## Found 1,461 Documents (Results 1–100)

100
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### Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory. (English)Zbl 07526586

MSC:  60Jxx 60Hxx 60Gxx
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MSC:  91G05
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### Banach contraction principle, $$q$$-scale function and ultimate ruin probability under a Markov-modulated classical risk model. (English)Zbl 07518395

MSC:  91B30 91G05 60K37 60J70
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### Applications of a change of measures technique for compound mixed renewal processes to the ruin problem. (English)Zbl 07505013

MSC:  60K10 60G44 91G05
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### Pandemic-type failures in multivariate Brownian risk models. (English)Zbl 07502777

MSC:  60G15 60G70
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### Extrema of multi-dimensional Gaussian processes over random intervals. (English)Zbl 07501651

MSC:  60G15 60G70
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### Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors. (English)Zbl 07427459

MSC:  62P05 62E20 91B30
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MSC:  91B05
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### Finite-time ruin probability for correlated Brownian motions. (English)Zbl 07483112

MSC:  60G15 60J65
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MSC:  91G05
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### Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes. (English)Zbl 1483.91196

MSC:  91G05 60K10
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### Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims. (English)Zbl 07473956

MSC:  60Gxx 62Pxx 91Bxx
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### Exponential bounds of ruin probabilities for non-homogeneous risk models. (English)Zbl 07473154

MSC:  91G05 60G44
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### Explicit transient probabilities of various Markov models. (English)Zbl 07465308

Swift, Randall J. (ed.) et al., Stochastic processes and functional analysis. New perspectives. AMS special session celebrating M. M. Rao’s many mathematical contributions as he turns 90 years old. University of California, Riverside, California, November 9–10, 2019. Providence, RI: American Mathematical Society (AMS). Contemp. Math. 774, 97-151 (2021).
MSC:  60J10 60J22
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### A $$2\times 2$$ random switching model and its dual risk model. (English)Zbl 1483.90043

MSC:  90B22 60K30 60K10
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### Minimization of absolute ruin probability in a class of diffusion model. (Chinese. English summary)Zbl 07448662

MSC:  91G05 60J60
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### The finite element method: a high-performing approach for computing the probability of ruin and solving other ruin-related problems. (English)Zbl 1478.91187

MSC:  91G60 65N30 91B05
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### Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. (English)Zbl 1479.91315

MSC:  91G05 91G30
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MSC:  91G05
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### Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims. (English)Zbl 1473.62351

MSC:  62P05 62E10 91B05
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### Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk. (English)Zbl 1474.62035

MSC:  62E20 62P05
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### Schur-constant and related dependence models, with application to ruin probabilities. (English)Zbl 1476.60026

MSC:  60E05 62H05 91B05
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### Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process. (English)Zbl 1476.91134

MSC:  91G05 60G51 60K10
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### Minimization of ruin probability under excess-claim reinsurance and investment. (Chinese. English summary)Zbl 07404275

MSC:  62P05 91G05 91G10
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### A transient Cramér-Lundberg model with applications to credit risk. (English)Zbl 1477.60073

MSC:  60G51 62P05
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### Random walk, Brownian motion, and martingales. (English)Zbl 07384441

Graduate Texts in Mathematics 292. Cham: Springer (ISBN 978-3-030-78937-4/hbk; 978-3-030-78939-8/ebook). xv, 396 p. (2021).
MSC:  60-01 60Gxx
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### On a stochastic model for a cooperative banking scheme for microcredit. (English)Zbl 1470.91304

Theory Probab. Appl. 66, No. 2, 326-335 (2021) and Teor. Veroyatn. Primen. 66, No. 2, 402-414 (2021).
MSC:  91G40 60G55
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MSC:  91G05
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### Robust portfolio selection for individuals: minimizing the probability of lifetime ruin. (English)Zbl 1474.91178

MSC:  91G10 91B42
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### Inequalities in a two-sided boundary crossing problem for stochastic processes. (English. Russian original)Zbl 1470.60124

