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On the ruin probabilities of a bidimensional perturbed risk model

Li, Junhai; Liu, Zaiming; Tang, Qihe - In: Insurance 41 (2007) 1, pp. 185-195

Persistent link: https://www.econbiz.de/10003755694

Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code

Li, Bin; Tang, Qihe; Wang, Lihe; Zhou, Xiaowen - In: Journal of financial engineering 1 (2014) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10010508024

A limit distribution of credit portfolio losses with low default probabilities

Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance 73 (2017), pp. 156-167

Persistent link: https://www.econbiz.de/10011702063

Liquidation risk in insurance under contemporary regulatory frameworks

Li, Xin; Liu, Haibo; Tang, Qihe; Zhu, Jinxia - In: Insurance 93 (2020), pp. 36-49

Persistent link: https://www.econbiz.de/10012294060

Sharp asymptotics for large portfolio losses under extreme risks

Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722

Persistent link: https://www.econbiz.de/10012003644

Optimal Reinsurance in the Presence of Counterparty Default Risk

Asimit, Alexandru Vali - 2014

The optimal reinsurance arrangement is identified whenever the reinsurer counterparty default risk is incorporated in a one-period model. Our default risk model allows the possibility for the reinsurer to fail paying in full the promised indemnity, whenever it exceeds the level of regulatory...

Persistent link: https://www.econbiz.de/10013063979

Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims

Raducan, Anisoara Maria; Vernic, Raluca; Zbaganu, Gheorghita - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 421-443

Persistent link: https://www.econbiz.de/10011312279

On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims

Răducan, Anişoara Maria; Vernic, Raluca; Zbăganu, … - In: Scandinavian actuarial journal (2017) 5, pp. 441-451

Persistent link: https://www.econbiz.de/10011772219