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Persistent link: https://www.econbiz.de/10013326596
This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two claims and takes into account dependence between claim amounts and the claim inter-occurrence times. Assuming that the time arrival of the first claim follows a generalized...
Persistent link: https://www.econbiz.de/10012203649
We propose inventory replenishment and lateral transshipment policies for a distribution network. The distribution centers place weekly regular orders and daily urgent orders to the factory. Two classes of stochastic demands, pre-ordered and peddling, cause either backlogging or lost sales when...
Persistent link: https://www.econbiz.de/10015357861
Traditionally, Parisian ruin is said to occur when the insurer's surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grace period has been granted when the surplus becomes...
Persistent link: https://www.econbiz.de/10014246393
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of...
Persistent link: https://www.econbiz.de/10013363123
This book, Applications of Operational Research and Mathematical Models in Management, includes all the papers published in the Mathematics Special Issue with the same title. All the published papers are of high quality and were subjected to rigorous peer review. Mathematics is included in the...
Persistent link: https://www.econbiz.de/10012586619
In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic factors into account, this problem is...
Persistent link: https://www.econbiz.de/10012391761
Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used in all areas of finance. In this editorial, we tell authors the ideas on what types of papers we will accept for publication in the area of mathematical finance. We will discuss...
Persistent link: https://www.econbiz.de/10012173994
We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based...
Persistent link: https://www.econbiz.de/10012588056
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