| Publication | Date of Publication | Type |
|---|
Recursive utility using the stochastic maximum principle
Quantitative Economics | 2018-09-12 | Paper |
LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL
ASTIN Bulletin | 2018-06-04 | Paper |
Life insurance and pension contracts. II: The life cycle model with recursive utility
ASTIN Bulletin | 2018-06-04 | Paper |
The investment horizon problem: a possible resolution
Stochastics | 2017-04-11 | Paper |
Strategic insider trading equilibrium: a filter theory approach
Afrika Matematika | 2013-04-08 | Paper |
Partially informed noise traders
Mathematics and Financial Economics | 2013-02-26 | Paper |
An anticipative linear filtering equation
Systems \& Control Letters | 2011-07-27 | Paper |
The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Existence and uniqueness of equilibrium in a reinsurance syndicate
| 2011-02-01 | Paper |
ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA
Mathematical Finance | 2008-04-30 | Paper |
New Econ for Life Actuaries
ASTIN Bulletin | 2005-03-30 | Paper |
Perspectives of Risk Sharing
Scandinavian Actuarial Journal | 2003-02-06 | Paper |
Representative agent pricing of financial assets based on Lévy processes with normal inverse Gaussian marginals
Annals of Operations Research | 2003-01-27 | Paper |
An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
Insurance Mathematics \& Economics | 2002-10-10 | Paper |
Using the Donsker delta function to compute hedging strategies
Potential Analysis | 2002-01-02 | Paper |
Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
Mathematical Finance | 2002-01-01 | Paper |
On the St. Petersburg Paradox
Scandinavian Actuarial Journal | 2001-09-16 | Paper |
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
Finance and Stochastics | 2001-03-01 | Paper |
A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
Mathematical Finance | 1998-01-21 | Paper |
scientific article; zbMATH DE number 850211 (Why is no real title available?)
| 1996-03-04 | Paper |
Pricing of Unit-linked Life Insurance Policies
Scandinavian Actuarial Journal | 1995-06-18 | Paper |
scientific article; zbMATH DE number 591098 (Why is no real title available?)
| 1994-08-03 | Paper |
Contingent claims valuation when the security price is a combination of an Itō process and a random point process
Stochastic Processes and their Applications | 1988-01-01 | Paper |
Admissible investment strategies in continuous trading
Stochastic Processes and their Applications | 1988-01-01 | Paper |
A new method for valueing underwriting agreements for rights issues
Insurance Mathematics \& Economics | 1988-01-01 | Paper |
Stochastic control of geometric processes
Journal of Applied Probability | 1987-01-01 | Paper |
Ruin problems and myopic portfolio optimization in continuous trading
Stochastic Processes and their Applications | 1986-01-01 | Paper |
R&D projects analyzed by semimartingale methods
Journal of Applied Probability | 1985-01-01 | Paper |
Accumulated claims and collective risk in insurance: Higher order asymptotic approximations
Scandinavian Actuarial Journal | 1985-01-01 | Paper |
Optimum portfolio diversification in a general continuous-time model
Stochastic Processes and their Applications | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3831131 (Why is no real title available?)
| 1983-01-01 | Paper |
Stochastic continuous-time model reference adaptive systems with decreasing gain
Advances in Applied Probability | 1982-01-01 | Paper |
Model reference adaptive systems applied to regression analyses
Statistica Neerlandica | 1981-01-01 | Paper |
A conditional expectation formula for diffusion processes
Journal of Applied Probability | 1977-01-01 | Paper |
Conditioned moments of time to fixation
Journal of Mathematical Biology | 1977-01-01 | Paper |
A note on a singular diffusion equation in population genetics
Journal of Applied Probability | 1976-01-01 | Paper |