Sib. Math. J. 62, No. 3, 455-461 (2021); translation from Sib. Mat. Zh. 62, No. 3, 567-575 (2021).
MSC:  60G50 60E15
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### On the probability of ruin of a joint-stock insurance company in the sparre Andersen risk model. (English. Russian original)Zbl 1461.91256

J. Math. Sci., New York 254, No. 4, 574-581 (2021); translation from Fundam. Prikl. Mat. 22, No. 3, 179-189 (2018).
MSC:  91G05 62P05
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### Ruin probability for a Gaussian process with variance attaining its maximum on discrete sets. (English. Russian original)Zbl 1465.60030

J. Math. Sci., New York 254, No. 4, 504-509 (2021); translation from Fundam. Prikl. Mat. 22, No. 3, 83-90 (2018).
MSC:  60G15 60G10 60G70
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### Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory. (English)Zbl 07514848

MSC:  62E20 60G70 62P05
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### Optimal investment-reinsurance policy with regime switching and value-at-risk constraint. (English)Zbl 1476.91135

MSC:  91G05 93E20 91G60
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### Ruin probabilities for two collaborating insurance companies. (English)Zbl 1473.60077

MSC:  60G51 60G70 91G20
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### The ruin probability of the risk model with claim numbers in Poisson negative binomial distribution. (Chinese. English summary)Zbl 1474.62369

MSC:  62P05 91G05 60G44
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### Ruin probability in models with stochastic premiums. (English. Russian original)Zbl 1468.91127

Mosc. Univ. Math. Bull. 75, No. 4, 177-180 (2020); translation from Vestn. Mosk. Univ., Ser. I 75, No. 4, 57-61 (2020).
MSC:  91G05
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### Lundberg-type inequalities for non-homogeneous risk models. (English)Zbl 1465.91034

MSC:  91B05 60K10
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### Ruin probabilities for risk processes in a bipartite network. (English)Zbl 1468.60058

MSC:  60G51 05C80 91B05
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### Ruin problems for the discrete time insurance risk model with discount rate and multiple types of insurance. (Chinese. English summary)Zbl 1474.62376

MSC:  62P05 91G05
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### Research on ruin probability of risk model based on AR (1) time series. (English)Zbl 1474.91032

MSC:  91B05 62M10
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### Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment. (English)Zbl 1455.91217

MSC:  91G05 60G55 60J28
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MSC:  91G05
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MSC:  91B05
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### On the analysis of ruin-related quantities in the nonhomogeneous compound Poisson risk model. (Chinese. English summary)Zbl 1463.62319

MSC:  62P05 91B05 60K05

### Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions. (English)Zbl 1460.60035

MSC:  60G50 91G40
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### On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. (English)Zbl 1454.91196

MSC:  91G05 60J70
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### Approximation of ruin probability and ruin time in discrete Brownian risk models. (English)Zbl 1454.91193

MSC:  91G05 60J70
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### Stochastic optimization models of actuarial mathematics. (English. Russian original)Zbl 1455.91219

Cybern. Syst. Anal. 56, No. 1, 58-67 (2020); translation from Kibern. Sist. Anal. 2020, No. 1, 70-81 (2020).
MSC:  91G05 93E20 90C15
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MSC:  91G05
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MSC:  91G05

### Finite-time ruin probability of a bidimensional dependent risk model based on entrance process. (Chinese. English summary)Zbl 1463.91119

MSC:  91G05 62P05
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### Approximation of the tail probabilities of loss process in a time dependent compound renewal risk model. (Chinese. English summary)Zbl 1463.60111

MSC:  60K10 62P05 91G40
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### 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).
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### Itô calculus for Cramér-Lundberg model. (English)Zbl 1448.91251

MSC:  91G05 60K10 60H30
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### Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims. (English)Zbl 1447.91038

MSC:  91B05 60F17 60G55
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### Proportional reinsurance and investment in multiple risky assets under borrowing constraint. (English)Zbl 1447.91153

MSC:  91G05 93E20
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### On series expansions for scale functions and other ruin-related quantities. (English)Zbl 1447.91142

