| Publication | Date of Publication | Type |
|---|
Strategic underreporting and optimal deductible insurance
ASTIN Bulletin | 2025-01-22 | Paper |
Reinsurance games with \(n\) variance-premium reinsurers: from tree to chain
ASTIN Bulletin | 2024-07-09 | Paper |
Short communication: optimal insurance to maximize exponential utility when premium is computed by a convex functional
SIAM Journal on Financial Mathematics | 2024-05-06 | Paper |
Stackelberg reinsurance chain under model ambiguity
Scandinavian Actuarial Journal | 2024-04-10 | Paper |
Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
Insurance Mathematics & Economics | 2023-10-12 | Paper |
Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
Journal of Applied Probability | 2023-08-16 | Paper |
Stackelberg differential game for insurance under model ambiguity: general divergence
Scandinavian Actuarial Journal | 2023-07-12 | Paper |
Approximating the classical risk process by stable Lévy motion
Scandinavian Actuarial Journal | 2023-07-12 | Paper |
Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
Scandinavian Actuarial Journal | 2023-07-12 | Paper |
Reinsurance games with two reinsurers: tree versus chain
European Journal of Operational Research | 2023-07-11 | Paper |
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Optimal Dividends Under Model Uncertainty
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
SIAM Journal on Financial Mathematics | 2023-03-31 | Paper |
Stackelberg differential game for insurance under model ambiguity
Insurance Mathematics & Economics | 2022-09-14 | Paper |
A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
ASTIN Bulletin | 2022-06-13 | Paper |
Optimal insurance to maximize RDEU under a distortion-deviation premium principle
Insurance Mathematics & Economics | 2022-05-12 | Paper |
Optimal investment and consumption under a habit-formation constraint
SIAM Journal on Financial Mathematics | 2022-04-21 | Paper |
Discounted probability of exponential Parisian ruin: diffusion approximation
Journal of Applied Probability | 2022-04-01 | Paper |
Stackelberg differential game for reinsurance: mean-variance framework and random horizon
Insurance Mathematics & Economics | 2022-03-10 | Paper |
Minimizing the probability of lifetime ruin with deferred life annuities
North American Actuarial Journal | 2022-02-11 | Paper |
Minimizing the probability of lifetime ruin under random consumption
North American Actuarial Journal | 2022-01-19 | Paper |
Minimizing the probability of ruin when consumption is ratcheted
North American Actuarial Journal | 2022-01-19 | Paper |
Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
North American Actuarial Journal | 2021-12-22 | Paper |
Bowley solution of a mean-variance game in insurance
Insurance Mathematics & Economics | 2021-06-21 | Paper |
Optimal dividend problem: asymptotic analysis
SIAM Journal on Financial Mathematics | 2021-05-28 | Paper |
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
Scandinavian Actuarial Journal | 2020-12-16 | Paper |
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
Annals of Finance | 2020-04-20 | Paper |
Minimizing the discounted probability of exponential Parisian ruin via reinsurance
SIAM Journal on Control and Optimization | 2020-04-01 | Paper |
Minimizing the probability of lifetime exponential Parisian ruin
Journal of Optimization Theory and Applications | 2020-02-26 | Paper |
REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
ASTIN Bulletin | 2020-02-03 | Paper |
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
ASTIN Bulletin | 2019-11-22 | Paper |
Optimal dividends with an affine penalty
Journal of Applied Mathematics and Computing | 2019-08-14 | Paper |
Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
Insurance Mathematics & Economics | 2019-06-17 | Paper |
Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis
North American Actuarial Journal | 2019-05-28 | Paper |
Purchasing term life insurance to reach a bequest goal: time-dependent case
North American Actuarial Journal | 2019-05-28 | Paper |
Life insurance purchasing to maximize utility of household consumption
North American Actuarial Journal | 2019-05-15 | Paper |
Optimal purchasing of deferred income annuities when payout yields are mean-reverting
Review of Finance | 2018-11-20 | Paper |
Equilibrium strategies for the mean-variance investment problem over a random horizon
SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
Minimizing the probability of ruin: optimal per-loss reinsurance
Insurance Mathematics & Economics | 2018-10-19 | Paper |
Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
Statistics & Probability Letters | 2018-06-21 | Paper |
Target-bequest investment and insurance fund
North American Actuarial Journal | 2018-06-20 | Paper |
Annuitization and asset allocation under exponential utility
Insurance Mathematics & Economics | 2018-04-12 | Paper |
Purchasing casualty insurance to avoid lifetime ruin
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Optimality of excess-loss reinsurance under a mean-variance criterion
Insurance Mathematics & Economics | 2017-07-17 | Paper |
Optimally investing to reach a bequest goal
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Lifetime ruin under ambiguous hazard rate
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal investment to minimize the probability of drawdown
Stochastics | 2016-11-25 | Paper |
Minimizing lifetime poverty with a penalty for bankruptcy
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Minimizing the probability of lifetime drawdown under constant consumption
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Hedging pure endowments with mortality derivatives
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Purchasing term life insurance to reach a bequest goal while consuming
SIAM Journal on Financial Mathematics | 2016-05-20 | Paper |
Book review of: V. I. Rotar, Actuarial models: the mathematics of insurance. 2nd ed.
