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Specification tests for nonlinear dynamic models

Kheifets, Igor L. - In: The econometrics journal 18 (2015) 1, pp. 67-94

Persistent link: https://www.econbiz.de/10011345998

Weak limits of random coefficient autoregressive processes and their application in ruin theory

Dong, Y.; Spielmann, J. - In: Insurance / Mathematics & economics 91 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012241966

On the relation between extremal dependence and concomitants

Khorrami Chokami, Amir; Kratz, Marie - 2023

Persistent link: https://www.econbiz.de/10014327421

Diffusion approximations of the ruin probability for the insurer-Reinsurer model driven by a renewal process

Burnecki, Krzysztof; Teuerle, Marek A.; Wilkowska, … - In: Risks : open access journal 10 (2022) 6, pp. 1-16

We introduce here a diffusion-type approximation of the ruin probability both in finite and infinite time for a two-dimensional risk process, where claims and premiums are shared with a predetermined proportion. This type of process is often called the insurer-reinsurer model. We assume that the...

Persistent link: https://www.econbiz.de/10013359170

Minimizing the probability of lifetime drawdown under constant consumption

Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223

Persistent link: https://www.econbiz.de/10011533908

On discrete probability approximations for transaction cost problems

Butt, Nabeel - In: Asia-Pacific financial markets 26 (2019) 3, pp. 365-389

Persistent link: https://www.econbiz.de/10012309693

Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure

Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: Scandinavian actuarial journal (2018) 10, pp. 863-889

Persistent link: https://www.econbiz.de/10011939763

Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle

Han, Xia; Liang, Zhibin; Young, Virginia R. - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 879-903

Persistent link: https://www.econbiz.de/10012313745