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: 60G40; 91B30; Equity-linked products with guarantees; Hedging of liabilities; Optimal stopping;
Keywords: 62G20; 91B30; 62M05; Ruin probability; Small claims; Cramér approximation; Delta method; Asymptotic confidence interval;
Keywords: cash subadditivity; risk measures; convex analysis; portfolio vectors; 91B30; 91B32; 91B70;
Keywords: D81; primary; 91B30; secondary; 91G99; Conditional expectiles; Dynamic risk measures; Mixture concavity; Time consistency; Sequential consistency; Supermartingale property;
Keywords: primary; 60F10; 91B30; secondary; 62B10; 62D05; Contraction principle; Lagrange multipliers; Quantile; Entropic risk measure; Relative entropy;
Keywords: Conditional tail expectation; Positive quadrant dependence; Copulas; Dependence measure; Risk management; Market models; 62P05; 62H20; 91B26; 91B30;
Keywords: C61; G22; primary; 93E20; secondary; 49L20; 91B30; Negative interest rate; Capital injections; Markov-switching; Optimal stochastic control; Hamilton-Jacobi-Bellman equation;
A generalization of Gerber's inequality for ruin probabilities in risk-switching models
Keywords: 91B30; 60J20; Risk operators; Risk-switching models; Ruin probabilities; Gerber's inequality; Markov chains;
Keywords: primary; 93E20; secondary; 60J25; 91B30; Optimal reinsurance treaties; Enlargement of reinsurance space; Variance premium principles; Multiple reinsurers; Lagrangian function;
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Copula; Insurance and financial risks; Ruin probability; Subexponentiality;
Keywords: primary; 91B30; secondary; 60K10; 60G44; Optimal dividends; Penalty payments; Barrier strategy; Diffusion process;
Keywords: primary; 91B30; secondary; 62P05; 62E20; 62H20; Ruin probability; Heavy-tailed distributions; Insurance and financial risks; Asymptotics; Tail dependence; Regular variation;
Set-valued risk statistics with scenario analysis
Keywords: 91B30; 91B32; 91B70; Set-valued risk statistics; Convexity; Coherency; Representation results;
Keywords: C02; G11; G22; 91B30; 60G35; 60G40; 60J60; Unit-linked life insurance contract; Progressive enlargement of filtration; Partial Information; Local risk-minimization; Föllmer-Schweizer decomposition; Markov processes;
Multivariate elliptical truncated moments
Keywords: 62E15; 62E10; 62E17; 62N01; 62N05; 9108; 91B30; 91G20; Elliptical functions; Elliptical truncation; Multivariate truncated moments; Parametric distributions; Quadratic forms; Tail moments;
Keywords: 46B42; 91B30; 91G80; Model free risk assessment; Extension of risk measures; Continuity properties of risk measures; Subgradients; Implied reference models;
Keywords: primary; 62P05; secondary; 62E20; 91B30; Two-dimensional risk model; Investment return; Regular variation; Sarmanov dependence; Ruin probability;
Keywords: 91B30; 97M30; 97K80; 62F15; Bayesian method; Optimal co-reinsurance strategy; Balanced loss functions; Optimal reinsurance contract; Copula method; Utility function;
Keywords: 91B30; 62E20; 60K05; Large deviation; Strongly subexponential class; Generalized risk model; Renewal counting process;
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dependence; Lévy process; Multi-dimensional risk model; Multivariate regular variation; Stochastic return; Ruin probability;
Keywords: G13; G22; G23; 91B25; 91B30; IE50; IB10; Guaranteed minimum death benefits; Variable annuities; Heath-Jarrow-Morton model; Schöbel and Zhu model; Stochastic volatility; Stochastic inflation; Stochastic interest rates;
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; 62E10; 91B30; Asymptotics; Dependence; Multidimensional renewal risk model; Multivariate regular variation; Ruin probability;
Keywords: primary; 91B30; secondary; 60E15; Model risk; Dependence uncertainty; Positive dependence; Value-at-Risk; Convex risk measures;
Keywords: G11; G22; G32; C61; 91G10; 91B16; 93E20; 91B30; IE13; IE12; IE43; IB81; IB52; IE53; Assets liabilities management (ALM); Optimal dynamic asset allocation; Mortality risk; Salary risk; Incomplete market; Stochastic dynamic programming; Martingale method;