SIAM Review | 2016-05-10 | Paper |
Purchasing life insurance to reach a bequest goal
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Proving regularity of the minimal probability of ruin via a game of stopping and control
Finance and Stochastics | 2014-12-18 | Paper |
Maximizing the utility of consumption with commutable life annuities
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Optimal risk sharing under distorted probabilities
Mathematics and Financial Economics | 2013-01-20 | Paper |
Dividends and reinsurance under a penalty for ruin
Insurance Mathematics & Economics | 2012-05-11 | Paper |
Optimal commutable annuities to minimize the probability of lifetime ruin
Insurance Mathematics & Economics | 2012-04-18 | Paper |
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Annals of Finance | 2012-03-06 | Paper |
Minimizing the probability of lifetime ruin under stochastic volatility
Insurance Mathematics & Economics | 2011-08-02 | Paper |
Optimal investment strategy to minimize occupation time
Annals of Operations Research | 2010-09-20 | Paper |
Comonotonicity and maximal stop-loss premiums
| 2010-05-27 | Paper |
Erratum to: ``Annuitization and asset allocation: [Journal of Economic Dynamics \& Control 31 (9) (2007) 3138-3177]
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Annuitization and asset allocation
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
Robust Bayesian Credibility Using Semiparametric Models
ASTIN Bulletin | 2009-06-15 | Paper |
Minimizing the lifetime shortfall or shortfall at death
Insurance Mathematics & Economics | 2009-06-10 | Paper |
Optimal reinsurance strategy under fixed cost and delay
Stochastic Processes and their Applications | 2009-04-02 | Paper |
Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Indifference prices of structured catastrophe (CAT) bonds
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
North American Actuarial Journal | 2008-08-12 | Paper |
Correspondence between lifetime minimum wealth and utility of consumption
Finance and Stochastics | 2007-12-16 | Paper |
Minimizing the probability of lifetime ruin under borrowing constraints
Insurance Mathematics & Economics | 2007-07-19 | Paper |
Credibility ratemaking using collateral information
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
Unifying framework for optimal insurance
Insurance Mathematics & Economics | 2007-05-24 | Paper |
Pricing equity-linked pure endowments with risky assets that follow Lévy processes
Insurance Mathematics & Economics | 2007-05-24 | Paper |
Hedging life insurance with pure endowments
Insurance Mathematics & Economics | 2007-05-23 | Paper |
ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
Mathematical Finance | 2007-02-22 | Paper |
The timing of annuitization: Investment dominance and mortality risk
Insurance Mathematics & Economics | 2007-02-19 | Paper |
Optimal insurance in a continuous-time model
Insurance Mathematics & Economics | 2006-10-05 | Paper |
Supermodular functions on finite lattices
Order | 2006-06-26 | Paper |
Case Studies Using Panel Data Models
North American Actuarial Journal | 2006-01-13 | Paper |
Credibility Using a Loss Function from Spline Theory
North American Actuarial Journal | 2006-01-13 | Paper |
Credibility in Favor of Unlucky Insureds
North American Actuarial Journal | 2006-01-13 | Paper |
Forecasting Social Security Actuarial Assumptions
North American Actuarial Journal | 2006-01-13 | Paper |
A Bayesian Approach to Understanding Time Series Data
North American Actuarial Journal | 2006-01-13 | Paper |
“Pricing Perpetual Fund Protection with Withdrawal Option,” Hans U. Gerber and Elias S. W. Shiu, April 2003
North American Actuarial Journal | 2006-01-06 | Paper |
Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
North American Actuarial Journal | 2006-01-06 | Paper |
Optimal Design of a Perpetual Equity-Indexed Annuity
North American Actuarial Journal | 2006-01-06 | Paper |
Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
North American Actuarial Journal | 2006-01-05 | Paper |
Decomposition properties of dual choice functionals
Social Choice and Welfare | 2005-10-19 | Paper |
PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
Mathematical Finance | 2005-05-09 | Paper |
Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
Scandinavian Actuarial Journal | 2004-03-16 | Paper |
Pricing equity-linked pure endowments via the principle of equivalent utility.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
Measurement of relative inequity and Yaari's dual theory of risk.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Equity and Exact Credibility
ASTIN Bulletin | 2003-08-10 | Paper |
Equity and Credibility
Scandinavian Actuarial Journal | 2001-09-16 | Paper |
Axiomatic characterization of insurance prices
Insurance Mathematics & Economics | 2001-05-02 | Paper |
A longitudinal data analysis interpretation of credibility models
Insurance Mathematics & Economics | 2000-10-12 | Paper |
Optimal insurance under Wang's premium principle.
Insurance Mathematics & Economics | 2000-01-31 | Paper |
Credibility using a loss function from Spline theory
Scandinavian Actuarial Journal | 2000-01-31 | Paper |
Credibility using semiparametric models and a loss function with a constancy penalty
Insurance Mathematics & Economics | 2000-01-01 | Paper |
Computation of distorted probabilities for diffusion processes via stochastic control methods.
Insurance Mathematics & Economics | 2000-01-01 | Paper |
Updating non-additive measures with fuzzy information
Fuzzy Sets and Systems | 1999-06-03 | Paper |
Risk-adjusted credibility premiums using distorted probabilities
Scandinavian Actuarial Journal | 1999-03-25 | Paper |
Families of update rules for non-additive measures: applications in pricing risks.
Insurance Mathematics & Economics | 1999-01-27 | Paper |
Ordering risks: expected utility theory versus Yaari's dual theory of risk
Insurance Mathematics & Economics | 1998-01-01 | Paper |
Fuzzy subsethood
Fuzzy Sets and Systems | 1997-10-09 | Paper |
scientific article; zbMATH DE number 3917283 (Why is no real title available?)
Indiana University Mathematics Journal | 1985-01-01 | Paper |
Unoriented Branched Coverings Arising from Group Actions
| 1985-01-01 | Paper |
