Moment and polynomial bounds for ruin-related quantities in risk theory-Reference-Cited by-同舟云学术

Moment and polynomial bounds for ruin-related quantities in risk theory

Published:2022-11 Issue:3 Volume:302 Page:1255-1271
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

He Yue^ORCID,Kawai Reiichiro^ORCID

Funder

Japan Society for the Promotion of Science

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference56 articles.

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3. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint;Bai;Insurance: Mathematics and Economics,2008

4. Optimal dividend payments when cash reserves follow a jump-diffusion process;Belhaj;Mathematical Finance,2010

5. Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed;Biard;Insurance: Mathematics and Economics,2008

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