دانلود مقالات ISI درباره 91B30 + ترجمه فارسی

Risk processes with shot noise Cox claim number process and reserve dependent premium rate

Keywords: 60F10; 91B30; Shot noise Cox process; Large deviations; Ruin probability; Importance sampling; Bayesian statistics;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2011 سفارش ترجمه

Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks

Keywords: 62F40; 62G32; 91B30; 65C05C15; C44; G21; G32Operational risk; Loss distribution approach; Multivariate t copula; Monte Carlo; Mixture distribution; Value-at-Risk

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2011 سفارش ترجمه

On the approximation of functions satisfying defective renewal equations

Keywords: primary; 60K05; 60E10; 41A25; secondary; 41A35; 91B30; Defective renewal equation; Laplace transform; Rate of convergence; Ruin probability; Gamma distribution;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2011 سفارش ترجمه

Asymptotics for risk capital allocations based on Conditional Tail Expectation

Keywords: primary; 91B30; secondary; 91G10; 62H20; 60E05; Asymptotic dependence and independence; Capital allocation; Conditional Tail Expectation; Extreme Value Theory; Heavy-tailed distributions; Value-at-Risk;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2011 سفارش ترجمه

Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation

Keywords: 91B30; 91B70; 65C20; 65C05; 60H35Quantile hedging; Variable annuities; GMDBs; Regime switching; Markov chain approximation

دانلود رایگان متن کامل مقاله ISI 19 صفحه سال انتشار : 2011 سفارش ترجمه

On the DFR property of the compound geometric distribution with applications in risk theory

Keywords: primary; 60K05; secondary; 91B30; Compound geometric distribution; Renewal equation; DFR (IFR); NWU (NBU); IMRL (DMRL); NWUE (NBUE); Ladder height; Ruin probability;

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2010 سفارش ترجمه

A note on the connection between the Esscher-Girsanov transform and the Wang transform

Keywords: C02; G10; G12; 1M10; 60G44; 91B06; 91B30; 91G; Choquet integral; Distortion function; Esscher-Girsanov transform; Wang transform;

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2010 سفارش ترجمه

Forward mortality and other vital rates - Are they the way forward?

Keywords: Stochastic interest; Stochastic mortality; Credit risk; Rates vs. intensities; Multi-state life insurance models; G12; 60G55; 62Nxx; 91B30; 91G30; 91G40;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2010 سفارش ترجمه

Optimal premium policy of an insurance firm: Full and partial information

Keywords: IM10; IM30; IE10; 60G35; 62P20; 91B30; 93E20; Backward separation technique; Forward-backward stochastic differential equation; Optimal premium policy; Partial information; Stochastic control;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2010 سفارش ترجمه

Inequalities for the ruin probability in a controlled discrete-time risk process

Keywords: 91B30; 60J05; 60K10Risk process; Ruin probability; Proportional reinsurance; Lundberg’s inequality

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

On optimal allocation of risk vectors

Keywords: G32; C43; 91B30; 90C46; Optimal risk allocations; Worst case portfolio; Comonotonicity;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Keywords: primary; 91B30; secondary; 60G51; 60K05; 91B28; Asymptotics; Constant investment strategy; Lévy process; Portfolio optimization; Regular variation; Ruin probability; Uniformity;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors

Keywords: 49K30; 91B30; Comonotonicity; Stochastic orders; Likelihood ratio order; Hazard rate order; Loss frequency; Conditional expectation;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions

Keywords: G22; 91B30; Bayesian approach; Pricing longevity risk; Maximum entropy principle; Risk-neutral predictive distribution; Japanese mortality rates;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

On optimal investment in a reinsurance context with a point process market model

Keywords: G22; G11; 91B30; 93E20; 90C40; 90C39; Reinsurance and investment; Expected utility maximization; Ruin minimization; Value iteration;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence

Keywords: primary; 91B30; secondary; 62E20; 60K05; Asymptotics; Convolution equivalence; Duality principle; Gerber-Shiu function; Renewal risk model; Wiener-Hopf factorization;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach

Keywords: IM 10; IM 30; IE12; D81; G11; G22; G32; 91B16; 91B70; 91B30; 60Fxx; Dynamic convex risk measures; Time-consistency; g-expectation; Discretization; Convergence; Special drivers;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

