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Finite time ruin probability of the compound renewal model with constant interest rate and weakly negatively dependent claims with heavy tails

Thampi, K. K. - In: International game theory review 17 (2015) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010526708

Finite time ruin problems for the Markov-modulated risk model

Li, Jingchao; Dickson, David C. M.; Li, Shuanming - 2014

Persistent link: https://www.econbiz.de/10011342005

Markov-modulated, multi-threshold dual risk model

Shija, G.; Jacob, M. J. - In: International journal of computational economics and … 5 (2015) 2, pp. 183-198

Persistent link: https://www.econbiz.de/10011342896

Continuity inequalities for multidimensional renewal risk models

Gordienko, Evgueni; Vázquez-Ortega, P. - In: Insurance / Mathematics & economics 82 (2018), pp. 48-54

Persistent link: https://www.econbiz.de/10011929822

Minimizing the probability of ruin : optimal per-loss reinsurance

Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190

Persistent link: https://www.econbiz.de/10011929867

Numerical computation of convex risk measures

Papayiannis, G. I.; Yannacopoulos, Athanasios N. - In: Advances of OR in commodities and financial modeling, (pp. 417-435). 2018

Persistent link: https://www.econbiz.de/10011871424

Precise local large deviations for heavy-tailed random sums with applications to risk models

Zhang, Qiuying; Cheng, Fengyang - In: Scandinavian actuarial journal (2018) 5, pp. 450-463

Persistent link: https://www.econbiz.de/10011881464

Risk analysis of annuity conversion options with a special focus on decomposing risk

Schilling, Katja - 2017

Persistent link: https://www.econbiz.de/10011898170

Numerical ruin probability in the dual risk model with risk-free investments

Loke, Sooie-Hoe; Thomann, Enrique - In: Risks : open access journal 6 (2018) 4, pp. 1-13

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is …

Persistent link: https://www.econbiz.de/10011906144

A general framework for portfolio theory : part II: drawdown risk measures

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 3, pp. 1-31

The aim of this paper is to provide several examples of convex risk measures necessary for the application of the … classical portfolio risk measures such as the standard deviation, we, in particular, construct risk measures related to the … and Mahmoud (2017), and Zabarankin, Pavlikov, and Uryasev (2014), who used the absolute drawdown, our risk measure is …

Persistent link: https://www.econbiz.de/10011890765