zbMath0717.62100MaRDI QIDQ1188781
Jan Grandell
Publication date: 17 September 1992
Published in: Springer Series in Statistics (Search for Journal in Brave)
Estimación máxima verosimilitud de la probabilidad de ruina en el modelo de riesgo clásico con reclamaciones exponenciales,
First hitting time for renewal process with uncertain interarrival times and random rewards,
Robust reinsurance contract with learning and ambiguity aversion,
Optimal excess-of-loss reinsurance and investment with stochastic factor process,
Discounted probability of exponential parisian ruin: Diffusion approximation,
Tools to Estimate the First Passage Time to a Convex Barrier,
Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts,
Upper bounds for ruin probabilities under model uncertainty,
Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates,
Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims,
Introducing the non-homogeneous compound-birth process,
Geometric Pólya-Aeppli process,
Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance,
Optimal dividends and reinsurance with capital injection under thinning dependence,
Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift,
Cramér-Lundberg model for some classes of extremal Markov sequences,
Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks,
Multiple per-claim reinsurance based on maximizing the Lundberg exponent,
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments,
Approximations for the distribution of perpetuities with small discount rates,
Optimal reinsurance and investment problem with the minimum capital deposit constraint,
Optimal portfolio and reinsurance with two differential risky assets,
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework,
Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences,
Ruin probabilities in a Markovian shot-noise environment,
Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps,
A Cox model for gradually disappearing events,
Minimization of ruin probability with joint strategies of investment and reinsurance,
On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property,
Stochastic differential reinsurance and investment games with delay under VaR constraints⋆,
Optimal reinsurance via BSDEs in a partially observable model with jump clusters,
OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES,
Optimal dividend and risk control strategies for an insurer with two groups of reinsurers,
Ruin-related problems in the dual risk model under two different randomized observations,
On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance,
Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks,
On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading,
Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach,
Robust reinsurance contracts with risk constraint,
Itô calculus for Cramér-Lundberg model,
Optimal Strategy for Limit Order Book Submissions in High Frequency Trading,
On Cramér's First Contributions to Ruin Theory,
De Vylder type approximation of the ruin probability for the insurer-reinsurer model,
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle,
Ruin in the perturbed compound Poisson risk process under interest force,
On Erlang(2) Risk Process Perturbed by Diffusion,
Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison,
The probability of ruin in a discrete semi-Markov risk model,
Über die Verteilung des Überschusses vor und zum Zeitpunkt des Ruins in Semi-Markov-Risikomodellen;On the distribution of the surplus prior to ruin and at ruin in a discrete semi-markov risk model,
Optimal Proportional Reinsurance and Ruin Probability,
STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE,
Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting,
A new risk model based on policy entrance process and its weak convergence properties,
The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims,
Tail Asymptotics of the Supremum of a Regenerative Process,
On robustness in risk theory,
On the distribution of surplus immediately after ruin under interest force,
Probability of ruin with variable premium rate in a Markovian environment,
On the Distribution of the Surplus Prior and at Ruin,
Optimal layer reinsurance on the maximization of the adjustment coefficient,
RUIN PROBABILITY FOR HYPO-EXPONENTIAL CLAIM IN CLASSICAL RISK PROCESS WITH REINSURANCE,
Utility indifference pricing of derivatives written on industrial loss indices,
Some inequalities for the risk function in the time and space nonhomogeneous Cramér–Lundberg risk model,
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Risk Theory with the Generalized Inverse Gaussian Lévy Process,
Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models,
Ruin Probabilities of a Dual Markov-Modulated Risk Model,
Optimal proportional reinsurance with a loss-dependent premium principle,
Singular Problems for Integro-differential Equations in Dynamic Insurance Models,
On a Stochastic Model for a Cooperative Banking Scheme for Microcredit,
Optimal investment problem for an open-end fund with dynamic flows,
Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework,
Application of Advanced Integrodifferential Equations in Insurance Mathematics and Process Engineering,
Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game,
On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion,
On The Expected Discounted Penalty function for Lévy Risk Processes,
Regime-Switching Periodic Models For Claim Counts,
On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model,
Exponential bounds of ruin probabilities for non-homogeneous risk models,
On the distribution of surplus immediately before ruin under interest force,
Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance,
On ruin probabilities with risky investments in a stock with stochastic volatility,
Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences,
Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model,
Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling,
In the insurance business risky investments are dangerous: the case of negative risk sums,
Optimal insurance risk control with multiple reinsurers,
Exponential bounds for queues with Markovian arrivals,
Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion,
On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model,
Optimal control of capital injections by reinsurance in a diffusion approximation,
