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Minimising expected discounted capital injections by reinsurance in a classical risk model
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Minimising expected discounted capital injections by reinsurance in a classical risk model (2010)Minimising expected discounted capital in…Optimal dividend strategies in a Cramér–Lundberg model with capital injections (2008)Optimal dividend strategies i…Stochastic Control in Insurance (2007)Stochastic Control in Insuran…Some Optimal Dividends Problems (2004)Some Optimal Dividends Proble…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Ruin Probabilities (2000)Ruin ProbabilitiesStochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…On the Time Value of Ruin (1998)On the Time Value of RuinAspects of Risk Theory (1991)Aspects of Risk TheoryPoint Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Point Processes and Queues (1981)Point Processes and QueuesIntroduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)An introduction to mathematical risk theory (1979)Option pricing by Esscher transforms. (1995)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Loss Models: From Data to Decisions (1999)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Strategies for Dividend Distribution: A Review (2009)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)Optimality results for dividend problems in insurance (2009)Optimality of the threshold dividend strategy for the compound Poisson model (2011)
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References

  • 1981Point Processes and Queues1,652 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 1991Aspects of Risk Theory902 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1998On the Time Value of Ruin786 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 2007Stochastic Control in Insurance268 cited
  • 2004Some Optimal Dividends Problems245 cited
  • 2008Optimal dividend strategies in a Cramér–Lundberg model with capital injections138 cited
  • 2000Ruin Probabilities103 cited

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