Keywords: احتمال خراب شدن; Probability of ruin; Optimal investment; Optimal reinsurance; Transaction costs; Stochastic control;
مقالات ISI احتمال خراب شدن (ترجمه نشده)
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Keywords: احتمال خراب شدن; Lévy risk process; Parisian ruin; Probability of ruin; Sparre-Andersen risk process; Time of ruin;
Keywords: احتمال خراب شدن; C58; C61; G22; G11; 49K10; 49K20; 49L20; Probability of ruin; Optimal reinsurance; Stochastic control; Compound Poisson; Diffusion approximation;
On optimality of the barrier strategy for a general Lévy risk process
Keywords: احتمال خراب شدن; Lévy processes; Optimal dividend problem; Complete monotonicity; Barrier strategy; Scale function; Probability of ruin
The Gerber–Shiu function and the generalized Cramér–Lundberg model
Keywords: احتمال خراب شدن; Defective renewal equation; Erlang(n, β) annuity-related income distribution; Expected discounted penalty function; Probability of ruin; Laplace transform of the time to ruin; Two-sided jumps
Optimal joint survival reinsurance: An efficient frontier approach
Keywords: احتمال خراب شدن; Optimal excess of loss reinsurance; Probability of ruin; Appell polynomials; Joint survival of cedent and reinsurer; Expected profit; Efficient frontier; Copula functions;
Survival probability for a two-dimensional risk model
Keywords: احتمال خراب شدن; Integral equation; Partial integro-differential equation; Probability of ruin; Recursive approximation; Survival probability; Time of ruin;
Minimizing the lifetime shortfall or shortfall at death
Keywords: احتمال خراب شدن; primary; 90A09; secondary; 90A40; Self-annuitization; Optimal investment; Stochastic optimal control; Probability of ruin; Borrowing constraints;
The expected discounted penalty function under a risk model with stochastic income
Keywords: احتمال خراب شدن; Defective renewal equation; Erlang(n,β)(n,β) premium distribution; Expected discounted penalty function; Probability of ruin; Laplace transform of the time to ruin
Tail bounds for the distribution of the deficit in the renewal risk model
Keywords: احتمال خراب شدن; Probability of ruin; Deficit at ruin; Renewal equation; Failure rate; DFR; IFR; Adjustment coefficient; Lundberg condition; Stop-loss premium;
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
Keywords: احتمال خراب شدن; 93E20; 91B30; Exponential utility; Hamilton-Jacobi-Bellman equation; Optimal strategy; Probability of ruin; Proportional reinsurance;
Mutual fund theorems when minimizing the probability of lifetime ruin
Keywords: احتمال خراب شدن; G10; G11; C60; C61; Probability of ruin; Mutual fund; Separation theorem; Optimal investment; Hamilton-Jacobi-Bellman equation;
The compound Poisson risk model with multiple thresholds
Keywords: احتمال خراب شدن; G22; IM12; IM13; Compound Poisson model; Expected discounted penalty function; Integro-differential equation; Multiple threshold strategy; Probability of ruin;
Approximations for the moments of ruin time in the compound Poisson model
Keywords: احتمال خراب شدن; Compound Poisson model; Probability of ruin; Time of ruin; Moments of the time to ruin; Fréchet differentiability;
Minimizing the probability of lifetime ruin under borrowing constraints
Keywords: احتمال خراب شدن; primary; 93E20; secondary; 49J05; Self-annuitization; Optimal investment; Stochastic optimal control; Probability of ruin; Borrowing constraints; Lending rate; Borrowing rate;
The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
Keywords: احتمال خراب شدن; C63; G22; G33; IM10; IM13; IB70; Perturbed classical risk process; Probability of ruin; Laplace transform of the time of ruin; Expected value of the time of ruin; Deficit at ruin; Phase-type distribution; Renewal process;