Keywords: احتمال خرابکاری; primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Bidimensional renewal risk model; Dependence; Extended regular variation; Ruin probability; Subexponential class;
مقالات ISI احتمال خرابکاری (ترجمه نشده)
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Keywords: احتمال خرابکاری; 62G20; 91B30; 62M05; Ruin probability; Small claims; Cramér approximation; Delta method; Asymptotic confidence interval;
Keywords: احتمال خرابکاری; Ruin probability; Hamiltonian; Path integral; Quantum mechanics; Capital injection; Appell Polynomials;
Keywords: احتمال خرابکاری; Phase-type; Erlang; Scale mixtures; Infinite mixtures; Heavy-tailed; Ruin probability;
Keywords: احتمال خرابکاری; 62P05; 60F99; Extended regular variation; Lévy process; Ruin probability; Time-dependent risk model;
Keywords: احتمال خرابکاری; Risk model; Ruin probability; Strong stability; Stability bound; Kernel density;
Keywords: احتمال خرابکاری; primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Copula; Insurance and financial risks; Ruin probability; Subexponentiality;
Keywords: احتمال خرابکاری; Defective renewal equation; Compound geometric; Ruin probability; Laplace transform of the time of ruin; DFR; IMRL; Log-convex; Resolvent;
Keywords: احتمال خرابکاری; primary; 91B30; secondary; 62P05; 62E20; 62H20; Ruin probability; Heavy-tailed distributions; Insurance and financial risks; Asymptotics; Tail dependence; Regular variation;
Parisian ruin of the Brownian motion risk model with constant force of interest
Keywords: احتمال خرابکاری; primary; 60G15; secondary; 60G70; Parisian ruin; Ruin probability; Ruin time; Brownian motion;
Keywords: احتمال خرابکاری; Optimal investment; Reinsurance; Markov modulated risk model; HJB equation; Ruin probability;
Keywords: احتمال خرابکاری; C61; D81; D90; G11; G22; Mean-variance approach; Defined contribution pension scheme; Stochastic optimal control; Martingale method; Efficient frontier; Ruin probability;
Keywords: احتمال خرابکاری; Cramér-Lundberg model; Ruin probability; Risk process; Mixed Poisson process;
Keywords: احتمال خرابکاری; primary; 62P05; secondary; 62E20; 91B30; Two-dimensional risk model; Investment return; Regular variation; Sarmanov dependence; Ruin probability;
Keywords: احتمال خرابکاری; primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dependence; Lévy process; Multi-dimensional risk model; Multivariate regular variation; Stochastic return; Ruin probability;
Keywords: احتمال خرابکاری; primary, 62P05; secondary, 62E20, 60F10By-claim; Dominatedly varying tail; Investment return; Quasi-asymptotic independence; Ruin probability
Keywords: احتمال خرابکاری; primary; 60G51; secondary; 60K30; 60J75; Bailout strategy; Phase-type distribution; Ruin probability; Sparre Andersen dependence structure; Busy period;
Keywords: احتمال خرابکاری; Expected value premium principle; Variance premium principle; Ruin probability; Proportional reinsurance; Excess of loss reinsurance; Dynamic programming principle; Heavy-tailed claims;
Keywords: احتمال خرابکاری; Asymptotic estimate; Ruin probability; Dependent insurance and financial risk; Heavy tail
Keywords: احتمال خرابکاری; primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dependence; Multidimensional renewal risk model; Multivariate regular variation; Ruin probability;
Keywords: احتمال خرابکاری; C61; G11; G22; Investment and reinsurance; Generalized mean-variance premium principle; Expected utility; Ruin probability; Stochastic control;
Keywords: احتمال خرابکاری; Optimal reinsurance-investment problem; Two-sided exit framework; Hamilton-Jacobi-Bellman (HJB) equation; Legendre transform; Ruin probability;
Keywords: احتمال خرابکاری; Survival probability; Reduced-form model; Structural model; Differential quadrature; PDQ; Ruin probability
Keywords: احتمال خرابکاری; Classical risk model; Ruin probability; Moment-recovered approximation; Laplace transform inversion; Uniform rate of approximation
Keywords: احتمال خرابکاری; Ruin probability; Surplus process; Nonhomogeneous claim sizes; Erlang distribution; Recursive methods
Keywords: احتمال خرابکاری; Asymptotic dependence; Asymptotic independence; Bidimensional renewal risk model; Copula; Regular variation; Ruin probability
