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Precise large deviations for aggregate claims in a multidimensional risk model with arbitrarily dependent claims and accident-arriving times
Consider a multidimensional risk model, in which an insurer is exposed to more than one type of claims sharing a common accident-number process, and...
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Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times*
We consider a compound renewal risk model with individual claim sizes and interarrival times forming a sequence of independent identically...
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Cramér–Lundberg model for some classes of extremal Markov sequences
The classical Cramér–Lundberg model was the first attempt to describe the financial condition of the insurance company. The incomes were approximated...
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Equilibrium Reinsurance Strategy and Mean Residual Life Function
In this paper, we analyze the relationship between the equilibrium reinsurance strategy and the tail of the distribution of the risk. Since Mean...
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The Perturbed Compound Poisson Risk Model with Proportional Investment
In this paper, the insurance company considers venture capital and risk-free investment in a constant proportion. The surplus process is perturbed by...
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The Optimal Deductible and Coverage in Insurance Contracts and Equilibrium Risk Sharing Policies
In this paper, we consider the optimal risk sharing problem between two parties in the insurance business: the insurer and the insured. The risk is...
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Anticipated Backward Stochastic Volterra Integral Equations with Jumps and Applications to Dynamic Risk Measures
In this paper, we focus on anticipated backward stochastic Volterra integral equations (ABSVIEs) with jumps. We solve the problem of the...
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Uniform Asymptotics for Finite-time Ruin Probability in a Dependent Risk Model with General Stochastic Investment Return Process
In this paper, we consider a non-standard renewal risk model with dependent claim sizes, where an insurance company is allowed to invest his/her...
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On the evaluation of risk models with bivariate integer-valued time series
In this paper, we consider two bivariate risk models, which allow dependencies among the claim frequencies of an insurance portfolio. These models...
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Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin
The spectrally negative Lévy risk model with random observation times is considered in this paper, in which both dividends and capital injections are...
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VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective
In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the...
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The Optimal Reinsurance-Investment Problem Considering the Joint Interests of an Insurer and a Reinsurer under Hara Utility
This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a...
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A Worst-Case Risk Measure by G-VaR
G-VaR, which is a type of worst-case value-at-risk (VaR), is defined as measuring risk incorporating model uncertainty. Compared with most extant...
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A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
Consider a nonstandard renewal risk model in which claims and interarrival times form a sequence of independent and identically distributed random...
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Minimal variance hedging in multicurve interest rate modeling
We consider minimal variance hedging in a pure-jump multicurve interest rate model. In the first part, we derive arithmetic multifactor martingale...
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Tails of higher-order moments with dominatedly varying summands∗
Let ξ 1 , . . . , ξ n be dependent real-valued random variables with dominatedly varying distribution functions. We investigate the asymptotic behavior...
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Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
Consider a multidimensional renewal risk model, in which the claim sizes { X k , k ≥ 1} form a sequence of independent and identically distributed...
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Risk forecasting in the context of time series*
We propose an approach for forecasting risk contained in future observations in a time series. We take into account both the shape parameter and the...
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Optimal Dividend-Penalty Strategies for Insurance Risk Models with Surplus-Dependent Premiums
This paper concerns an optimal dividend-penalty problem for the risk models with surplus-dependent premiums. The objective is to maximize the...