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Stochastic Control in Insurance
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Stochastic Control in Insurance (2007)Stochastic Control in InsuranceRobust optimal reinsurance–investment strategy with price jumps and correlated claims (2020)Robust optimal reinsurance–in…Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle (2019)Optimal dynamic reinsurance p…Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2015)Time-consistent mean-variance…Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (2015)Robust optimal portfolio and …Optimal dividend problems for a jump-diffusion model with captial injections and proportional transaction costs (2014)Optimal dividend problems for…Optimal dividend distribution under Markov regime switching (2012)Optimal dividend distribution…Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes (2012)Optimal Control with Absolute…Optimality of the threshold dividend strategy for the compound Poisson model (2011)Optimality of the threshold d…Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle (2011)Optimal reinsurance and divid…Classical and singular stochastic control for the optimal dividend policy when there is regime switching (2011)Classical and singular stocha…Optimality results for dividend problems in insurance (2009)Optimality results for divide…Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints (2008)Optimal investment strategy t…Optimal Dividends in the Dual Model with Diffusion (2008)Optimal Dividends in the Dual…Optimal dividend strategies in a Cramér–Lundberg model with capital injections (2008)Optimal dividend strategies i…Optimal dividend strategies for a risk process under force of interest (2008)Optimal dividend strategies f…A Risk Model with Multilayer Dividend Strategy (2007)A Risk Model with Multilayer …Dividend Policy, Growth, and the Valuation of Shares (1961)Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)De Finetti’s optimal dividends problem with an affine penalty function at ruin (2009)Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs (2011)Brownian motion and stochastic calculus (1991)Controlled Markov Processes and Viscosity Solutions (2005)Brownian Motion and Stochastic Calculus (2007)A reinsurance game between two insurance companies with nonlinear risk processes (2015)Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2018)Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insurance and Finance (2001)Some Optimal Dividends Problems (2004)Controlled markov processes and viscosity solutions (1994)Financial Modelling with Jump Processes (2003)On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty function (2011)Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process (2013)On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (2015)Optimization of the flow of dividends (1995)Controlled diffusion models for optimal dividend pay-out (1997)On the Time Value of Ruin (1998)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Limit Theorems for Stochastic Processes (2003)Optimal dividend policy with random interest rates (2014)Optimal reinsurance and asset allocation under regime switching (2015)Stochastic Integration and Differential Equations (2005)Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk (2016)Optimal mean–variance investment and reinsurance problem for an insurer with stochastic volatility (2018)Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities (2018)Russian and American put options under exponential phase-type Lévy models (2003)Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk Theory. (1971)Optimal Dividends (2004)Optimal dividends in the dual model under transaction costs (2013)
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  • 2019Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle60 cited
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Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
60 cited
  • 2011Classical and singular stochastic control for the optimal dividend policy when there is regime switching58 cited
  • 2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims51 cited