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Practical risk theory for actuaries.
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Practical risk theory for actuaries. (1994)Practical risk theory for actuaries.VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance (2009)VAR and CTE Criteria for Opti…Optimal proportional reinsurance and investment based on Hamilton–Jacobi–Bellman equation (2009)Optimal proportional reinsura…Optimal insurance in the presence of insurer’s loss limit (2009)Optimal insurance in the pres…actuar: AnRPackage for Actuarial Science (2008)actuar: AnRPackage for Actuar…Optimal reinsurance under convex principles of premium calculation (2005)Optimal reinsurance under con…Optimal reinsurance under general risk measures (2004)Optimal reinsurance under gen…Doubly periodic non-homogeneous Poisson models for hurricane data (2004)Doubly periodic non-homogeneo…Pricing of zero-coupon and coupon cat bonds (2003)Pricing of zero-coupon and co…Optimal reinsurance under mean-variance premium principles (2001)Optimal reinsurance under mea…Introduction to Dynamic Financial Analysis (2001)Introduction to Dynamic Finan…Finite and infinite time ruin probabilities in a stochastic economic environment (2001)Finite and infinite time ruin…Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution (2000)Robust and Efficient Estimati…Property insurance loss distributions (2000)Property insurance loss distr…Insurer’s optimal reinsurance strategies (2000)Insurer’s optimal reinsurance…A system approach to management of catastrophic risks (2000)A system approach to manageme…A discussion of parameter and model uncertainty in insurance (2000)A discussion of parameter and…An introduction to mathematical risk theory (1979)Loss Models: From Data to Decisions (1999)Modern Actuarial Risk Theory (2008)Composite Lognormal–Pareto model with random threshold (2010)New composite models for the Danish fire insurance data (2012)Modeling loss data using composite models (2014)Mathematical Methods in Risk Theory (1970)Axiomatic characterization of insurance prices (1997)Reinsurance Arrangements Maximizing Insurer's Survival Probability (2004)Optimal reinsurance with expectile (2015)Numerical Techniques for Stochastic Optimization (1988)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Aspects of Risk Theory (1991)Supply Chain Risk Management: Systematic literature review and a conceptual framework for capturing interdependencies between risks (2015)Controlled markov processes and viscosity solutions (1994)Controlled Markov Processes and Viscosity Solutions (2005)Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011)Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013)Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014)Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review and annotated bibliography (1990)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models (2009)Optimal investment and reinsurance of an insurer with model uncertainty (2009)Quantile Uncertainty and Value‐at‐Risk Model Risk (2012)Coherent Measures of Risk (1999)Uncertainty and The Welfare Economics of Medical Care (2001)UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)Optimal reinsurance under risk and uncertainty (2014)Robust and Pareto optimality of insurance contracts (2017)Stochastic Integration and Differential Equations (1990)Ruin theory with stochastic return on investments (1997)In the insurance business risky investments are dangerous (2002)Stochastic Integration and Differential Equations (2005)Approximation of the tail probability of randomly weighted sums and applications (2008)Ruin models with investment income (2008)Practical analysis of extreme values (1996)A robust estimator for the tail index of Pareto-type distributions (2007)On the favorable estimation for fitting heavy tailed data (2010)The harmonic moment tail index estimator: asymptotic distribution and robustness (2013)Modelling Extremal Events (1997)Stochastic Processes for Insurance and Finance (2001)Optimal reinsurance with general risk measures (2008)Optimal Reinsurance Revisited – A Geometric Approach (2010)Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Global Asset Liability Management (2003)The cost of capital, corporation finance and the theory of investment (2008)The one-year non-life insurance risk (2009)Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework (2012)
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56 cited
  • 2009Optimal insurance in the presence of insurer’s loss limit51 cited