Q5157685 (Q5157685): Difference between revisions

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+A note on scale functions and the time value of ruin for Lévy insurance risk processes
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+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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+Optimal stop-loss reinsurance: a dependence analysis
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+Financial Modelling with Jump Processes
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+Controlled Markov processes and viscosity solutions
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+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
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+Martingales and arbitrage in multiperiod securities markets
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+Stochastic control for optimal new business
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Applied stochastic control of jump diffusions.
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+Unifying framework for optimal insurance
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+Optimal Proportional Reinsurance Policies in a Dynamic Setting
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+Stochastic Optimal Control and the U.S. Financial Debt Crisis
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+Optimal risk and dividend distribution control models for an insurance company
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+Optimal investment for an insurer with exponential utility preference
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+Optimal investment for an insurer: the martingale approach
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+Optimal investment for insurer with jump-diffusion risk process
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+Optimal investment and risk control policies for an insurer: expected utility maximization
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+Explicit solutions of optimal consumption, investment and insurance problems with regime switching
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