Keywords: G13; G22; C02; IM10; IE50; IM40; IB10; Equity-linked death benefits; Binomial and trinomial tree models; Random walk; Geometric stopping; Esscher transform;
مقالات ISI (ترجمه نشده)
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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: bHLHLZ; basic helix-loop-helix-leucine-zipper; CC; coiled coil; CD; circular dichroism; HLHLZ; helix-loop-helix-leucine-zipper; HiT; hitchhiker translocation; iM6; interacting peptide of MITF-Clone #6; iM10; interacting peptide of MITF-Clone #10; ITC; iso
Keywords: G13; G22; C02; IM10; IE50; IM40; IB10; Equity-linked death benefits; Variable annuities; Jump diffusion; Exponential stopping; Barrier options;
Archimedean copulas derived from utility functions
Keywords: C02; C14; D81; IM10; IE12; IE43; Copula; Archimedean generator; Utility function; Risk aversion; Dependence;
Modeling dependencies in claims reserving with GEE
Keywords: C13; C33; G22; 62H20; 62J99; 62P05; IM10; IM20; IM40; Claims reserving; Dependency modeling; Generalized estimating equations; Model selection criterion; Mean square error estimation;
Precise large deviations of aggregate claims in a size-dependent renewal risk model
Keywords: IM10; IM11; C02; primary; 60F10; secondary; 91B30; 60K05; Aggregate claims; Consistent variation; Dependence; Large deviations; Renewal counting process;
Tail distortion risk and its asymptotic analysis
Keywords: G32; IM10; IM54; Distortion risk measure; Regular variation; Tail risk; Tail conditional expectation;
On the invariant properties of notions of positive dependence and copulas under increasing transformations
Keywords: C02; C60; IM10; Dependent risk; Positive dependence; CI; CIS; PDS; PDUO; Copula; Survival copula; Generalized left-continuous inverse function; Generalized right-continuous inverse function;
Comparison and bounds for functionals of future lifetimes consistent with life tables
Keywords: C02; IM10; IB11; Stochastic order; Fractional age assumptions; Increasing mortality rate; Bounds;
Convex order approximations in the case of cash flows of mixed signs
Keywords: G11; IM10; Convex order approximations; Comonotonicity; Cash flows of mixed signs; Terminal wealth; Provisioning;
Asymptotic consistency and inconsistency of the chain ladder
Keywords: C13; C18; G22; 62F12; 62P05; IM10; IM20; Claims reserving; Chain ladder; Asymptotic properties; Development factors;
Dynamic hedging of conditional value-at-risk
Keywords: IB10; C61; G13; G22; IM01; IM10; IM53; Conditional value-at-risk; Dynamic hedging; Stochastic modeling; Quantile hedging; Unit-linked contracts;
An adaptive premium policy with a Bayesian motivation in the classical risk model
Keywords: C02; Ruin probability; Mixed Erlang; Defective renewal equation; Laplace transform; Erlangization; Mixed Poisson; IM10; IM13; IM30;
Multivariate stress scenarios and solvency
Keywords: C60; IM10; IM13; IM43; Stress testing; Solvency II; Risk measures; Convex analysis; Scenario sets;
Valuing equity-linked death benefits and other contingent options: A discounted density approach
Keywords: G13; G22; C02; IM10; IE50; IM40; IB10; Equity-linked death benefits; Variable annuities; Minimum guaranteed death benefits; Exponential stopping; Option pricing; Discounted density;
Tails of correlation mixtures of elliptical copulas
Keywords: C14; IM10; IE43; Copula; Tail dependence; Penultimate tail dependence; Stochastic correlation; t-copula;
One-year Value-at-Risk for longevity and mortality
Keywords: G22; G23; J11; IM10; IE43; IB10; One-year Value-at-Risk; Stochastic mortality trend model; Solvency 2;
Classical and singular stochastic control for the optimal dividend policy when there is regime switching
Keywords: G35; E32; C61; 91B30; 91B70; 93E20; 60H30; IM10; IE20; IE21; IE50; Business cycles; Dividend policy; Stochastic control; Regime switching;
Robust-efficient credibility models with heavy-tailed claims: A mixed linear models perspective
Keywords: IB 83; C13; C14; C15; C16; IM10; IM31; IM41; IM54; Adaptive robust-efficient estimation; Asymmetric heavy-tailed residuals; Credibility ratemaking; Mixed linear model; Treatment of excess claims;
A joint valuation of premium payment and surrender options in participating life insurance contracts
Keywords: G22; G23; G13; IM10; IB10; IE10; IE50; Participating life insurance contracts; Embedded options; Paid-up and resumption; Surrender; Monte Carlo method; Optimal stopping problem;
Joint characteristic functions construction via copulas
Keywords: C16; C46; 60E05; 60E10; IM10; Copulas; Distortion functions; Joint distributions with given marginals; Characteristic functions;
Optimal portfolio selection for general provisioning and terminal wealth problems
Keywords: G11; IM10; Portfolio selection; Comonotonicity; Provisioning; Terminal wealth; Minimal return requirement;
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;
On a multivariate Pareto distribution
Keywords: IM01; IM10; IM54; Multivariate Pareto distributions; Characterizations; Mixtures; Dependence; Simultaneous loss; Economic weighted pricing;
A hidden Markov regime-switching model for option valuation
Keywords: G13; G12; IM10; IE50; Option pricing; Regime-switching; Hidden Markov model; Esscher transform; Extended Girsanov principle; Filters and predictors;
