX XML Cite \textit{K. Wang} and \textit{Y. Mao}, Commun. Stat., Theory Methods 50, No. 4, 932--943 (2021; Zbl 07532929) Full Text: DOI OpenURL
Ikeda, Yuki; Nakada, Ryumei; Kubokawa, Tatsuya; Srivastava, Muni S. Linear shrinkage estimation of the variance of a distribution with unknown mean. (English) Zbl 07530951 Commun. Stat., Theory Methods 50, No. 9, 2039-2047 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Ikeda} et al., Commun. Stat., Theory Methods 50, No. 9, 2039--2047 (2021; Zbl 07530951) Full Text: DOI OpenURL
Binder, Andreas; Jadhav, Onkar; Mehrmann, Volker Model order reduction for the simulation of parametric interest rate models in financial risk analysis. (English) Zbl 1485.65092 J. Math. Ind. 11, Paper No. 8, 34 p. (2021). MSC: 65M06 91G60 PDF BibTeX XML Cite \textit{A. Binder} et al., J. Math. Ind. 11, Paper No. 8, 34 p. (2021; Zbl 1485.65092) Full Text: DOI OpenURL
Chai, Jingjing; Guo, Jingjun Mixed Gaussian Heston asset pricing model and statistics simulation analysis. (Chinese. English summary) Zbl 07524809 Chin. J. Appl. Probab. Stat. 37, No. 4, 331-345 (2021). MSC: 60G15 91B05 PDF BibTeX XML Cite \textit{J. Chai} and \textit{J. Guo}, Chin. J. Appl. Probab. Stat. 37, No. 4, 331--345 (2021; Zbl 07524809) Full Text: Link OpenURL
Weba, Michael Prediction of stock returns may be fallacious: a stochastic confirmation of Malkiel’s assertion on dartboard investments. (English) Zbl 07508904 Far East J. Theor. Stat. 62, No. 2, 131-150 (2021). MSC: 62P05 62M20 60G25 91G10 91G70 PDF BibTeX XML Cite \textit{M. Weba}, Far East J. Theor. Stat. 62, No. 2, 131--150 (2021; Zbl 07508904) Full Text: DOI OpenURL
Bakhshmohammadlou, Minoo; Farnoosh, Rahman Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus. (English) Zbl 07500410 Math. Sci., Springer 15, No. 4, 337-343 (2021). MSC: 60H07 60H10 60J76 91B70 91G20 PDF BibTeX XML Cite \textit{M. Bakhshmohammadlou} and \textit{R. Farnoosh}, Math. Sci., Springer 15, No. 4, 337--343 (2021; Zbl 07500410) Full Text: DOI OpenURL
Wang, Zijian; Zhou, Yong; Zeng, Fanping Semiparametric varying-coefficient expectile model for estimating value at risk on dependent samples. (Chinese. English summary) Zbl 07495006 Sci. Sin., Math. 51, No. 9, 1377-1406 (2021). MSC: 62P05 91G70 PDF BibTeX XML Cite \textit{Z. Wang} et al., Sci. Sin., Math. 51, No. 9, 1377--1406 (2021; Zbl 07495006) Full Text: DOI OpenURL
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana Dynamic probabilistic forecasting with uncertainty. (English) Zbl 1484.91445 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150034, 18 p. (2021). MSC: 91G15 91G20 60J60 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150034, 18 p. (2021; Zbl 1484.91445) Full Text: DOI OpenURL
Gümbel, Sandrine; Schmidt, Thorsten Defaultable term structures driven by semimartingales. (English) Zbl 07488279 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150032, 27 p. (2021). MSC: 91G30 91G40 60G48 PDF BibTeX XML Cite \textit{S. Gümbel} and \textit{T. Schmidt}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150032, 27 p. (2021; Zbl 07488279) Full Text: DOI arXiv OpenURL
Huang, Xiaoxia; Jiang, Guowei; Gupta, Pankaj; Mehlawat, Mukesh Kumar A risk index model for uncertain portfolio selection with background risk. (English) Zbl 07485346 Comput. Oper. Res. 132, Article ID 105331, 15 p. (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{X. Huang} et al., Comput. Oper. Res. 132, Article ID 105331, 15 p. (2021; Zbl 07485346) Full Text: DOI OpenURL
Mohammadi, Mahsa; Shahparvari, Shahrooz; Soleimani, Hamed Multi-modal cargo logistics distribution problem: decomposition of the stochastic risk-averse models. (English) Zbl 07485280 Comput. Oper. Res. 131, Article ID 105280, 27 p. (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{M. Mohammadi} et al., Comput. Oper. Res. 131, Article ID 105280, 27 p. (2021; Zbl 07485280) Full Text: DOI OpenURL
