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A ruin model with a resampled environment

Constantinescu, Corina; Delsing, G.; Mandjes, Michel; … - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 323-341

Persistent link: https://www.econbiz.de/10012262740

How much we gain by surplus-dependent premiums : asymptotic analysis of ruin probability

Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks : open access journal 9 (2021) 9, pp. 1-17

In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes. Applying the approximation theory of solutions of linear...

Persistent link: https://www.econbiz.de/10012612558

Continuing risks

Constantinescu, Corina; Guillén, Montserrat; … - In: Risks : open access journal 11 (2023) 1, pp. 1-2

Persistent link: https://www.econbiz.de/10014232583

Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation

Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180

Persistent link: https://www.econbiz.de/10011567011

Two methods for optimal investment with trading strategies of finite variation

Gashi, Bujar; Date, Paresh - In: IMA journal of management mathematics 23 (2012) 2, pp. 171-193

Persistent link: https://www.econbiz.de/10009548871

Pricing and risk management of interest rate swaps

Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-chieh - In: European journal of operational research : EJOR 228 (2013) 1, pp. 102-111

Persistent link: https://www.econbiz.de/10009734148

Risk minimisation using options and risky assets

Mohd Azdi Maasar; Roman, Diana; Date, Paresh - In: Operational research : an international journal 22 (2022) 1, pp. 485-506

Persistent link: https://www.econbiz.de/10013173306