Markov process functionals in finance and insurance,
On a multi-dimensional risk model with regime switching,
The expected discounted penalty at ruin in the risk process with random income,
Ladder heights, Gaussian random walks and the Riemann zeta function,
Expected discounted penalty function of Erlang(2) risk model with constant interest,
Practical approaches to the estimation of the ruin probability in a risk model with additional funds,
Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments,
A marked Cox model for the number of IBNR claims: theory,
Asymptotic and numerical analysis of the optimal investment strategy for an insurer,
A note on a class of delayed renewal risk processes,
Optimal prediction of compound mixed Poisson processes,
The deficit at ruin in the Sparre Andersen model with interest,
Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications,
Stable Lévy motion approximation in collective risk theory,
The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income,
Ruin probabilities for a risk model with two classes of claims,
A Bayesian approach for optimal reinsurance and investment in a diffusion model,
On a correlated aggregate claims model with thinning-dependence structure,
The hitting time for a Cox risk process,
Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection,
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs,
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps,
A note on the net profit condition for discrete and classical risk models,
An operational interpretation and existence of the Aumann-Serrano index of riskiness,
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process,
Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.,
Compound geometric residual lifetime distributions and the deficit at ruin.,
The joint distributions of several important actuarial diagnostics in the classical risk model.,
The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.,
Ruin theory in a financial corporation model with credit risk.,
Joint distributions of some actuarial random vectors containing the time of ruin,
Lundberg inequalities in a diffusion environment,
Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.,
Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.,
The Gerber-Shiu discounted penalty function in the stationary renewal risk model.,
On a dual model with barrier strategy,
Optimal control of the risk process in a regime-switching environment,
Limiting behaviour of a geometric-type estimator for tail indices.,
Nonparametric statistical analysis of an upper bound of the ruin probability under large claims,
Asymptotic ruin probabilities and optimal investment,
Optimal investment and reinsurance of an insurer with model uncertainty,
On the dual risk model with tax payments,
Decompounding: an estimation problem for Poisson random sums.,
Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula,
On the DFR property of the compound geometric distribution with applications in risk theory,
Ruin problems with stochastic premium stochastic return on investments,
Methods for estimating the optimal dividend barrier and the probability of ruin,
Optimal proportional reinsurance with common shock dependence,
Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk,
Ruin probabilities in the risk process with random income,
Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity,
Nonparametric tests for Cox processes,
Inverse renewal thinning of Cox and renewal processes,
Asymptotic ordering of risks and ruin probabilities,
Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility,
A link between wave governed random motions and ruin processes,
Compound binomial risk model in a Markovian environment,
Optimal dividends with incomplete information in the dual model,
Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities,
Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model,
A new aspect of a risk process and its statistical inference,
Approximation of the tail probability of randomly weighted sums and applications,
Dynamic mean-variance problem with constrained risk control for the insurers,
Ruin probability and local ruin probability in the random multi-delayed renewal risk model,
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks,
Annual intrinsic value of a company in a competitive insurance market,
Risk model with fuzzy random individual claim amount,
A note on limiting distribution for jumps of Lévy insurance risk model,
Monitoring risk in a ruin model perturbed by diffusion,
Non-Poissonian claims' arrivals and calculation of the probability of ruin,
Optimization models for the first arrival target distribution function in discrete time,
Survival probability for a two-dimensional risk model,
Extension of some classical results on ruin probability to delayed renewal model,
Survival probability and ruin probability of a risk model,
The survival probability in finite time period in fully discrete risk model,
On upper bounds for the tail distribution of geometric sums of subexponential random variables,
Optimal reinsurance and investment in a diffusion model,
Comparison of ruin probability estimates in the presence of heavy tails,
Robust optimal reinsurance-investment strategy with price jumps and correlated claims,
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin,
Simple approximations of ruin probabilities,
Ruin problems with assets and liabilities of diffusion type,
A semiparametric technique to estimate survival probabilities,
Rate conservation laws: A survey,
On the probability of ruin in a Markov-modulated risk model,
Two-sided Lundberg inequalities in a Markovian environment,
Occupation measure and local time of classical risk processes,
Ruin theory for the risk process described by PDMPs,
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models,
A mathematical model of insurer bankruptcy on a finite time interval,
Bayesian optimal investment and reinsurance with dependent financial and insurance risks,
Asymptotic behavior of generalized risk processes,
The distribution of the first \(\beta\) point in the classical risk model with interest,
Weibull renewal processes,
Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching,
Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance,
Manage pension deficit with heterogeneous insurance,
Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions,
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion,