MSC:  91G05 60G51
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### Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation. (English)Zbl 1447.91130

MSC:  91G05 45J05 60J60
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### Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin. (English)Zbl 1445.91054

MSC:  91G05 93E20
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### Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance. (English)Zbl 1447.91141

MSC:  91G05 45D05 62P05
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### Simultaneous ruin probability for two-dimensional Brownian risk model. (English)Zbl 1464.60031

MSC:  60G15 60G70 91B05
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### Boundary crossing problems for compound renewal processes. (English. Russian original)Zbl 1448.60176

Sib. Math. J. 61, No. 1, 21-46 (2020); translation from Sib. Mat. Zh. 61, No. 1, 29-59 (2020).
MSC:  60K05 60F10
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### A particular bidimensional time-dependent renewal risk model with constant interest rates. (English)Zbl 1434.60254

MSC:  60K10 60G44 91G05
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### On some inequalities in boundary crossing problems for random walks. (Russian. English summary)Zbl 1439.60044

MSC:  60G50 60E15
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### Parisian ruin with Erlang delay and a lower bankruptcy barrier. (English)Zbl 1437.91133

MSC:  91B05 60G51 44A10
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### Stochastic models in actuarial risk theory. A mathematical introduction. 2nd edition. (Stochastische Modelle der aktuariellen Risikotheorie. Eine mathematische Einführung.) (German)Zbl 1433.91002

Masterclass. Berlin: Springer Spektrum (ISBN 978-3-662-60923-1/pbk; 978-3-662-60924-8/ebook). x, 288 p. (2020).
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MSC:  91G05
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### Weak limits of random coefficient autoregressive processes and their application in ruin theory. (English)Zbl 1435.91147

MSC:  91G05 60F17 60J60
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### Minimizing the probability of lifetime exponential Parisian ruin. (English)Zbl 1433.91159

MSC:  91G10 93E20 49K10
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### Fractional risk process in insurance. (English)Zbl 1435.91156

MSC:  91G05 60G22 60K05
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### Risk and insurance. A graduate text. (English)Zbl 1447.91001

Probability Theory and Stochastic Modelling 96. Cham: Springer (ISBN 978-3-030-35175-5/hbk; 978-3-030-35176-2/ebook). xv, 505 p. (2020).
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MSC:  62-XX
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### On double-boundary non-crossing probability for a class of compound processes with applications. (English)Zbl 1430.90013

MSC:  90B05 60G17 65T50
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### Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. (English)Zbl 1431.91344

MSC:  91G05 91G10
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MSC:  91B30

### De Vylder type approximation of the ruin probability for the insurer-reinsurer model. (English)Zbl 1463.91107

MSC:  91G05 62P05
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### A perturbed risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. (English)Zbl 1449.62243

MSC:  62P05 91B05
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### Bayesian estimation for the Markov-modulated diffusion risk model. (English)Zbl 1436.62486

Antoniano-Villalobos, Isadora (ed.) et al., Selected contributions on statistics and data science in Latin America. 33rd “Foro nacional de estadística” (FNE) and 13th “Congreso Latinoamericano de Sociedades de Estadística” (CLATSE), Guadalajara, Mexico, October 1–5, 2018. Cham: Springer. Springer Proc. Math. Stat. 301, 15-31 (2019).
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### Integro-local theorems in boundary crossing problems for compound renewal processes. (English. Russian original)Zbl 1450.60049

Sib. Math. J. 60, No. 6, 957-972 (2019); translation from Sib. Mat. Zh. 60, No. 6, 1229-1246 (2019).
MSC:  60K15 60F10 68M20
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### Sensitivity of the stability bound for ruin probabilities to claim distributions. (English)Zbl 1437.91459

MSC:  91G70 91G05 62G32
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### Quantifying distributional model risk via optimal transport. (English)Zbl 1434.60113

MSC:  60G07 60F99 62P05
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### The joint distribution of ruin related quantities in the classical risk model. (Chinese. English summary)Zbl 1449.91037

MSC:  91B05 60E05
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