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Optimal reinsurance and asset allocation under regime switching
16 references·0 citing·44 second hop
Optimal reinsurance and asset allocation under regime switching (2015)Optimal reinsurance and asset allocation …Asset allocation under multivariate regime switching (2007)Asset allocation under multiv…On Optimal Dividend Strategies In The Compound Poisson Model (2006)On Optimal Dividend Strategie…OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)OPTIMAL REINSURANCE AND DIVID…Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Minimizing the Probability of…UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)UNCERTAINTY AND THE WELFARE E…On minimizing the ruin probability by investment and reinsurance (2002)On minimizing the ruin probab…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Uncertainty and The Welfare Economics of Medical Care (2001)Uncertainty and The Welfare E…Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Proportional Reinsura…Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation (2000)Optimal risk control and divi…No news is good news (1992)No news is good newsAspects of Risk Theory (1991)Aspects of Risk TheoryWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The safety loading of reinsurance premiums (1960)The safety loading of reinsur…Essays in Positive Economics. (1954)The Strategy of Conflict (1960)Economic Welfare and the Allocation of Resources for Invention (1962)Chapter 11 The anatomy of health insurance (2000)Handbook of Health Economics (2001)Why Some Things Should Not Be for Sale (2010)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Point Processes and Queues (1981)Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insurance and Finance (2001)Optimal investment for insurer with jump-diffusion risk process (2005)Optimality results for dividend problems in insurance (2009)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Learning in Financial Markets (2009)Asset market linkages: Evidence from financial, commodity and real estate assets (2010)Forecasting realized volatility in a changing world: A dynamic model averaging approach (2015)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Health insurance and the demand for medical care: evidence from a randomized experiment. (1987)The Theory of Incentives: The Principal-Agent Model (2001)Information and the Change in the Paradigm in Economics (2002)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2003UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE4,078 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1992No news is good news1,929 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2001Uncertainty and The Welfare Economics of Medical Care1,467 cited
  • 1991Aspects of Risk Theory902 cited
  • 2007Asset allocation under multivariate regime switching427 cited
  • 2002On minimizing the ruin probability by investment and reinsurance333 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 1960The safety loading of reinsurance premiums282 cited
  • 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 cited
  • 2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation252 cited
  • 2005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL246 cited

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  • 2006On Optimal Dividend Strategies In The Compound Poisson Model239 cited
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