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Optimal reinsurance with expectile under the Vajda condition

Chen, Yanhong - In: Journal of risk 23 (2020/2021) 1, pp. 113-144

Persistent link: https://www.econbiz.de/10012500128

Optimal insurance with counterparty and additive background risk

Chen, Yanhong - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 441-462

Persistent link: https://www.econbiz.de/10015055300

Bowley solution under the reinsurer's default risk

Chen, Yanhong; Cheung, Ka Chun; Zhang, Yiying - In: Insurance : mathematics and economics 115 (2024), pp. 36-61

Persistent link: https://www.econbiz.de/10015066727

Poissonian potential measures for Lévy risk models

Landriault, David; Li, Bin; Wong, Jeff T. Y.; Xu, Di - In: Insurance / Mathematics & economics 82 (2018), pp. 152-166

Persistent link: https://www.econbiz.de/10011929861

Drawdown analysis for the renewal insurance risk process

Landriault, David; Li, Bin; Li, Shu - In: Scandinavian actuarial journal (2017) 3, pp. 267-285

Persistent link: https://www.econbiz.de/10011772133

A note on the convexity of ruin probabilities

Landriault, David; Li, Bin; Loke, Sooie-Hoe; Willmot, … - In: Insurance / Mathematics & economics 74 (2017), pp. 1-6

Persistent link: https://www.econbiz.de/10011712328

A Note on the Convexity of Ruin Probabilities

Landriault, David - 2017

Conditions for the convexity of compound geometric tails and compound geometric convolution tails are established. The results are then applied to analyze the convexity of the ruin probability and the Laplace transform of the time to ruin in the classical compound Poisson risk model with and...

Persistent link: https://www.econbiz.de/10012962574

On the analysis of deep drawdowns for the Lévy insurance risk model

Landriault, David; Li, Bin; Lkabous, Mohamed Amine - In: Insurance / Mathematics & economics 100 (2021), pp. 147-155

Persistent link: https://www.econbiz.de/10012622386

On occupation times in the red of Lévy risk models

Landriault, David; Li, Bin; Lkabous, Mohamed Amine - In: Insurance / Mathematics & economics 92 (2020), pp. 17-26

Persistent link: https://www.econbiz.de/10012242035

On the distribution of classic and some exotic ruin times

Landriault, David; Li, Bin; Shi, Tianxiang; Xu, Di - In: Insurance / Mathematics & economics 89 (2019), pp. 38-45

Persistent link: https://www.econbiz.de/10012133504