Constrained smoothing B-splines for the term structure of interest rates
Keywords: G13; C14; IM10; Term structure; No-arbitrage; Interpolation; Smoothing splines;
Longevity bond premiums: The extreme value approach and risk cubic pricing
Keywords: IB13; G12; G22; IM01; IM10; IE10; Securitization; Longevity risk; Extreme value theory; Bond spreads;
Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
Keywords: C22; G13; G22; IM01; IM10; IM20; Home Equity Conversion Mortgage (HECM); Non-recourse provision; Mortality modeling; Conditional Esscher transform;
Long time behaviour of stochastic interest rate models
Keywords: G21; G22; IM10; Long time behaviour; Poisson random measure; Jump; Affine process; Interest rate model; Convergence; Almost surely;
Ruin probability in the presence of interest earnings and tax payments
Keywords: C65; G22; G32; IM10; IM11; IM13; IM20; IE23; IE51; Classical risk model; Compound interest; Ruin probability; Subexponential distributions; Tax payments;
The Markovian regime-switching risk model with a threshold dividend strategy
Keywords: C02; IM10; IM11; IM12; IM13; Gerber-Shiu function; Integro-differential equation; Present value of dividend payments; Regime-switching model; Threshold dividend strategy;
Stochastic portfolio specific mortality and the quantification of mortality basis risk
Keywords: G22; G23; IM10; IE43; IB10; Portfolio specific mortality; Stochastic mortality models; Mortality basis risk; Longevity risk; Solvency 2;
Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
Keywords: IB30; C13; C14; C16; C46; IM10; IM11; IM41; IM54; Pure premium; Robust statistics; Simulations; Trimmed moments; Value-at-risk;
On stochastic mortality modeling
Keywords: G22; G23; J11; IM10; IE43; IB10; Stochastic mortality models; Longevity risk; Pricing; Solvency 2; Monte Carlo simulation;
Random sums of exchangeable variables and actuarial applications
Keywords: IM10; IM11; IM12; IM52; IB90; Correlation coefficient; Collective risk model; Exchangeability; Homogeneous Markov chain; Joint probability generating function; Random sums;
Weighted premium calculation principles
Keywords: IM10; IM30; IE43; G32; Weighted transform; Weighted distribution; Weighted premium calculation principle; Loaded premium; Distorted premium; Esscher's premium; Kamps's premium; Conditional tail expectation; Tail variance premium; Stochastic ordering;
Error bounds in approximations of random sums using gamma-type operators
Keywords: IM10; IM11; G22; Random sum; Compound distribution; Laplace transform; Kolmogorov distance; Error bound; Positive linear operator; Gamma mixture;
Some stability results of optimal investment in a simple Lévy market
Keywords: G11; IM10; Lévy process; Optimal investment; Martingale method; HARA; Weak convergence;
On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
Keywords: G22; IM10; IM11; IM13; Renewal risk model; Expected discounted penalty function; Defective renewal equation; Arbitrary interclaim times; Coxian distributions;
The effect of modelling parameters on the value of GMWB guarantees
Keywords: IM10; IE43; IB13; G22; Variable annuities; Pensions; GMWB guarantees;
On option pricing under a completely random measure via a generalized Esscher transform
Keywords: G13; IM10; IE10; Option pricing; Kernel-biased completely random measures; Generalized Gamma processes; Esscher transform; Laplace functionals;
Pricing of catastrophe insurance options written on a loss index with reestimation
Keywords: C02; IM10; IM11; IM54; Catastrophe insurance options; Loss index; Fourier transform; Option pricing formulas; Heavy tails;
Mean-variance optimization problems for an accumulation phase in a defined benefit plan
Keywords: G11; G23; C61; IM10; IE43; IB13; Lévy diffusion financial market; Stochastic mortality intensity process; Hamilton-Jacobi-Bellman equation; Feynman-Kac representation;
A game theoretic approach to option valuation under Markovian regime-switching models
Keywords: C73; G13; G11; IM10; IM50; IE11; IE50; Option valuation; Regime switching; Stochastic differential game; Esscher transform; Jump-diffusion model; Power utility;
Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
Keywords: G10; G13; G22; IM10; IE10; IE50; IB10; Net loss; Discrete-time risk-minimizing hedging strategies; Pure endowment equity-linked life insurance; Ruin probability;
On non-monotonic ageing properties from the Laplace transform, with actuarial applications
Keywords: C60; IM10; Non-monotonic ageing; Insurance; Net premium reserve; Poisson shock model; Laplace transform order; Bathtub failure rate; Upside-down mean residual life;
On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
Keywords: G22; IM10; IM11; IM13; Gerber-Shiu discounted penalty function; Phase-type distribution; Markovian arrival process; Correlated claims; Fluid queues;
An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
Keywords: C15; C63; E43; IM01; IM10; IE51; Present value; Stochastic interest rate; Hull and White model; Convex bounds; Value-at-Risk;
Distribution-free option pricing
Keywords: G130; C190; C650; E400; IM10; IE50; Black-Scholes; Option pricing; Limited information;