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On the convergence of uncertain random sequences

Ahmadzade, H.; Sheng, Yuhong; Esfahani, M. - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 2, pp. 205-220

Persistent link: https://www.econbiz.de/10011805599

Ruin probability and time of ruin with a proportional reinsurance threshold strategy

Castañer, Anna; Claramunt, Maria Mercè; Mármol, Maite - In: Top : transactions in operations research 20 (2012) 3, pp. 614-638

Persistent link: https://www.econbiz.de/10009629094

Comonotonic Modification of Random Vector in Its Own Probability Space

Dhaene, Jan - 2011

For any random vector X = (X1; ...;Xn) on a given probability space (Ω;F;Pr), one can always instruct comonotonic modi cations of X, which are de ned as random vectors with the same marginals as X but with the comonotonic copula describing their dependency structure. In this short note, we...

Persistent link: https://www.econbiz.de/10013130754

Insights to Systematic Risk and Diversification Across a Joint Probability Distribution

Choo, Weihao - 2015

This paper analyses and develops insights to systematic risk and diversification when random, imperfectly dependent …, losses are aggregated. Systematic risk and diversification are shown to vary across layers of component losses according to … local dependence and volatility structures. Systematic risk is high and diversification is weak overall if high risk layers …

Persistent link: https://www.econbiz.de/10013014384

On the risk of credibility premium rules

Asmussen, Søren; Constantinescu, Corina; Thøgersen, Julie - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 866-889

Persistent link: https://www.econbiz.de/10012696890

A cyclic approach on classical ruin model

Yuen, Fei Lung; Lee, Wing Yan; Fung, Derrick W. H. - In: Insurance / Mathematics & economics 91 (2020), pp. 104-110

Persistent link: https://www.econbiz.de/10012241992

Ruin probability approximations in sparre andersen models with completely monotone claims

Albrecher, Hansjörg; Vatamidou, Eleni - In: Risks : open access journal 7 (2019) 4/104, pp. 1-14

We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with …

Persistent link: https://www.econbiz.de/10012127948

Distributionally robust selection of the best

Fan, Weiwei; Hong, L. Jeff; Zhang, Xiaowei - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 190-208

Persistent link: https://www.econbiz.de/10012156573

Quantifying distributional model risk via optimal transport

Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600

Persistent link: https://www.econbiz.de/10012028635

New results on the distribution of discounted compound Poisson sums

Zhang, Zhehao - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 169-187

Persistent link: https://www.econbiz.de/10012105439