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Stochastic control for optimal new business
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Stochastic control for optimal new business (2000)Stochastic control for optimal new busine…Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example (1999)Controlling Risk Exposure and…Optimal proportional reinsurance policies for diffusion models (1998)Optimal proportional reinsura…Optimal proportional reinsurance policies for diffusion models with transaction costs (1998)Optimal proportional reinsura…Controlled diffusion models for optimal dividend pay-out (1997)Controlled diffusion models f…Optimal investment-reinsurance with dynamic risk constraint and regime switching (2011)Optimal investment-reinsuranc…Stochastic Control with Application in Insurance (2004)Stochastic Control with Appli…Brownian Motion and Stochastic Flow Systems. (1987)Controlled markov processes and viscosity solutions (1994)Optimal Dividends (2004)Controlled Markov Processes and Viscosity Solutions (2005)Optimal investment for insurer with jump-diffusion risk process (2005)Fluctuations of Lévy Processes with Applications (2014)Mathematical Methods in Risk Theory (1970)An introduction to mathematical risk theory (1979)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal risk control for a large corporation in the presence of returns on investments (2001)Asymptotics of ruin probabilities for controlled risk processes in the small claims case (2004)Optimal investment and risk control policies for an insurer: Expected utility maximization (2014)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Optimal dynamic reinsurance policies for large insurance portfolios (2003)Stochastic Differential Equations (2003)CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM (2006)ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Stochastic Differential Equations: An Introduction with Applications. (1987)Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models (2005)Asymptotic and numerical analysis of the optimal investment strategy for an insurer (2006)Dynamic Pricing of General Insurance in a Competitive Market (2007)Optimal Bank Capital with Costly Recapitalization* (2006)Optimality results for dividend problems in insurance (2009)Strategies for Dividend Distribution: A Review (2009)
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References

  • 1997Controlled diffusion models for optimal dividend pay-out396 cited
  • 1999Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example217 cited
  • 1998Optimal proportional reinsurance policies for diffusion models144 cited
  • 1998Optimal proportional reinsurance policies for diffusion models with transaction costs81 cited

Cited by

  • 2004Stochastic Control with Application in Insurance33 cited
  • 2011Optimal investment-reinsurance with dynamic risk constraint and regime switching26 cited

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