Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Bidimensional renewal risk model; Dependence; Extended regular variation; Ruin probability; Subexponential class;
مقالات ISI (ترجمه نشده)
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Keywords: Conditional tail expectation; Positive quadrant dependence; Copulas; Dependence measure; Risk management; Market models; 62P05; 62H20; 91B26; 91B30;
Keywords: 62P05; 60F99; Extended regular variation; Lévy process; Ruin probability; Time-dependent risk model;
Keywords: G13; G32; C63; 91G60; 62P05; 60E10; 65T60; Market risk; Liquidity risk; Stochastic liquidity horizon; Value-at-Risk; Expected shortfall; Shannon wavelets;
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Copula; Insurance and financial risks; Ruin probability; Subexponentiality;
A note on weighted infinite sums of dependent regularly varying tailed random variables
Keywords: primary; 62E20; secondary; 62P05; Asymptotics; Dependence; Heavy tails; Regular variation; Tail probabilities;
Keywords: primary; 91B30; secondary; 62P05; 62E20; 62H20; Ruin probability; Heavy-tailed distributions; Insurance and financial risks; Asymptotics; Tail dependence; Regular variation;
Monitoring multivariate time series
Keywords: primary; 60F17; 62L10; secondary; 60J65; 62P05; Online-monitoring; CUSUM; Change points; Invariance principle; Ratio-type detector;
Domains of weak continuity of statistical functionals with a view toward robust statistics
Keywords: 62F10; 62F35; 62G05; 62G35; 62P05; (Ïk)-weak topology; w-set; Qualitative robustness; Hampel's theorem; Maximum likelihood estimator; Law-invariant convex risk measure; Aggregation robustness; Orlicz space;
Multivariate nonparametric test of independence
Keywords: 62G20; 62P05; Central limit theorem; Empirical characteristic function; Multivariate K sample independence;
Keywords: primary; 62P05; secondary; 62E20; 91B30; Two-dimensional risk model; Investment return; Regular variation; Sarmanov dependence; Ruin probability;
Keywords: 60F17; 62G30; 62G32; 62P05; Extreme value index; Heavy-tails; Kernel estimation; Product-limit estimator; Random truncation;
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dependence; Lévy process; Multi-dimensional risk model; Multivariate regular variation; Stochastic return; Ruin probability;
Keywords: D81; G10; G20; primary; 91B06; 91B16; 91B30; secondary; 60E15; 62P05; Risk sharing; Pareto optimality; Large pools; Ambiguity; Robust preferences; Convex risk measures; Risk premia;
Keywords: primary; 62P05; secondary; 62G32; Mixture distribution; Extreme behavior; Precipitation; Generalized Extreme distribution;
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dependence; Multidimensional renewal risk model; Multivariate regular variation; Ruin probability;
Keywords: 91G20; 62P05; Employee stock options; Method of Images; Life and multiple decrement tables; Partial-time barrier options; Exercise multiple; Financial reporting standards;
Keywords: primary; 62P05; secondary; 62H20; 60E05; Capital allocation; Coherent/Distortion risk measure; Conditional tail expectation; Extreme value theory; Marginal expected shortfall; Rapid variation; Regular variation;
Keywords: primary; 62H05; 62E20; 62P05; Subexponential distribution; Time dependence; Bidimensional renewal model; Finite-time ruin probabilities; Uniform asymptotic estimate;
Keywords: 62E15; 62P05; 62P10; Benford's law; Stigler's law; Uniform distribution; Simulation algorithm; Extended truncated Pareto; Erlang distribution;
Keywords: C1; C4; 62P05; 60G55; Life insurance; Liability; Cashflow; Marked point process; Longevity;
Keywords: 62P05; Fourier-cosine method; Ruin probabilities; Pollaczek-Khinchin formula; Gibbs phenomena; Summation by parts; Rearrangement inequalities;
Keywords: 62P05; 91B30; Optimal insurance; Deductible insurance; Single layer indemnity; Disappointment Theories; Positive dependence;
Keywords: 60E15; 62P05; Arrangement decreasing; Exchangeable random variables; Hazard rate order; Likelihood ratio order; Majorization; Reversed hazard rate order; Schur concave function; Stochastic dominance;
Keywords: 62P05; 91B30Countermonotonicity; Comonotonicity; Herd behavior
Keywords: 62H15; 62F03; 62F05; 62P05; Copula; Goodness-of-fit tests; Information matrix ratio test; Power comparison; R-vine;