Optimal investment and proportional reinsurance in the Sparre Andersen model,
Risk processes with dependence and premium adjusted to solvency targets,
Optimal investment and reinsurance for an insurer under Markov-modulated financial market,
Worst-case investment and reinsurance optimization for an insurer under model uncertainty,
Optimal investment and consumption for an insurer with high-watermark performance fee,
Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model,
Minimizing expected time to reach a given capital level before ruin,
Dynamic risk-sharing game and reinsurance contract design,
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process,
Optimal reinsurance-investment problem with dependent risks based on Legendre transform,
Optimal proportional reinsurance and investment for stochastic factor models,
Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps,
Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps,
Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model,
Reinsurance-investment game between two mean-variance insurers under model uncertainty,
Duality in ruin problems for ordered risk models,
Expected power-utility maximization under incomplete information and with Cox-process observations,
Optimization problems of excess-of-loss reinsurance and investment under the CEV model,
A new looped-functional for stability analysis of the linear impulsive system,
Weighted empirical processes in the nonparametric inference for Lévy processes,
Projective method for the equation of risk theory in the arithmetic case,
Studies on a double Poisson-geometric insurance risk model with interference,
A BSDE-based approach for the optimal reinsurance problem under partial information,
Risk-free investments and their comparison with simple risky strategies in pension insurance model: solving singular problems for integro-differential equations,
The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model,
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps,
Ruin by dynamic contagion claims,
Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model,
Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle,
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases,
Analysis of the discounted sum of ascending ladder heights,
Optimal investment and reinsurance for insurers with uncertain time-horizon,
Ruin probabilities in the mixed claim frequency risk models,
Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion,
Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy,
On a reduced form credit risk model with common shock and regime switching,
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model,
Minimal cost of a Brownian risk without ruin,
Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer,
A generalization of risk model perturbed by diffusion,
Some distributions for classical risk process that is perturbed by diffusion,
Cramér-Lundberg approximation for nonlinearly perturbed risk processes,
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets,
Minimizing the probability of absolute ruin under ambiguity aversion,
Modelling catastrophe claims with left-truncated severity distributions,
Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform,
Regular variation of a random length sequence of random variables and application to risk assessment,
Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions,
Monotonicity properties for solutions of renewal equations,
Expected log-utility maximization under incomplete information and with Cox-process observations,
Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance,
A nonparametric sequential test with power 1 for the ruin probability in some risk models,
Optimal excess-of-loss reinsurance and investment polices under the CEV model,
Ruin probabilities with a Markov chain interest model,
Three environmental probabilistic risk problems,
Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model,
Ruin probabilities and penalty functions with stochastic rates of interest,
Power tailed ruin probabilities in the presence of risky investments.,
Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks,
Ruin probabilities and overshoots for general Lévy insurance risk processes,
Limit theorems for mixed max-sum processes with renewal stopping,
Robust optimal investment and reinsurance problem for a general insurance company under Heston model,
Inequalities for the ruin probability in a controlled discrete-time risk process,
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model,
Study of a risk model based on the entrance process,
Large deviations for generalized compound Poisson risk models and its bankruptcy moments,
The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems,
Optimal time-consistent investment and reinsurance policies for mean-variance insurers,
Risk process approximation with mixing,
Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach,
Rationale of underwriters' pricing conduct on competitive insurance market,
Minimizing the probability of ruin: optimal per-loss reinsurance,
Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks,
Optimal investment-reinsurance policy with stochastic interest and inflation rates,
Fractional risk process in insurance,
First passage times of general sequences of random vectors: A large deviations approach,
Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems,
A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market,
Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs,
Refinements of bounds for tails of compound distributions and ruin probabilities,
Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion,
The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility,
Optimal control of investment in a collective pension insurance model: study of singular nonlinear problems for integro-differential equations,
Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax,
Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer,
A modified insurance risk process with uncertainty,
Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model,
Ruin problem for a class of risk processes perturbed by diffusion,
Supermodular Order and Lundberg Exponents,
Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist,
Stability of the exit time for Lévy processes,
Dynamical insurance models with investment: constrained singular problems for integrodifferential equations,
