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The gradient allocation principle based on the higher moment risk measure

Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013530990

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Tang, Qihe; Wang, Guojing; Yuen, Kam C. - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 362-370

Persistent link: https://www.econbiz.de/10003966599

Risk reducers in convex order

He, Junnan; Tang, Qihe; Zhang, Huan - In: Insurance / Mathematics & economics 70 (2016), pp. 80-88

Persistent link: https://www.econbiz.de/10011597183

Interplay of insurance and financial risks in a stochastic environment

Tang, Qihe; Yang, Yang - In: Scandinavian actuarial journal 2019 (2019) 5, pp. 432-451

Persistent link: https://www.econbiz.de/10012194959

Asymptotic Results for Conditional Measures of Association of a Random Sum

Asimit, Alexandru Vali - 2018

Asymptotic results are obtained for several conditional measures of association. The chosen random variables are the first two order statistics and the total sum within a random sum. Many of the results have confirmed the “one-jump” property of the risk model. Non-trivial limits are obtained...

Persistent link: https://www.econbiz.de/10012937883

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

Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure

Marri, Fouad; Furman, Edward - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 151-157

Persistent link: https://www.econbiz.de/10009558174