Keywords: 62G10; 62E20; 62M07; 62M10; 62P05; Smooth test; Schwarz's rule; Strictly stationary process; m-dependence; α-mixing; θ-dependence; Long memory; Gaussian processes;
Keywords: 62G09; 62G20; 62G30; 62P05; 62H99Risk aggregation; Sum distribution; Empirical margins; Empirical copula; Functional CLT; Iman–Conover; Latin hypercube sampling
Keywords: C15; G21; G22; 65C40; 65C05; 62P05; Risk management; Capital allocation; Sequential Monte Carlo (SMC); Copula models; Euler allocation;
Keywords: primary; 60E05; secondary; 05A19; 62P05; Generalized Poisson distribution; Delaporte distribution; Claim number distribution; Lagrangian probability distribution; Recursive evaluation; Aggregate claim distribution; Panjer recursion; Multinomial Abel ident
Keywords: 62M10; 62P05; Best linear unbiased predictor; Generalized least squares; Longevity; Mortality prediction; Multivariate time series; Overdispersion;
Keywords: 60E15; 60K10; 62P05; Failure rate order; Likelihood ratio order; Mean residual life order; Reverse failure rate order; Stochastic aging; Totally positive of order 2 functions;
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Bidimensional renewal risk model; Farlie-Gumbel-Morgenstern distribution; Ruin probability; Subexponentiality;
Keywords: 41A60; 62P05; 62E20; 91B30; Uniform long-tailedness; Long-tailed distribution; h-insensitive function; Dominated variation; Quasi-asymptotical independence;
Keywords: C13; C32; C33; C53; G22; 60G10; 60G25; 60J20; 62H10; 62H20; 62J02; 62P05; IM10; IM11; IM20; IM40; Claims reserving; Reserve distribution; Dependency modeling; Copula; Conditional least squares;
Keywords: 62P05; 91B30; General premium rate; Time-dependent claim; Expected discounted penalty function; Defective renewal equation; Generating function;
Keywords: primary; 91B30; secondary; 62P05; 62E20; 62H20; Asymptotics; Dependence; Finite-time ruin probability; Heavy-tailed distribution; Insurance and financial risks; Product;
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dominated variation; Quasi-asymptotic independence; By-claims; Ruin probability;
Keywords: 62P05; 62E05; 60K30; 60K05; Aggregate claims; Web Markov skeleton process; Consistent variation; Dependence; Large deviations;
Keywords: J11; J64; J65; C14; 62N01; 62N02; 62N05; 62P05; Unemployment insurance; Intensity-based model; F-doubly stochastic Markov chain; Cox proportional hazards model; Benchmark approach;
Keywords: 60E05; 62P05; 90C22; Moment bounds; Semidefinite programming (SDP); Robust optimization; Worst-case scenario; Nonlinear risk; Risk management;
Keywords: 60G10; 60G55; 60E07; 62M10; 62P05; Count data; Continuous time modeling of multivariate time series; Infinitely divisible; Limit order book; Multivariate negative binomial law; Poisson mixtures; Trawl processes;
RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
Keywords: Localized radial basis functions; Multiquadrics; Stochastic volatility; Constant elasticity of variance; American options; 91G20; 65M70; 62P05;
Measure-invariance of copula functions as tool for testing no-arbitrage assumption
Keywords: 62H15; 62P05; 62H99; Change of measure; Copula functions; Invariance property; Transform of margins; Absence of arbitrages;
Parameter uncertainty and reserve risk under Solvency II
Keywords: 91B30; 62P05; 97M30; Solvency II; Parameter uncertainty; Reserve risk; Solvency capital; Internal model;
A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Brownian perturbation; Renewal risk model; Ruin probability; Subexponential class;
Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
Keywords: primary; 62P05; secondary; 62E20; 60F10; Dominatedly varying tail; Farlie-Gumbel-Morgenstern distribution; Long tail; Investment return; Ruin;
Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
Keywords: 60F05; 60G55; 62P05; Convex entropic risk measure; Coherent entropic risk measure; Compound Poisson process;
Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
Keywords: 62P05; 62E10; 91B30; Discrete-time risk model with insurance and financial risks; Pairwise asymptotical independence; Dominated variation; Ruin probability; Crude Monte-Carlo simulation;
Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
Keywords: 62P05; 41A25; Bernstein's inequalities; Option pricing; Binomial model; Cox-Ross-Rubinstein formula; Black-Scholes formula; Rate of convergence;