Ruin probability in a risk model with variable premium intensity and risky investments,
CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY,
Ruin probabilities in Cox risk models with two dependent classes of business,
Critical growth of a semi-linear process,
Queues and Risk Processes with Dependencies,
Improved Asymptotics for Ruin Probabilities,
Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes,
Modelling of extremal events in insurance and finance,
Moments of renewal shot-noise processes and their applications,
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure,
Optimal reinsurance problems with extrapolative claim expectation,
Time-consistent investment and reinsurance under relative performance concerns,
OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE,
A risk model driven by Lévy processes,
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints,
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model,
How an aggressively expanding insurance company becomes insolvent,
On semiparametric estimation of ruin probabilities in the classical risk model,
First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications,
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria,
Optimal dynamic reinsurance with dependent risks: variance premium principle,
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds,
Quasi-stationary distributions for perturbed discrete time regenerative processes,
Robust reinsurance contracts in continuous time,
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps,
Ruin probabilities in classical risk models with gamma claims,
Maximization of the Survival Probability by Franchise and Deductible Amounts in the Classical Risk Model,
Moment and polynomial bounds for ruin-related quantities in risk theory,
On ruin probabilities with investments in a risky asset with a regime-switching price,
Optimal investment with transaction costs and dividends for an insurer,
Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach,
Irreversible reinsurance: a singular control approach,
Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk,
The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim,
A Stackelberg reinsurance-investment game under Heston's stochastic volatility model,
Optimal investment strategy for an insurer with partial information in capital and insurance markets,
Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables,
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy,
Upper Bounds for the Ruin Probabilities of the Entrance-Based Risk Model,
Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes,
On multivariate modifications of Cramer–Lundberg risk model with constant intensities,
OPTIMAL PROPORTIONAL REINSURANCE UNDER TWO CRITERIA: MAXIMIZING THE EXPECTED UTILITY AND MINIMIZING THE VALUE AT RISK,
Upper bound for ruin probabilities under optimal investment and proportional reinsurance,
De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process,
Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance,
Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets,
Continuity Estimates for Ruin Probabilities,
Optimal Proportional Reinsurance Policies in a Dynamic Setting,
Ruin Problems for Phase-Type(2) Risk Processes,
Discrete-Time Risk Processes with After-Effects and Association,
CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE,
Optimal Risk Control for The Excess of Loss Reinsurance Policies,
Some Remarks on Delayed Renewal Risk Models,
Recursive Moments of Compound Renewal Sums with Discounted Claims,
On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model,
On the Ruin Probability Under a Class of Risk Processes,
Optimal Dynamic XL Reinsurance,
On applications of residual lifetimes of compound geometric convolutions,
Analytic properties of infinite-horizon survival probability in a risk model with additional funds,
Cox risk model with correlated classes of business,
On a compounding assets model with positive jumps,
On finite-time ruin probabilities for classical risk models,
A large deviation principle for the risk process with varying premium,
Finite time ruin probabilities for tempered stable insurance risk processes,
On a generalization from ruin to default in a Lévy insurance risk model,
Compound Poisson approximation to convolutions of compound negative binomial variables,
Diffusion approximations for insurance risk processes,
Estimating doubly stochastic Poisson process with affine intensities by Kalman filter,
Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation,
Bounds for the Ruin Probability of a Discrete-Time Risk Process,
Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier,
Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence,
Strong stability in a two-dimensional classical risk model with independent claims,
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift,
Limit theorems for the fractional nonhomogeneous Poisson process,
Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs,
Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility,
A Direct Approach to a First-Passage Problem with Applications in Risk Theory,
Ruin Theory in a Hidden Markov-Modulated Risk Model,
ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS,
Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest,
Approximation of Optimal Reinsurance and Dividend Payout Policies,
Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure,
Analysis of ruin measures for the classical compound Poisson risk model with dependence,
Lundberg-type inequalities for non-homogeneous risk models,
Robust optimal investment and reinsurance problems with learning,
Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: Analysis and numerical solution,
On the infinite-horizon probability of (non)ruin for integer-valued claims,
Some results about the expected ruin time in Markov-modulated risk models,
The Dividend Problem in a Diffusive Stochastic Model,
Finite time ruin probabilities and large deviations for generalized compound binomial risk models,
The proper distribution function of the deficit in the delayed renewal risk model,
Minimising expected discounted capital injections by reinsurance in a classical risk model,
Optimal proportional reinsurance policies for diffusion models,
On a risk model with dependence between interclaim arrivals and claim sizes,
Approximations for Finite Horizon Ruin Probabilities in the Renewal Model