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Ruin problems with assets and liabilities of diffusion type

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1997Present value distributions with applications to ruin theory and stochastic equations84 cited
1998Ruin theory with compounding assets — a survey82 cited
2010

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Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model

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2004Ruin probabilities and penalty functions with stochastic rates of interest72 cited

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2008From light tails to heavy tails through multiplier58 cited

2009Continuous-time mean–variance portfolio selection with liability and regime switching50 cited

2012Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events42 cited

2011Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market40 cited

2010Optimal premium policy of an insurance firm: Full and partial information37 cited