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On absolute ruin minimization under a diffusion approximation model
11 references·0 citing·43 second hop
On absolute ruin minimization under a diffusion approximation model (2010)On absolute ruin minimization under a dif…On the time value of absolute ruin with debit interest (2007)On the time value of absolute…On reinsurance and investment for large insurance portfolios (2007)On reinsurance and investment…Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment (2007)Absolute Ruin Probabilities i…Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) (2005)Real Longevity Insurance with…Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Minimizing the Probability of…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Optimal dynamic reinsurance policies for large insurance portfolios (2003)Optimal dynamic reinsurance p…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Diffusion approximations for a risk process with the possibility of borrowing and investment (1994)Diffusion approximations for …Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Martingales and insurance risk (1989)Martingales and insurance riskThe Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)An introduction to mathematical risk theory (1979)Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insurance and Finance (2001)Ruin Minimization for Insurers with Borrowing Constraints (2008)On the expectation of total discounted operating costs up to default and its applications (2009)Stochastic controls : Hamiltonian systems and HJB equations (1999)Optimal investment–reinsurance policy for an insurance company with VaR constraint (2010)Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process (2011)Optimal reinsurance and investment with unobservable claim size and intensity (2014)Stochastic Differential Equations: Theory and Applications. (1976)Brownian motion and stochastic calculus (1991)Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Modelling of extremal events in insurance and finance (1994)On the Time Value of Ruin (1998)Ruin Probabilities (2000)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004)Constant elasticity of variance model for proportional reinsurance and investment strategies (2010)Mathematical Methods in Risk Theory (1970)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Classical risk theory in an economic environment (1987)Risk theory in a stochastic economic environment (1993)Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Life Cycle, Individual Thrift, and the Wealth of Nations (1986)New Evidence on the Money's Worth of Individual Annuities (1999)Behavioral Obstacles in the Annuity Market (2007)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)Optimal investment for insurers (2000)Exponential Hedging and Entropic Penalties (2002)Controlled diffusion models for optimal dividend pay-out (1997)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 2005Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)177 cited
  • 1989Martingales and insurance risk176 cited
  • 2003Optimal dynamic reinsurance policies for large insurance portfolios130 cited
  • 2007On reinsurance and investment for large insurance portfolios106 cited
  • 2007On the time value of absolute ruin with debit interest69 cited
  • 2007Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment61 cited
  • 1994Diffusion approximations for a risk process with the possibility of borrowing and investment49 cited

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