Che, Eric; Yakubu, Abdul-Aziz A discrete-time risk-structured model of cholera infections in Cameroon. (English) Zbl 1484.92102 J. Biol. Dyn. 15, No. 1, 523-562 (2021). MSC: 92D30 91D20 PDF BibTeX XML Cite \textit{E. Che} and \textit{A.-A. Yakubu}, J. Biol. Dyn. 15, No. 1, 523--562 (2021; Zbl 1484.92102) Full Text: DOI OpenURL
Yıldırım Külekci, Bükre; Selcuk-Kestel, A. Sevtap Assessment of longevity risk: credibility approach. (English) Zbl 07484678 J. Appl. Stat. 48, No. 13-15, 2695-2713 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{B. Yıldırım Külekci} and \textit{A. S. Selcuk-Kestel}, J. Appl. Stat. 48, No. 13--15, 2695--2713 (2021; Zbl 07484678) Full Text: DOI OpenURL
Zhao, Bojuan Barbara; Su, Ruijuan Determinants of the heavily right-tailed residential housing price in Tianjin. (English) Zbl 07482817 J. Appl. Stat. 48, No. 8, 1457-1474 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{B. B. Zhao} and \textit{R. Su}, J. Appl. Stat. 48, No. 8, 1457--1474 (2021; Zbl 07482817) Full Text: DOI OpenURL
Hosseini, Fatemeh; Karimi, Omid Bayesian analysis of spatial econometrics regression models. (Persian. English summary) Zbl 07481986 JAMM, J. Adv. Math. Model. 11, No. 2, 288-301 (2021). MSC: 91G70 62F15 91B72 PDF BibTeX XML Cite \textit{F. Hosseini} and \textit{O. Karimi}, JAMM, J. Adv. Math. Model. 11, No. 2, 288--301 (2021; Zbl 07481986) Full Text: DOI OpenURL
Gordienko, E.; De Chávez, J. Ruiz; Vázquez-Ortega, P. Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes. (English) Zbl 1483.91196 Appl. Math. 48, No. 1, 79-88 (2021). MSC: 91G05 60K10 PDF BibTeX XML Cite \textit{E. Gordienko} et al., Appl. Math. 48, No. 1, 79--88 (2021; Zbl 1483.91196) Full Text: DOI OpenURL
Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B. Calibration of distributionally robust empirical optimization models. (English) Zbl 1485.90080 Oper. Res. 69, No. 5, 1630-1650 (2021). MSC: 90C17 PDF BibTeX XML Cite \textit{J.-y. Gotoh} et al., Oper. Res. 69, No. 5, 1630--1650 (2021; Zbl 1485.90080) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{Q. Zhou} et al., Probab. Math. Stat. 41, No. 2, 217--235 (2021; Zbl 1485.91212) Full Text: DOI arXiv OpenURL
Wen, Chunran; Xing, Tiancai; Shen, Chuanhe Advanced modeling default risk for innovative SMEs: based on the Lasso method. (English) Zbl 1480.62243 J. Nonlinear Convex Anal. 22, No. 10, 2103-2115 (2021). MSC: 62P20 62J07 62J12 PDF BibTeX XML Cite \textit{C. Wen} et al., J. Nonlinear Convex Anal. 22, No. 10, 2103--2115 (2021; Zbl 1480.62243) Full Text: Link OpenURL
Shen, Xu; Wang, Xinyu; Liu, Zhongwen Innovation of credit risk measurement of listed coal companies based on FSVM-KMV. (English) Zbl 1478.91180 J. Nonlinear Convex Anal. 22, No. 9, 1939-1956 (2021). MSC: 91G40 PDF BibTeX XML Cite \textit{X. Shen} et al., J. Nonlinear Convex Anal. 22, No. 9, 1939--1956 (2021; Zbl 1478.91180) Full Text: Link OpenURL
Guo, Lin; Li, Zhanjiang Credit default discrimination model based on double stratified sampling. (English) Zbl 1483.91247 J. Nonlinear Convex Anal. 22, No. 9, 1737-1753 (2021). MSC: 91G40 62P05 PDF BibTeX XML Cite \textit{L. Guo} and \textit{Z. Li}, J. Nonlinear Convex Anal. 22, No. 9, 1737--1753 (2021; Zbl 1483.91247) Full Text: Link OpenURL
Sun, Hong; Xu, Maochao; Zhao, Peng Modeling malicious hacking data breach risks. (English) Zbl 07469930 N. Am. Actuar. J. 25, No. 4, 484-502 (2021). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G05 62P05 60G55 91G70 PDF BibTeX XML Cite \textit{H. Sun} et al., N. Am. Actuar. J. 25, No. 4, 484--502 (2021; Zbl 07469930) Full Text: DOI OpenURL
