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Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
Bai, Long - In: Scandinavian actuarial journal (2018) 6, pp. 514-528
Persistent link: https://www.econbiz.de/10011939705
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Almost stochastic dominance for risk averters and risk seeker
Guo, Xu; Wong, Wing Keung; Zhu, Lixing - In: Finance research letters 19 (2016), pp. 15-21
Persistent link: https://www.econbiz.de/10011657429
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Stochastic disease spreading and containment policies under state-dependent probabilities
La Torre, Davide; Marsiglio, Simone; Mendivil, Franklin; … - In: Economic theory 77 (2024) 1/2, pp. 127-168
Persistent link: https://www.econbiz.de/10014552686
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Almost Stochastic Dominance : A Penchant for Risk
Brigida, Matthew - 2008
will also be dominant by ASD. Therefore, there is no limit to the risk that a portfolio may have and still be dominant. The …
Persistent link: https://www.econbiz.de/10014213301
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Ruin Probabilities for Risk Processes in Stochastic Networks
Amini, Hamed; Cao, Zhongyuan; Minca, Andreea; Sulem, Agnes - 2023
We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive … risk processes on open networks, when in addition to the internal networked risk processes the agents receive losses from …
Persistent link: https://www.econbiz.de/10014254603
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Robust simulation with likelihood-ratio constrained input uncertainty
Hu, Zhaolin; Hong, L. Jeff - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 2350-2367
Persistent link: https://www.econbiz.de/10013362754
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Stochastic disease spreading and containment policies under state-dependent probabilities
La Torre, Davide; Marsiglio, Simone; Mendivil, Franklin; … - 2022
Persistent link: https://www.econbiz.de/10013366589
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An application of risk theory to mortgage lending
Akahori, Jiro; Constantinescu, Corina; Imamura, Yuri; … - In: Scandinavian actuarial journal 2022 (2022) 5, pp. 447-469
Persistent link: https://www.econbiz.de/10013370706
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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Portfolio optimization with choice of a probability measure
Saito, Taiga; Takahashi, Akihiko - 2020 - Revised in December 2021 and March 2022
Persistent link: https://www.econbiz.de/10013336334