| Publication | Date of Publication | Type |
|---|
Optimisation of drawdowns by generalised reinsurance in the classical risk model
Decisions in Economics and Finance | 2023-11-17 | Paper |
Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
Journal of Applied Probability | 2022-07-08 | Paper |
Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times
Scandinavian Actuarial Journal | 2022-06-20 | Paper |
Mortality options: the point of view of an insurer
Insurance Mathematics & Economics | 2021-03-17 | Paper |
Optimal capital injections and dividends with tax in a risk model in discrete time
European Actuarial Journal | 2020-11-04 | Paper |
Optimal reinsurance and investment in a diffusion model
Decisions in Economics and Finance | 2020-07-08 | Paper |
Dividends with tax and capital injection in a spectrally negative Lévy risk model
Theory of Probability and Mathematical Statistics | 2018-10-10 | Paper |
On capital injections and dividends with tax in a diffusion approximation
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Risk theory
Springer Actuarial | 2018-01-22 | Paper |
On optimal dividends with exponential and linear penalty payments
Insurance Mathematics & Economics | 2017-01-31 | Paper |
On capital injections and dividends with tax in a classical risk model
Insurance Mathematics & Economics | 2016-12-14 | Paper |
A note on Gerber-Shiu functions with an application
EAA Series | 2015-10-15 | Paper |
Extended Gerber-Shiu functions in a risk model with interest
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times
North American Actuarial Journal | 2014-07-19 | Paper |
Minimising expected discounted capital injections by reinsurance in a classical risk model
Scandinavian Actuarial Journal | 2013-12-13 | Paper |
On the Gerber-Shiu function and change of measure
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Conditional law of risk processes given that ruin occurs
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
Journal of Applied Probability | 2011-10-25 | Paper |
Ruin probabilities in a diffusion environment
Journal of Applied Probability | 2011-10-25 | Paper |
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
European Actuarial Journal | 2011-08-25 | Paper |
Optimal dividend strategies in a Cramér-Lundberg model with capital injections
Insurance Mathematics & Economics | 2010-06-08 | Paper |
Optimal control of capital injections by reinsurance in a diffusion approximation
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2010-01-29 | Paper |
| On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance | 2009-02-28 | Paper |
| scientific article; zbMATH DE number 5486279 (Why is no real title available?) | 2009-01-07 | Paper |
On the Distribution of the Surplus Prior and at Ruin
ASTIN Bulletin | 2008-02-27 | Paper |
| scientific article; zbMATH DE number 5223066 (Why is no real title available?) | 2008-01-03 | Paper |
Optimisation in Non-Life Insurance
Stochastic Models | 2007-02-15 | Paper |
Asymptotics of ruin probabilities for controlled risk processes in the small claims case
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
On optimal investment and subexponential claims
Insurance Mathematics & Economics | 2005-08-01 | Paper |
On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
ASTIN Bulletin | 2005-03-30 | Paper |
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
Queueing Systems | 2004-08-10 | Paper |
On minimizing the ruin probability by investment and reinsurance
The Annals of Applied Probability | 2003-05-06 | Paper |
Pricing catastrophe insurance products based on actually reported claims
Insurance Mathematics & Economics | 2002-10-10 | Paper |
Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
Insurance Mathematics & Economics | 2002-03-03 | Paper |
Optimal Proportional Reinsurance Policies in a Dynamic Setting
Scandinavian Actuarial Journal | 2001-09-16 | Paper |
Compound sums and subexponentiality
Bernoulli | 2000-12-03 | Paper |
Tail probabilities for non-standard risk and queueing processes with subexponential jumps
Advances in Applied Probability | 2000-08-16 | Paper |
| scientific article; zbMATH DE number 1475711 (Why is no real title available?) | 2000-07-12 | Paper |
Estimation of the Lundberg coefficient for a Markov modulated risk model
Scandinavian Actuarial Journal | 1999-11-28 | Paper |
| scientific article; zbMATH DE number 1249326 (Why is no real title available?) | 1999-02-07 | Paper |
An extension to the renewal theorem and an application to risk theory
The Annals of Applied Probability | 1997-11-10 | Paper |
| scientific article; zbMATH DE number 1066304 (Why is no real title available?) | 1997-09-25 | Paper |
Bayesian analysis of reduced rank regression
Test | 1996-11-17 | Paper |
Lundberg inequalities for a Cox model with a piecewise constant intensity
Journal of Applied Probability | 1996-09-16 | Paper |
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
Insurance Mathematics & Economics | 1996-05-20 | Paper |
Saddlepoint approximations for the probability of ruin in finite time
Scandinavian Actuarial Journal | 1996-05-06 | Paper |
| scientific article; zbMATH DE number 679624 (Why is no real title available?) | 1995-07-13 | Paper |
Ruin estimation for a general insurance risk model
Advances in Applied Probability | 1995-04-26 | Paper |
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
Insurance Mathematics & Economics | 1995-01-09 | Paper |
| scientific article; zbMATH DE number 679625 (Why is no real title available?) | 1994-10-30 | Paper |
Diffusion approximations for a risk process with the possibility of borrowing and investment
Communications in Statistics. Stochastic Models | 1994-08-11 | Paper |
Modelling of extremal events in insurance and finance
ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research | 1994-04-28 | Paper |
Finite-time Lundberg inequalities in the Cox case
Scandinavian Actuarial Journal | 1994-04-26 | Paper |