Dibu, A. S.; Jacob, M. J. On the Gerber-Shiu function of a MAP risk model with possible delayed phase-type by-claims. (English) Zbl 1482.91062 Int. J. Math. Oper. Res. 20, No. 1, 60-84 (2021). MSC: 91B05 PDF BibTeX XML Cite \textit{A. S. Dibu} and \textit{M. J. Jacob}, Int. J. Math. Oper. Res. 20, No. 1, 60--84 (2021; Zbl 1482.91062) Full Text: DOI OpenURL
Cai, Yuzhi; Chevapatrakul, Thanaset; Mascia, Danilo V. How is price explosivity triggered in the cryptocurrency markets? (English) Zbl 1478.62309 Ann. Oper. Res. 307, No. 1-2, 37-51 (2021). MSC: 62P05 62M10 91G70 62P20 62G08 PDF BibTeX XML Cite \textit{Y. Cai} et al., Ann. Oper. Res. 307, No. 1--2, 37--51 (2021; Zbl 1478.62309) Full Text: DOI OpenURL
Karanasos, M.; Yfanti, S.; Christopoulos, A. The long memory HEAVY process: modeling and forecasting financial volatility. (English) Zbl 1478.62258 Ann. Oper. Res. 306, No. 1-2, 111-130 (2021). MSC: 62M10 62P05 62P20 91B84 91G70 PDF BibTeX XML Cite \textit{M. Karanasos} et al., Ann. Oper. Res. 306, No. 1--2, 111--130 (2021; Zbl 1478.62258) Full Text: DOI OpenURL
Liu, Yan; Taniguchi, Masanobu Minimax estimation for time series models. (English) Zbl 1478.62261 Metron 79, No. 3, 353-359 (2021). MSC: 62M10 62C20 62P20 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{M. Taniguchi}, Metron 79, No. 3, 353--359 (2021; Zbl 1478.62261) Full Text: DOI OpenURL
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; Renne, Jean-Paul Disastrous defaults. (English) Zbl 07459950 Rev. Finance 25, No. 6, 1727-1772 (2021). MSC: 91G45 91G40 91G20 PDF BibTeX XML Cite \textit{C. Gouriéroux} et al., Rev. Finance 25, No. 6, 1727--1772 (2021; Zbl 07459950) Full Text: DOI OpenURL
Berninger, Christoph; Pfeiffer, Julian The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration. (English) Zbl 1480.91186 Eur. Actuar. J. 11, No. 2, 677-705 (2021); correction ibid. 11, No. 2, 707 (2021). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{C. Berninger} and \textit{J. Pfeiffer}, Eur. Actuar. J. 11, No. 2, 677--705 (2021; Zbl 1480.91186) Full Text: DOI arXiv OpenURL
Maillart, Arthur Toward an explainable machine learning model for claim frequency: a use case in car insurance pricing with telematics data. (English) Zbl 1480.91230 Eur. Actuar. J. 11, No. 2, 579-617 (2021). MSC: 91G05 68T05 PDF BibTeX XML Cite \textit{A. Maillart}, Eur. Actuar. J. 11, No. 2, 579--617 (2021; Zbl 1480.91230) Full Text: DOI OpenURL
Albrecher, Hansjörg; Bladt, Martin; Vatamidou, Eleni Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails. (English) Zbl 1477.91013 Methodol. Comput. Appl. Probab. 23, No. 4, 1237-1255 (2021). MSC: 91B05 60K10 91-10 91G05 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Methodol. Comput. Appl. Probab. 23, No. 4, 1237--1255 (2021; Zbl 1477.91013) Full Text: DOI arXiv OpenURL
Hoffmann, Ingo; Börner, Christoph J. The risk function of the goodness-of-fit tests for tail models. (English) Zbl 1477.62048 Stat. Pap. 62, No. 4, 1853-1869 (2021). MSC: 62E10 62G32 62F03 62H15 62P05 PDF BibTeX XML Cite \textit{I. Hoffmann} and \textit{C. J. Börner}, Stat. Pap. 62, No. 4, 1853--1869 (2021; Zbl 1477.62048) Full Text: DOI arXiv OpenURL
Hess, Markus A new approach to wind power futures pricing. (English) Zbl 1480.91289 Decis. Econ. Finance 44, No. 2, 1235-1252 (2021). MSC: 91G20 60J74 60G51 PDF BibTeX XML Cite \textit{M. Hess}, Decis. Econ. Finance 44, No. 2, 1235--1252 (2021; Zbl 1480.91289) Full Text: DOI OpenURL
Wu, Yi; Wang, Xuejun; Shen, Aiting Strong convergence properties for weighted sums of \(m\)-asymptotic negatively associated random variables and statistical applications. (English) Zbl 1479.60066 Stat. Pap. 62, No. 5, 2169-2194 (2021). MSC: 60F15 62G05 PDF BibTeX XML Cite \textit{Y. Wu} et al., Stat. Pap. 62, No. 5, 2169--2194 (2021; Zbl 1479.60066) Full Text: DOI OpenURL