Keywords: احتمال خرابکاری; Ruin probability; Mixed Poisson process; Bonus-Malus; Bayesian estimation; Lukacs' theorem;
Keywords: احتمال خرابکاری; primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Bidimensional renewal risk model; Farlie-Gumbel-Morgenstern distribution; Ruin probability; Subexponentiality;
Keywords: احتمال خرابکاری; Ruin probability; Risk measure; Expected area in red; Stochastic ordering; Risk limit;
Keywords: احتمال خرابکاری; Discrete time risk model; Ruin probability; Recursive formula; Net profit condition;
Keywords: احتمال خرابکاری; Ruin capital; Ruin probability; Andersen's model; Simulation analysis;
Keywords: احتمال خرابکاری; Gambler's ruin problem; Ruin probability;
Keywords: احتمال خرابکاری; Killing; Defective process; Transform; Ruin probability; Time to ruin; Deficit at ruin; Gerber-Shiu penalty function; Phase-type distribution; Modulation;
Keywords: احتمال خرابکاری; Two-dimensional compound Poisson process; Common shock model; Two-dimensional Brownian motion; Martingale central limit theorem; Two-dimensional diffusion approximation; HJB equation; Ruin probability; Excess-of-loss reinsurance;
Keywords: احتمال خرابکاری; primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dominated variation; Quasi-asymptotic independence; By-claims; Ruin probability;
Keywords: احتمال خرابکاری; 60G70; 62E20; 62H20; AC-product distribution; Sarmanov distribution; Random deflators; Risk aggregation; Ruin probability;
Keywords: احتمال خرابکاری; Ruin probability; Heavy-tailed claim sizes; Error bounds; Tail asymptotics; Relative errors; Value at risk;
Keywords: احتمال خرابکاری; Stochastic volatility model; Hamilton-Jacobi-Bellman equation; Utility function; Ruin probability;
Keywords: احتمال خرابکاری; MAP; Gerber–Shiu function; Recursive formula; Ruin probability
Keywords: احتمال خرابکاری; 60E15; Random walk; Two-sided boundary crossing problem; Ruin probability; Sequential probability ratio test;
An IBNR-RBNS insurance risk model with marked Poisson arrivals
Keywords: احتمال خرابکاری; Incurred But Not Reported (IBNR) claims; Reported But Not Settled (RBNS) claims; Markovian Arrival Process; Ruin probability; Aggregate payment processes; Joint Laplace transform;
A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation
Keywords: احتمال خرابکاری; primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Brownian perturbation; Renewal risk model; Ruin probability; Subexponential class;
I-Delaporte process and applications
Keywords: احتمال خرابکاری; Mixed distributions; Pure birth process; Delaporte process; Ruin probability;
Parisian quasi-stationary distributions for asymmetric Lévy processes
Keywords: احتمال خرابکاری; 60J99; 93E20; 60G51; Quasi-stationary distribution; Lévy process; Risk process; Ruin probability; Asymptotics; Parisian ruin;
De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
Keywords: احتمال خرابکاری; De Vylder approximation; Quota-share and excess of loss reinsurance; Optimal retention; Partial information; Ruin probability;
Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
Keywords: احتمال خرابکاری; 62P05; 62E10; 91B30; Discrete-time risk model with insurance and financial risks; Pairwise asymptotical independence; Dominated variation; Ruin probability; Crude Monte-Carlo simulation;
Gerber-Shiu functionals for classical risk processes perturbed by an α-stable motion
Keywords: احتمال خرابکاری; Classical risk process; Stable process; Scale functions; Ruin probability; Severity of ruin; Surplus before ruin;
Tail behavior of the sums of dependent and heavy-tailed random variables
Keywords: احتمال خرابکاری; primary, 62E20; secondary, 60G70Dependence structures; Subexponential∗∗ distributions; Asymptotic behavior; Partial sums; Random sums; Weighted sums; Ruin probability
Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
Keywords: احتمال خرابکاری; Ruin probability; Exponential Lévy process; Exponential martingale; Uniform integrable martingale; Value-at-Risk
A risk model with renewal shot-noise Cox process
Keywords: احتمال خرابکاری; G22; C10; C60; primary; 91B30; secondary; 60J75; 65C05; Risk model; Ruin probability; Renewal shot-noise Cox process; Piecewise-deterministic Markov process; Martingale method; Importance sampling; Change of probability measure; Rare-event simulation;