The Gerber–Shiu penalty functions for two classes of renewal risk processes

Keywords: 91B30; 60J27Two classes of renewal risk processes; Gerber–Shiu penalty function; Generalized Lundberg’s fundamental equation; Phase-type distribution; Rational family

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2010 سفارش ترجمه

Sharp estimates for the CDF of quadratic forms of MPE random vectors

Keywords: 62H10; 91B70; 91G70; 60E20; 60E05; 91B30; Quadratic form; Non-Gaussian; Stationary phase; Asymptotic analysis; Multivariate analysis; Random vector;

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2010 سفارش ترجمه

The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

Keywords: 60G51; 91B30; Insurance risk theory; General taxation structure; Tax payments; Lévy processes;

دانلود رایگان متن کامل مقاله ISI 5 صفحه سال انتشار : 2009 سفارش ترجمه

Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation

Keywords: 93E20; 91B30; Proportional reinsurance; Hamilton-Jacobi-Bellman equation; Optimal strategy;

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2009 سفارش ترجمه

Sample path large and moderate deviations for risk model with delayed claims

Keywords: 60F10; 60G55; 60J27; 91B30; Large deviations; Moderate deviations; Risk model with delayed claims;

دانلود رایگان متن کامل مقاله ISI 7 صفحه سال انتشار : 2009 سفارش ترجمه

Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

Keywords: G22; 46N10; 60E05; 60E15; 91B28; 91B30; Choquet integral; (Concave) distortion; Risk measure; Stochastic orders; Coherent;

دانلود رایگان متن کامل مقاله ISI 7 صفحه سال انتشار : 2009 سفارش ترجمه

Optimal risk sharing with different reference probabilities

Keywords: IM51; IE12; D81; G22; 91B06; 91B16; 91B30; Optimal risk sharing; Law-invariance; Convolution;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2009 سفارش ترجمه

Insurance claims modulated by a hidden Brownian marked point process

Keywords: 91B30; 60H30; Insurance risk models; Markov-modulated Poisson processes; Brownian motion; Reference probability;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2009 سفارش ترجمه

Deductibles in health insurance

Keywords: 91B30; 91B16; 62P05Health insurance; Deductibles; PH-transform; Expected utility

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2009 سفارش ترجمه

Optimal reinsurance with general risk measures

Keywords: G22; G11; 91B30; 91B28; 90C48; Optimal reinsurance; Risk measure and deviation measure; Optimality conditions;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2009 سفارش ترجمه

On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy

Keywords: 91B30; 91B70; 60K05; 44A10Generalized Erlang risk process; Gerber–Shiu discounted penalty function; Integro-differential equations; Renewal equation; Threshold dividend strategy; Dickson–Hipp operator

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2009 سفارش ترجمه

Time consistent dynamic risk processes

Keywords: 91B28; 91B30; 91B70; 60G17; 60G44; 46A20Dynamic risk measures; Time consistency; BMO martingales; Snell envelope

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2009 سفارش ترجمه

Stochastic optimization algorithms for barrier dividend strategies

Keywords: 91B30; 91B70; 62L20; 62P05Dividend optimization; Barrier strategy; Stochastic approximation

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2009 سفارش ترجمه

Optimal control of the insurance company with proportional reinsurance policy under solvency constraints

Keywords: primary; 91B30; 91B28; 65K10; secondary; 60H05; 60H10; Optimal dividend control; Proportional reinsurance; HJB equation; Solvency constraints; Singular-regular control problem;

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2008 سفارش ترجمه

On the distribution tail of an integrated risk model: A numerical approach

Keywords: primary; 91B23; 91B30; secondary; 45K05; 65M06; 60G51; Exponential Lévy process; Finite difference method; Integrated insurance risk process; Integrated risk management; Optimal investment strategy; Value-at-Risk; Partial integro-differential equation; T

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2008 سفارش ترجمه

Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

Keywords: 93E20; 91B30; Exponential utility; Hamilton-Jacobi-Bellman equation; Optimal strategy; Probability of ruin; Proportional reinsurance;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2008 سفارش ترجمه

Actuarial risk measures for financial derivative pricing

Keywords: D81; G12; G13; 91B06; 91B28; 91B30; Derivative pricing; Incomplete markets; Stochastic ordering; Esscher transform; Girsanov's theorem; Comonotonicity; Equivalent martingale measure; Feynman-Kac integration;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2008 سفارش ترجمه

