asset allocation |
4 |

comonotonicity |
3 |

laplace transform |
3 |

ruin probability |
3 |

stochastic order |
3 |

abstracting, bibliographies, statistics computers |
2 |

adjustment-coefficient |
2 |

asymptotic behavior |
2 |

black-scholes model |
2 |

brownian motion |
2 |

brownian motion with drift |
2 |

classical poisson risk model |
2 |

compound poisson |
2 |

conditional heteroscedasticity |
2 |

consistently varying tail |
2 |

constant-rebalanced portfolios |
2 |

convex order |
2 |

default risk |
2 |

dependence structure |
2 |

dependency structure |
2 |

diffusion |
2 |

doubly stochastic process |
2 |

dynamic portfolio optimization |
2 |

dynamic portfolio selection |
2 |

dynamical programming |
2 |

earnings-at-risk |
2 |

engineering |
2 |

equity-linked products |
2 |

erlang(2) risk process |
2 |

force of interest |
2 |

heavy tail |
2 |

information science and information theory |
2 |

insurance risk model |
2 |

integral equation |
2 |

joint distribution of maximum and minimum before ruin |
2 |

likelihood ratio order |
2 |

lundberg inequality |
2 |

lundberg's inequality |
2 |

markov regime switching model |
2 |

markovian arrival process |
2 |

martingale |
2 |

martingale approach |
2 |

matuszewska index |
2 |

negative association |
2 |

non-linearity |
2 |

optimal surrender time |
2 |

point process |
2 |

precise large deviation |
2 |

precise large deviations |
2 |

random sums |
2 |

random walk |
2 |

setar model |
2 |

star model |
2 |

stochastic dynamical system |
2 |

stochastic orders |
2 |

subexponentiality |
2 |

surplus-dependent premium rate |
2 |

tail dependence |
2 |

transition kernel |
2 |

truncated gerber–shiu function |
2 |

upper bound |
2 |

upper comonotonicity |
2 |

utility function |
2 |

weak convergence |
2 |

(i) controldividends |
1 |

absolute ruin |
1 |

absolute ruin probability |
1 |

adjustment coefficient |
1 |

american options |
1 |

ams classification: 93e11, 93e12, 60g35 |
1 |

apgarch model |
1 |

approximation theory |
1 |

ascending ladder |
1 |

asset-liability management |
1 |

asymptotic |
1 |

asymptotic good bound |
1 |

asymptotic optimality |
1 |

asymptotic results |
1 |

asymptotics |
1 |

band strategy |
1 |

barrier strategy |
1 |

bayesian analysis |
1 |

bayesian method |
1 |

bayesian mixture models |
1 |

bessel equations |
1 |

bessel functions |
1 |

bid-ask spread |
1 |

binomial models |
1 |

black-scholes financial market |
1 |

black–scholes model |
1 |

borch's theorem |
1 |

bsde |
1 |

bühlmann estimators |
1 |

capital injections |
1 |

cir model |
1 |

clustering |
1 |

coherent risk measure |
1 |

coherent risk measures |
1 |

compound poisson model |
1 |

compound poisson process |
1 |

compound poisson risk process |
1 |

conditional esscher transforms |
1 |

conditional risk measure |
1 |

confluent hypergeometric function |
1 |

constantly-rebalanced portfolios |
1 |

continuous-time model |
1 |

contour integration |
1 |

control |
1 |

convergence of the discounted surplus process |
1 |

converse comparison theorem |
1 |

convex premium principle |
1 |

coupled system of integro-differential equations |
1 |

credibility premium principle |
1 |

credibility theory |
1 |

credit and debit interest rates |
1 |

credit rating |
1 |

currency options |
1 |

debit interest |
1 |

decomposition |
1 |

deep learning |
1 |

default option |
1 |

default probability |
1 |

default time |
1 |

defaultable security |
1 |

defective renewal equation |
1 |

deficit at ruin |
1 |

delay differential equation |
1 |

dependence |
1 |

derivatives |
1 |

derivatives markets |
1 |

differentiability |
1 |

dirichlet problem |
1 |

