| Publication | Date of Publication | Type |
|---|
Regularity of a best-of option's payoff
| 2025-01-17 | Paper |
Time-inconsistent view on a dividend problem with penalty
Scandinavian Actuarial Journal | 2023-09-11 | Paper |
The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
Methodology and Computing in Applied Probability | 2023-07-04 | Paper |
Ruin probabilities in a Markovian shot-noise environment
Journal of Applied Probability | 2023-05-08 | Paper |
Exact asymptotics of ruin probabilities with linear Hawkes arrivals
| 2023-04-06 | Paper |
A mean-field extension of the LIBOR market model
International Journal of Theoretical and Applied Finance | 2022-03-29 | Paper |
“On the Merger of Two Companies,” Hans Gerber and Elias S. W. Shiu, July 2006
North American Actuarial Journal | 2022-01-10 | Paper |
On a dividend problem with random funding
European Actuarial Journal | 2020-03-06 | Paper |
Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model
Insurance Mathematics \& Economics | 2019-06-17 | Paper |
Approximation methods for piecewise deterministic Markov processes and their costs
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
Integral equations, quasi-Monte Carlo methods and risk modeling
Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan | 2019-01-22 | Paper |
An Extremal Problem in Uniform Distribution Theory
Uniform distribution theory | 2018-03-05 | Paper |
An optimal reinsurance problem in the Cramér-Lundberg model
Mathematical Methods of Operations Research | 2017-08-11 | Paper |
Distribution functions, extremal limits and optimal transport
Indagationes Mathematicae. New Series | 2015-12-08 | Paper |
On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion
Electronic Communications in Probability | 2015-02-03 | Paper |
Optimal investment under transaction costs for an insurer
European Actuarial Journal | 2015-01-22 | Paper |
Optimal consumption under deterministic income
Journal of Optimization Theory and Applications | 2014-07-04 | Paper |
Bayesian dividend optimization and finite time ruin probabilities
Stochastic Models | 2014-06-25 | Paper |
Randomized observation periods for the compound Poisson risk model: the discounted penalty function
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
On optimal dividend strategies in insurance with an random time horizon
| 2013-06-12 | Paper |
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
Stochastic Models | 2013-02-11 | Paper |
Randomized onservation periods for the compound Poisson risk model: dividends
ASTIN Bulletin | 2012-06-11 | Paper |
Optimal dividend-payout in random discrete time
Statistics & Risk Modeling | 2011-12-19 | Paper |
Risk averse asymptotics in a Black--Scholes market on a finite time horizon
Mathematical Methods of Operations Research | 2011-09-20 | Paper |
Optimality results for dividend problems in insurance
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas | 2010-01-27 | Paper |
On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model
| 2009-01-28 | Paper |
Optimal dividend strategies for a risk process under force of interest
Insurance Mathematics \& Economics | 2008-08-18 | Paper |
Dividend maximization under consideration of the time value of ruin
Insurance Mathematics \& Economics | 2007-07-19 | Paper |
The Mean Field Market Model Revisited
| N/A | Paper |