Keywords: G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 93E20; IE13; IE12; IM52; IB91; IE53; IE43; Equilibrium control law; Time-consistent strategy; Investment-reinsurance; Partial information; Mean-variance criterion; Regime switching;
Keywords: 91B30; 60G51; 60K05Ruin probability; Dependence; Lévy process; Dominated variation; Uniformity; Simulation
Keywords: 62P05; 91B30; Optimal insurance; Deductible insurance; Single layer indemnity; Disappointment Theories; Positive dependence;
Keywords: G22; 91B30; 90C48; Risk and uncertainty; Moral hazard; Optimal reinsurance and optimality conditions; Bang-bang solution; The optimal reinsurance linear problem;
Keywords: C02; G11; G22; primary; 91B30; 60G35; 60G55; secondary; 60J25; Local risk-minimization; Partial information; Unit-linked life insurance contracts; Minimal martingale measure; Föllmer-Schweizer decomposition; Markovian models; Filtering;
Keywords: primary; 91B30; 60K25; Insurance risk; Multivariate ruin probability; Reinsurance; Dependence; Duality; Parallel queues; Bivariate waiting time;
Keywords: Absolute ruin probability; Optimal proportional reinsurance; Optimal investment; Negative correlation; HJB equation; G11; G22; 91B30; 91B70; 91G10; IM13; IB91; IM52; IE53;
Keywords: 91B30; 91B32; 91B70Coherent risk measure; Convex risk measure; Risk measures for portfolio vectors; Multi-period risk measure; Product space
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: C60; G11; G22; 91B30; 91B32; Acceptance sets; Eligible assets; Risk measures; Capital adequacy; Defaultable securities; Value-at-Risk; Tail Value-at-Risk;
Keywords: 91b30; 93E20; 90C39Dividend; Equity issuance; Excess-of-loss reinsurance; Optimal strategy; HJB equation
Keywords: 93E20; 91B30; Markov-modulated compound Poisson process; Proportional reinsurance; Optimal investment;
Keywords: G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 93E20; IE13; IE12; IM52; IB91; IE53; IE43; Optimal proportional reinsurance strategy; Optimal investment strategy; CRRA utility; Stochastic dynamic programming; Stochastic inflation index; Stochastic interest rat
Keywords: 91G10; 91B30; 90C90; Portfolio choice; Ellipsoidal uncertainty; Lower partial moments; Distributional robustness; Adjustable robustness; Dynamic portfolio rules;
Keywords: 62P05; 91B30; General premium rate; Time-dependent claim; Expected discounted penalty function; Defective renewal equation; Generating function;
Keywords: G22; 60G70; 62G32; 62G20; 91B30; Random deflation; Value-at-Risk; Risk aggregation; Second-order regular variation; Estimation of tail probability;
Keywords: G32; G22; G11; C61; primary; 91B30; 93E20; secondary; 65K10; 90C39; 90C15; Optimal impulse control; Optimal dividend and reinvestment; Non-uniformly elliptic equation; Viscosity solution; Fixed and proportional transaction costs; Proportional reinsurance;
Keywords: primary; 91B30; secondary; 62P05; 62E20; 62H20; Asymptotics; Dependence; Finite-time ruin probability; Heavy-tailed distribution; Insurance and financial risks; Product;
Keywords: 60J25; 91B30; 60J28; Markov additive processes; Potential measure; Resolvent density; Markov renewal equation; Scale matrix; Exit problems;
Keywords: C02; G11; G22; 91B30; 91G10; 60G46; 60J25; Risk-minimization; Galtchouk-Kunita-Watanabe decomposition; Benchmark approach; Partial information; Unit-linked life insurance contracts; Markovian jump-diffusion models;
Keywords: 91B30; 60G55; 60F10; Risk processes; Ruin probabilities; Subexponential distributions; Non-stationary processes; Hawkes processes; Shot noise processes; Self-correcting point processes;
Keywords: primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dominated variation; Quasi-asymptotic independence; By-claims; Ruin probability;
Keywords: C61; G22; 91B30; 93E20; Dividend; Proportional reinsurance; Non-cheap reinsurance; Cheap reinsurance; Exponential premium principle;