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Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments 斯帕尔·安德森投资模型的破产概率:以年金支付为例
2区 经济学
Finance and Stochastics Pub Date : 2023-09-28 DOI: 10.1007/s00780-023-00513-1
Yuri Kabanov, Platon Promyslov
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引用次数: 0
In memoriam: Tomas Björk (1947–2021) 悼念托马斯-比约克（1947-2021）
2区 经济学
Finance and Stochastics Pub Date : 2023-09-28 DOI: 10.1007/s00780-023-00511-3
Raquel M. Gaspar, Mariana Khapko
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引用次数: 0
Asset pricing with dynamically inconsistent agents 动态不一致代理下的资产定价
2区 经济学
Finance and Stochastics Pub Date : 2023-09-28 DOI: 10.1007/s00780-023-00516-y
Mariana Khapko
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引用次数: 7
Robust utility maximisation with intractable claims 具有棘手索赔的稳健效用最大化
2区 经济学
Finance and Stochastics Pub Date : 2023-09-28 DOI: 10.1007/s00780-023-00512-2
Yunhong Li, Zuo Quan Xu, Xun Yu Zhou
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引用次数: 0
Editorial: Special Issue in memory of Tomas Björk 社论:纪念托马斯的特刊Björk
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2023-09-28 DOI: 10.1007/s00780-023-00518-w
Martin Schweizer
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引用次数: 0
Present-biased lobbyists in linear–quadratic stochastic differential games 线性二次随机微分博弈中的现在偏向游说者
2区 经济学
Finance and Stochastics Pub Date : 2023-09-28 DOI: 10.1007/s00780-023-00519-9
Ali Lazrak, Hanxiao Wang, Jiongmin Yong
{"title":"Present-biased lobbyists in linear–quadratic stochastic differential games","authors":"Ali Lazrak, Hanxiao Wang, Jiongmin Yong","doi":"10.1007/s00780-023-00519-9","DOIUrl":"https://doi.org/10.1007/s00780-023-00519-9","url":null,"abstract":"","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135344254","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Hitting times for sticky skew CIR process 粘性倾斜CIR过程的命中次数
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2023-09-07 DOI: 10.1080/17442508.2023.2255341
Haoyan Zhang, Yingxu Tian
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引用次数: 1
Collective epidemics with asymptomatics and functional infection rates 具有无症状和功能性感染率的集体流行病
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2023-09-07 DOI: 10.1080/17442508.2023.2254879
Claude Lefèvre, Matthieu Simon
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引用次数: 0
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting 具有多重习惯形成和非指数折扣的投资-消费-保险优化问题
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2023-09-06 DOI: 10.1007/s00780-023-00510-4
Yike Wang, Jingzhen Liu, Tak Kuen Siu
{"title":"Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting","authors":"Yike Wang, Jingzhen Liu, Tak Kuen Siu","doi":"10.1007/s00780-023-00510-4","DOIUrl":"https://doi.org/10.1007/s00780-023-00510-4","url":null,"abstract":"","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"1 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44484548","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns 具有重尾索赔和随机收益的二维风险模型的和破产概率的渐近性
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2023-07-20 DOI: 10.1080/17442508.2023.2236743
Zhangting Chen, Mingjun Li, Dongya Cheng
{"title":"Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns","authors":"Zhangting Chen, Mingjun Li, Dongya Cheng","doi":"10.1080/17442508.2023.2236743","DOIUrl":"https://doi.org/10.1080/17442508.2023.2236743","url":null,"abstract":"","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"14 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79556730","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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