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Adjusted Rényi entropic value-at-risk
Zou, Zhenfeng; Wu, Qinyu; Xia, Zichao; Hu, Taizhong - In: European journal of operational research : EJOR 306 (2023) 1, pp. 255-268
Persistent link: https://www.econbiz.de/10014276754
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Decision-making under risk : when is utility-maximization equivalent to risk-minimization?
Ruscitti, Francesco; Dubey, Ram Sewak; Laguzzi, Giorgio - In: Theory and decision : an international journal for … 97 (2024) 1, pp. 23-38
Persistent link: https://www.econbiz.de/10015126871
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Risk sharing under heterogeneous beliefs without convexity
Liebrich, Felix-Benedikt - In: Finance and stochastics 28 (2024) 4, pp. 999-1033
Persistent link: https://www.econbiz.de/10015130543
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q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump-diffusion risk model
Liu, Yuxuan; Jiang, Zhengjun; Zhang, Yiwen - In: Scandinavian actuarial journal 2023 (2023) 1, pp. 38-50
Persistent link: https://www.econbiz.de/10013491049
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On a discrete-time two level NCD risk model
Wu, Xueyuan; Chen, Mi; Guo, Junyi - 2014
Persistent link: https://www.econbiz.de/10011342004
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An optimization approach to adaptive multi-dimensional capital management
Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 84 (2019), pp. 87-97
Persistent link: https://www.econbiz.de/10011990447
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Optimal investment and reinsurance for an insurer under Markov-modulated financial market
Xu, Lin; Zhang, Liming; Yao, Dingjun - In: Insurance / Mathematics & economics 74 (2017), pp. 7-19
Persistent link: https://www.econbiz.de/10011712331
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Interplay of subexponential and dependent insurance and financial risks
Chen, Yiqing - In: Insurance / Mathematics & economics 77 (2017), pp. 78-83
Persistent link: https://www.econbiz.de/10011783904
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On a class of dependent Sparre Andersen risk models and a bailout application
Avram, Florin; Pistorius, M. R.; Rabehasaina, L. - In: Insurance / Mathematics & economics 71 (2016), pp. 27-39
Persistent link: https://www.econbiz.de/10011630595
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Functional sensitivity analysis of ruin probability in the classical risk models
Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; … - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 936-968
Persistent link: https://www.econbiz.de/10012696894