Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return (English)
- New search for: Li, J.
- New search for: Li, J.
In:
INSURANCE -AMSTERDAM-
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71
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195-204
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2016
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ISSN:
- Article (Journal) / Print
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Title:Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
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Contributors:Li, J. ( author )
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Published in:INSURANCE -AMSTERDAM- ; 71 ; 195-204
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Publisher:
- New search for: Elsevier Science B.V., Amsterdam.
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Publication date:2016-01-01
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Size:10 pages
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ISSN:
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Type of media:Article (Journal)
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Type of material:Print
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Language:English
- New search for: 368
- Further information on Dewey Decimal Classification
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Classification:
DDC: 368 -
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Table of contents – Volume 71
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
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A micro-level claim count model with overdispersion and reporting delaysAvanzi, Benjamin / Wong, Bernard / Yang, Xinda et al. | 2016
- 15
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Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approachFloryszczak, Anthony / Le Courtois, Olivier / Majri, Mohamed et al. | 2016
- 27
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On a class of dependent Sparre Andersen risk models and a bailout applicationAvram, F. / Badescu, A.L. / Pistorius, M.R. / Rabehasaina, L. et al. | 2016
- 40
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Move-based hedging of variable annuities: A semi-analytic approachLin, X. Sheldon / Wu, Panpan / Wang, Xiao et al. | 2016
- 50
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Longevity risk and retirement income tax efficiency: A location spending rate puzzleHuang, Huaxiong / Milevsky, Moshe A. et al. | 2016
- 63
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Stochastic loss reserving with dependence: A flexible multivariate Tweedie approachAvanzi, Benjamin / Taylor, Greg / Vu, Phuong Anh / Wong, Bernard et al. | 2016
- 79
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Catastrophe equity put options with target varianceWang, Xingchun et al. | 2016
- 87
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Optimal allocation of policy deductibles for exchangeable risksManesh, Sirous Fathi / Khaledi, Baha-Eldin / Dhaene, Jan et al. | 2016
- 93
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Issues with the Smith–Wilson methodLagerås, Andreas / Lindholm, Mathias et al. | 2016
- 103
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Multi-period defined contribution pension funds investment management with regime-switching and mortality riskYao, Haixiang / Chen, Ping / Li, Xun et al. | 2016
- 114
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Polynomial diffusion models for life insurance liabilitiesBiagini, Francesca / Zhang, Yinglin et al. | 2016
- 130
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Coherent modeling of male and female mortality using Lee–Carter in a complex number frameworkde Jong, Piet / Tickle, Leonie / Xu, Jianhui et al. | 2016
- 138
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On capital injections and dividends with tax in a classical risk modelSchmidli, Hanspeter et al. | 2016
- 145
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Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methodsGomes-Gonçalves, Erika / Gzyl, Henryk / Mayoral, Silvia et al. | 2016
- 154
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Risk aggregation in multivariate dependent Pareto distributionsSarabia, José María / Gómez-Déniz, Emilio / Prieto, Faustino / Jordá, Vanesa et al. | 2016
- 164
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Optimal mean–variance efficiency of a family with life insurance under inflation riskLiang, Zongxia / Zhao, Xiaoyang et al. | 2016
- 179
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Tail conditional moments for elliptical and log-elliptical distributionsLandsman, Zinoviy / Makov, Udi / Shushi, Tomer et al. | 2016
- 189
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A note on the Log-Lindley distributionJodrá, P. / Jiménez-Gamero, M.D. et al. | 2016
- 195
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Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic returnLi, Jinzhu et al. | 2016
- 205
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The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity OptionsDeelstra, Griselda / Grasselli, Martino / Van Weverberg, Christopher et al. | 2016
- 220
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Tail asymptotics of generalized deflated risks with insurance applicationsLing, Chengxiu / Peng, Zuoxiang et al. | 2016
- 232
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Optimal reinsurance under dynamic VaR constraintZhang, Nan / Jin, Zhuo / Li, Shuanming / Chen, Ping et al. | 2016
- 244
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Bayesian multinomial latent variable modeling for fraud and abuse detection in health insuranceBayerstadler, Andreas / van Dijk, Linda / Winter, Fabian et al. | 2016
- 253
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Constrained investment–reinsurance optimization with regime switching under variance premium principleChen, Lv / Qian, Linyi / Shen, Yang / Wang, Wei et al. | 2016
- 268
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Accounting and actuarial smoothing of retirement payouts in participating life annuitiesMaurer, Raimond / Mitchell, Olivia S. / Rogalla, Ralph / Siegelin, Ivonne et al. | 2016
- 284
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A pair of optimal reinsurance–investment strategies in the two-sided exit frameworkLandriault, David / Li, Bin / Li, Danping / Li, Dongchen et al. | 2016
- 295
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From regulatory life tables to stochastic mortality projections: The exponential decline modelDenuit, Michel / Trufin, Julien et al. | 2016
- 304
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On the occupation times in a delayed Sparre Andersen risk model with exponential claimsJin, Can / Li, Shuanming / Wu, Xueyuan et al. | 2016
- 317
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Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviorsBarsotti, Flavia / Milhaud, Xavier / Salhi, Yahia et al. | 2016
- 332
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Extremes for coherent risk measuresAsimit, Alexandru V. / Li, Jinzhu et al. | 2016
- 342
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Asset allocation, sustainable withdrawal, longevity risk and non-exponential discountingDelong, Łukasz / Chen, An et al. | 2016
- 353
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Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegrationKwok, Kai Yin / Chiu, Mei Choi / Wong, Hoi Ying et al. | 2016
- 367
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Impact of volatility clustering on equity indexed annuitiesHainaut, Donatien et al. | 2016
- 382
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Valuation and risk assessment of participating life insurance in the presence of credit riskEckert, Johanna / Gatzert, Nadine / Martin, Michael et al. | 2016
- 394
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Cooperative investment in incomplete markets under financial fairnessPazdera, Jaroslav / Schumacher, Johannes M. / Werker, Bas J.M. et al. | 2016
- IFC
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Editorial Board| 2016