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Stochastic Processes: Theory and Applications

2019

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On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copula

Insurance, mathematics & economics, 2008-12, Vol.43 (3), p.444-455

2008

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Analysis of the expected discounted penalty function for a general jump–diffusion risk model and applications in finance

Insurance, mathematics & economics, 2010-04, Vol.46 (2), p.385-396

Chi, Yichun

2010

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On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income

Annals of operations research, 2022-08, Vol.315 (2), p.969-984

2022

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Optimal dividend and stopping problems for two-dimensional compound poisson risk model

Communications in statistics. Theory and methods, 2024-06, Vol.53 (12), p.4515-4530

2024

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Moments of discounted aggregate claims with dependence based on Spearman copula

Journal of computational and applied mathematics, 2020-10, Vol.377, p.112889, Article 112889

2020

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Large Risks, Limited Liability, and Dynamic Moral Hazard

Econometrica, 2010-01, Vol.78 (1), p.73-118

2010

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An insurance risk model with stochastic volatility

Insurance, mathematics & economics, 2010-02, Vol.46 (1), p.52-66

2010

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A perturbed risk model with constant interest and periodic barrier dividend strategy

Communications in statistics. Simulation and computation, 2021-08, Vol.50 (8), p.2467-2481

2021

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Finite Horizon Optimal Dividend and Reinsurance Problem Driven by a Jump-Diffusion Process with Controlled Jumps

Applied mathematics & optimization, 2023-08, Vol.88 (1), p.15, Article 15

Guan, Chonghu

2023

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Statistical estimation for some dividend problems under the compound Poisson risk model

Insurance, mathematics & economics, 2020-11, Vol.95, p.101-115

2020

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On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model

Mathematics (Basel), 2020-04, Vol.8 (4), p.511

2020

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Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model

Scandinavian actuarial journal, 2022-10, Vol.2022 (9), p.749-774

2022

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Randomized observation periods for the compound Poisson risk model: the discounted penalty function

Scandinavian actuarial journal, 2013-11, Vol.2013 (6), p.424-452

2013

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Temporal variation of spatial autocorrelation of COVID-19 cases identified in Poland during the year from the beginning of the pandemic

Geographia Polonica, 2021, Vol.94 (3), p.355-380

Stach, Alfred

2021

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Optimal reinsurance in a compound Poisson risk model with dependence

Journal of applied mathematics & computing, 2018-10, Vol.58 (1-2), p.389-412

2018

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Finite-time ruin probabilities using bivariate Laguerre series

Scandinavian actuarial journal, 2023-02, Vol.2023 (2), p.153-190

2023

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Ruin probability in the delayed renewal risk model perturbed by a diffusion process

Risk and decision analysis, 2021, Vol.8 (3-4), p.127-144

2021

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On series expansions for scale functions and other ruin-related quantities

Scandinavian actuarial journal, 2020-04, Vol.2020 (4), p.292-306

2020

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Gerber–Shiu analysis with two-sided acceptable levels

Journal of computational and applied mathematics, 2017-09, Vol.321, p.185-210

2017

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Randomized Observation Periods for the Compound Poisson Risk Model: Dividends

ASTIN bulletin, 2011-11, Vol.41 (2), p.645-672

2011

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Extremes on the discounted aggregate claims in a time dependent risk model

Scandinavian actuarial journal, 2010-06, Vol.2010 (2), p.93-104

2010

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On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy

Communications in statistics. Theory and methods, 2017-02, Vol.46 (4), p.1898-1915

2017

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Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend

Advances in difference equations, 2021-04, Vol.2021 (1), Article 220

2021

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The stability of the probability of ruin

Stochastic models, 2020-01, Vol.36 (1), p.112-133

Gatto, Riccardo

2020

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Stochastic Processes: Theory and Applications

On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copula

Analysis of the expected discounted penalty function for a general jump–diffusion risk model and applications in finance

On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income

Optimal dividend and stopping problems for two-dimensional compound poisson risk model

Moments of discounted aggregate claims with dependence based on Spearman copula

Large Risks, Limited Liability, and Dynamic Moral Hazard

An insurance risk model with stochastic volatility

A perturbed risk model with constant interest and periodic barrier dividend strategy

Finite Horizon Optimal Dividend and Reinsurance Problem Driven by a Jump-Diffusion Process with Controlled Jumps

Statistical estimation for some dividend problems under the compound Poisson risk model

On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model

Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model

Randomized observation periods for the compound Poisson risk model: the discounted penalty function

Temporal variation of spatial autocorrelation of COVID-19 cases identified in Poland during the year from the beginning of the pandemic

Optimal reinsurance in a compound Poisson risk model with dependence

Finite-time ruin probabilities using bivariate Laguerre series

Ruin probability in the delayed renewal risk model perturbed by a diffusion process

On series expansions for scale functions and other ruin-related quantities

Gerber–Shiu analysis with two-sided acceptable levels

Randomized Observation Periods for the Compound Poisson Risk Model: Dividends

Extremes on the discounted aggregate claims in a time dependent risk model

On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy

Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend

The stability of the probability of ruin

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