dirichlet process |
1 |

discounted density |
1 |

discounted penalty function |
1 |

discrete adaptive filter |
1 |

discrete time |
1 |

discrete time systems |
1 |

discrete-time asset allocation |
1 |

dividend |
1 |

dividend optimization |
1 |

dividend payment |
1 |

dividend policy |
1 |

dividend strategies |
1 |

dividend strategy |
1 |

dividends-penalty identity |
1 |

dual insurance risk model |
1 |

dual model |
1 |

dynamic programming |
1 |

efficient frontier |
1 |

elasticity approach |
1 |

em algorithm |
1 |

enlargement of reinsurance space |
1 |

equilibrium approach |
1 |

equity issuance |
1 |

equity risk premium |
1 |

equity-indexed annuity |
1 |

equity-linked death benefits |
1 |

erlang process |
1 |

erlang(2) process |
1 |

esscher transform |
1 |

exotic options |
1 |

expectation maximization |
1 |

expected discounted penalty function |
1 |

expected total discounted capital injection |
1 |

expected utility |
1 |

exponential claim distribution |
1 |

exponential integral |
1 |

exponential stopping |
1 |

filtering |
1 |

finite time ruin probability |
1 |

first hitting times |
1 |

first recovery time |
1 |

fourier-cosine method |
1 |

gamma process |
1 |

general class of risk models |
1 |

general linear groups over a finite field |
1 |

generalized coxian distribution |
1 |

geometric brownian motion |
1 |

gerber-shiu function |
1 |

gerber-shiu's model |
1 |

gerber–shiu functions |
1 |

girsanov theorem |
1 |

global investment |
1 |

guaranteed minimum death benefit |
1 |

hamilton-jacobi-bellman equation |
1 |

hamilton-jacobi-bellman equations |
1 |

harmonic analysis |
1 |

heavy-tailed and light-tailed distributions |
1 |

heavy-tailed distribution |
1 |

hedging risk of regime switching |
1 |

hidden markov model |
1 |

hidden markovian regime-switching model |
1 |

high-water benefit |
1 |

hjb equation |
1 |

hyperbolic discounting |
1 |

im13 |
1 |

im50 |
1 |

impulse control |
1 |

incomplete market |
1 |

infinite mixture |
1 |

infinitesimal transformations |
1 |

information science and informaiton theory |
1 |

information uncertainty |
1 |

innovations approach |
1 |

insurance mathematics |
1 |

insurance risk models |
1 |

intefrated risk management |
1 |

integral equations |
1 |

integral-differential equation |
1 |

integro-differential equation |
1 |

interest force |
1 |

interest income |
1 |

invariants |
1 |

ito's formula |
1 |

itô formula |
1 |

jump diffusion |
1 |

jump diffusion process |
1 |

jump-diffusion |
1 |

jump-diffusion model |
1 |

key renewal theorem |
1 |

kummer's confluent hypergeometric equation |
1 |

lagrangian function |
1 |

laplace transform of time to ruin |
1 |

largemarkets |
1 |

leptokurtic effect |
1 |

leverage effect |
1 |

liability constraint |
1 |

lie groups |
1 |

lifetime uncertainty |
1 |

linear quadratic control |
1 |

liquidity risk |
1 |

logarithmic utility |
1 |

long-tailed distribution |
1 |

lower bound |
1 |

lundberg bound |
1 |

lundberg equation |
1 |

lévy process |
1 |

lévy subordinator |
1 |

malliavin calculus |
1 |

map |
1 |

market completeness |
1 |

markov chain |
1 |

markov chain approximation |
1 |

markov chain approximation method |
1 |

markov processes |
1 |

markov regime-switching |
1 |

markov-modulated model |
1 |

markov-modulated random measures |
1 |

markovian regime switching model |
1 |

martingale restriction |
1 |

martingales |
1 |

matrix renewal equation |
1 |

memoryness |
1 |

min-max entropy problem |
1 |

minimum guaranteed death benefits |
1 |

minimum principle |
1 |

model risk |
1 |

model uncertainty |
1 |

multi-period |
1 |

multiperiod model |
1 |

multiple reinsurers |
