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Gerber–Shiu Risk Theory
16 references·1 citing·34 second hop
Gerber–Shiu Risk Theory (2013)Gerber–Shiu Risk TheoryOn optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)On optimality of the barrier …On the optimal dividend problem for a spectrally negative Lévy process (2007)On the optimal dividend probl…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…Insurance Risk and Ruin (2005)Insurance Risk and RuinSome Optimal Dividends Problems (2004)Some Optimal Dividends Proble…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…On the Time Value of Ruin (1998)On the Time Value of RuinThe joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)The joint distribution of the…Controlled diffusion models for optimal dividend pay-out (1997)Controlled diffusion models f…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Optimization of the flow of dividends (1995)Optimization of the flow of d…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Stochastic Processes in Queueing Theory (1976)Stochastic Processes in Queue…Fluctuation theory in continuous time (1975)Fluctuation theory in continu…On the probability function in the collective theory of risk (1932)On the probability function i…Alpha-robust mean-variance reinsurance-investment strategy (2016)Alpha-robust mean-variance re…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)An introduction to mathematical risk theory (1979)Optimal Dividends (2004)Fluctuations of Lévy Processes with Applications (2014)Brownian Motion and Stochastic Flow Systems. (1987)Controlled markov processes and viscosity solutions (1994)Controlled Markov Processes and Viscosity Solutions (2005)Optimal investment for insurer with jump-diffusion risk process (2005)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Controlled Diffusion Processes (1980)Applied Probability and Queues (1987)Stochastic Integration and Differential Equations (2005)Strategies for Dividend Distribution: A Review (2009)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Loss Models: From Data to Decisions (1999)Stochastic Processes for Insurance and Finance (2001)Maximizing Dividends without Bankruptcy (2006)On a risk model with dependence between interclaim arrivals and claim sizes (2006)The compound binomial risk model with time-correlated claims (2006)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Pricing contingent claims on stocks driven by Lévy processes (1999)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The cumulant process and Esscher's change of measure (2002)Approximating a Point Process by a Renewal Process, I: Two Basic Methods (1982)Martingale Methods in Financial Modelling (1997)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1998On the Time Value of Ruin786 cited
  • 1976Stochastic Processes in Queueing Theory674 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 1997Controlled diffusion models for optimal dividend pay-out396 cited
  • 1932On the probability function in the collective theory of risk376 cited
  • 1995Optimization of the flow of dividends320 cited
  • 2007On the optimal dividend problem for a spectrally negative Lévy process302 cited
  • 2005Insurance Risk and Ruin264 cited
  • 2005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL246 cited
  • 2004Some Optimal Dividends Problems245 cited
  • 2006On Optimal Dividend Strategies In The Compound Poisson Model239 cited
  • 2008On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes216 cited
  • 1997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin205 cited
  • 1975

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Fluctuation theory in continuous time
179 cited

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  • 2016Alpha-robust mean-variance reinsurance-investment strategy55 cited