Extending the volatility concept to point processes

Keywords: primary; 62M10; 60G55; secondary; 62M99; 91B30; Atrial fibrillation; Point process; Running rate intervals; Time series;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2008 سفارش ترجمه

Finite-time dividend-ruin models

Keywords: G12; G22; 49K05; 60J70; 91B30; Dividend-ruin model; Dividend payouts; Reflecting and absorbing barriers; Survival probability;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2008 سفارش ترجمه

Universal contingent claims and valuation multiplicative measures with examples and applications

Keywords: 91B02; 91B28; 91B30; 91B70; 28B10; 47D06; 47H20; 47J35; Universal contingent claim; Multiplicative measure; Semilinear evolution equation for universal contingent claims; Market environment; Generators of a market environment; Eigenclaim;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2008 سفارش ترجمه

Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio

Keywords: G13; G22; C60; 91B30; 91B70; Stochastic mortality; Pricing; Life insurance; Sharpe ratio; Non-linear partial differential equations; Market price of risk; Equivalent martingale measures;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2008 سفارش ترجمه

Integrated insurance risk models with exponential Lévy investment

Keywords: primary; 60G51; 62P05; secondary; 91B28; 91B30; Continuous time perpetuity; Discounted net loss process; Exponential Lévy process; Generalized Ornstein-Uhlenbeck process; Integrated insurance risk process; Integrated risk management; Stochastic recurre

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2008 سفارش ترجمه

Optimal investment for insurers when the stock price follows an exponential Lévy process

Keywords: primary; 60G51; 62P05; secondary; 91B28; 91B30; Discounted net loss process; Exponential Lévy process; Reserve process; Integrated risk management; Optimal portfolio; Pareto tail approximation; Value-at-Risk (VaR);

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2007 سفارش ترجمه

Some aspects of decision making under uncertainty

Keywords: Primary; 93E99; secondary; 91B30; 93C41; 62G30; Input-output models; Asymptotically optimal control; Insurance; Dynamic programming; Stability; Empirical measures;

دانلود رایگان متن کامل مقاله ISI 20 صفحه سال انتشار : 2007 سفارش ترجمه

A law of large numbers approach to valuation in life insurance

Keywords: G10; G13; G22; 91B24; 91B28; 91B30; IM01; IM10; IM12; IM30; IB10; Hedging; Law of large numbers; Life insurance; Principle of equivalence; Valuation;

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2007 سفارش ترجمه

Consistent risk measures for portfolio vectors

Keywords: 91B30; 91B28; Convex risk measure; Multivariate portfolio; Convex ordering;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2006 سفارش ترجمه

Controlled risk processes in discrete time: Lower and upper approximations to the optimal probability of ruin

Keywords: C61; IM13; IB70; 93E20; 91B30; Ruin; Control; Lundberg inequality; Bellman operator;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2005 سفارش ترجمه

A nonparametric sequential test with power 1 for the ruin probability in some risk models

Keywords: 62L10; 62G10; 91B30; Sequential analysis; Risk theory; Ruin probability;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2005 سفارش ترجمه

Dilatation monotonous Choquet integrals

Keywords: 91B30; 91B16; 28E10; D81; D46; Capacity; Choquet integral; Coherent risk measure; Dilatation monotonicity; Risk-adjusted value; Utility functional;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2005 سفارش ترجمه

Some asymptotic results for sums of dependent random variables, with actuarial applications

Keywords: 62P05; 62E20; 91B30; Asymptotics; Heavy-tailed distributions; Sums of random variables; Stochastic dependence;

دانلود رایگان متن کامل مقاله ISI 19 صفحه سال انتشار : 2005 سفارش ترجمه

Static-arbitrage optimal subreplicating strategies for basket options

Keywords: G13; 62P05; 90C46; 91B30; Basket options; Anti-monotonicity; Subreplication; Arbitrage-free bounds; Copula;

دانلود رایگان متن کامل مقاله ISI 20 صفحه سال انتشار : 2005 سفارش ترجمه

Continuous-time mean-risk portfolio selection

Keywords: 91B28; 91B30; 60H10; Mean-downside-risk; Mean-semivariance; Portfolio selection; Weighted mean-variance;

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2005 سفارش ترجمه