1 |

neural networks |
1 |

new better than used distribution |
1 |

new worse than used distribution |
1 |

non-exponential discounting |
1 |

non-linear portfolios |
1 |

nonlinear programming |
1 |

nonparametric bayesian credibility |
1 |

number of claims |
1 |

optimal alternative to delta hedge |
1 |

optimal consumption and investment |
1 |

optimal control |
1 |

optimal design |
1 |

optimal dividend barrier |
1 |

optimal dividend problem |
1 |

optimal dividends |
1 |

optimal reinsurance |
1 |

optimal reinsurance treaties |
1 |

optimal stopping |
1 |

optimal strategy |
1 |

option pricing |
1 |

option valuation |
1 |

options markets |
1 |

pareto distribution |
1 |

pareto-optimal risk exchange |
1 |

partial differential equation |
1 |

partial information |
1 |

partially observed diffusions |
1 |

participating life insurance policies |
1 |

path dependent options |
1 |

pde |
1 |

penalty at ruin |
1 |

pension funding |
1 |

phase-type distribution |
1 |

physical probability measure |
1 |

pollaczek-khinchin formula |
1 |

portfolio selection |
1 |

preventive maintenance |
1 |

price of regime switching risk |
1 |

pricing |
1 |

pricing of derivative securities |
1 |

probability of ruin |
1 |

proportional reinsurance |
1 |

proportional transaction costs |
1 |

quasi-variational inequalities |
1 |

quasi-variational inequality |
1 |

random probability distribution |
1 |

recursive equation |
1 |

recursive formula |
1 |

reference probability |
1 |

regime switching |
1 |

regime switching model |
1 |

regime-switching |
1 |

regime-switching risk |
1 |

reinsurance |
1 |

reinsurance strategies |
1 |

removable singularity |
1 |

renewal risk model |
1 |

renewal theory |
1 |

representation |
1 |

reserve processes |
1 |

risk assessment |
1 |

risk characteristic of policyholder |
1 |

risk characteristics |
1 |

risk interval |
1 |

risk management |
1 |

risk measure |
1 |

risk measures |
1 |

risk processes perturbed by diffusion |
1 |

risk-minimization |
1 |

risk-neutral probability measure |
1 |

robust em algorithms |
1 |

ruin function |
1 |

ruin probabilities |
1 |

ruin theory |
1 |

scenario analysis |
1 |

securities |
1 |

self-exciting |
1 |

sensitivity analysis |
1 |

severity of ruin |
1 |

single periodmodel |
1 |

smoothed estimate |
1 |

sobolev embedding theorem |
1 |

spectrally negative lévy processes |
1 |

stochastic approximation |
1 |

stochastic control |
1 |

stochastic differential equation |
1 |

stopping time |
1 |

strong markov property |
1 |

subexponential distribution |
1 |

subjective probability measures |
1 |

subjective risk measure |
1 |

subjective var |
1 |

subordinator |
1 |

surplus immediately after ruin |
1 |

surplus immediately before ruin |
1 |

system of second-order differential equations |
1 |

taxes |
1 |

technology: comprehensive works |
1 |

the class l (γ) |
1 |

the dual risk model |
1 |

the joint distribution of surplus immediately before ruin and the deficit at ruin |
1 |

the time to ruin |
1 |

threshold principle |
1 |

transaction costs |
1 |

trinomial extensions |
1 |

trinomial method |
1 |

trinomial tree method |
1 |

two-factor stochastic volatility |
1 |

two-sided jump model |
1 |

two-stage pricing procedure |
1 |

two-time scale |
1 |

ultimate ruin probability |
1 |

unit-linked life insurance |
1 |

utility |
1 |

value at risk |
1 |

variable annuities |
1 |

variance premium principles |
1 |

variance risk premium |
1 |

viscosity solution |
1 |

volterra type integral equation system |
1 |

weak no-arbitrage |
1 |

weighted chinese restaurant process |
1 |

worst case scenario |
1 |

zakai equation |
1 |

φ-moments |
1 |