| Publication | Date of Publication | Type |
|---|
Optimal dividend policies with transaction costs for a class of jump-diffusion processes
Finance and Stochastics | 2013-02-07 | Paper |
Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
Finance and Stochastics | 2012-11-15 | Paper |
On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
Stochastic Processes and their Applications | 2012-10-26 | Paper |
| On maximum likelihood and pseudo-maximum likelihood estimation in compound insurance models with deductibles | 2011-06-15 | Paper |
Optimal dividend policies with transaction costs for a class of diffusion processes
SIAM Journal on Control and Optimization | 2011-03-21 | Paper |
Ruin models with investment income
Probability Surveys | 2010-06-29 | Paper |
Ruin models with investment income
Probability Surveys | 2010-06-29 | Paper |
Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
SIAM Journal on Control and Optimization | 2009-09-29 | Paper |
Fitting mixed-effects models when data are left truncated
Insurance Mathematics & Economics | 2008-08-18 | Paper |
| Numerical ultimate ruin probabilities under interest force | 2007-11-14 | Paper |
Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
Advances in Applied Probability | 2007-11-12 | Paper |
A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
Insurance Mathematics & Economics | 2007-05-24 | Paper |
Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
Optimal control of risk exposure, reinsurance and investments for insurance portfolios
Insurance Mathematics & Economics | 2004-11-29 | Paper |
Optimal dividend payouts for diffusions with solvency constraints
Finance and Stochastics | 2004-03-16 | Paper |
Simulating Ruin Probabilities for a Class of Semimartingales by Importance Sampling Methods
Scandinavian Actuarial Journal | 2004-03-16 | Paper |
On Cramér-like asymptotics for risk processes with stochastic return on investments
The Annals of Applied Probability | 2003-05-06 | Paper |
Markov Chain Monte Carlo simulation of the distribution of some perpetuities
Advances in Applied Probability | 2002-02-17 | Paper |
Present value distributions with applications to ruin theory and stochastic equations
Stochastic Processes and their Applications | 2000-03-01 | Paper |
Present value of some insurance portfolios
Scandinavian Actuarial Journal | 2000-01-10 | Paper |
Sharp conditions for certain ruin in a risk process with stochastic return on investments
Stochastic Processes and their Applications | 1999-11-18 | Paper |
Optimal choice of dividend barriers for a risk process with stochastic return on investments
Insurance Mathematics & Economics | 1998-09-07 | Paper |
| scientific article; zbMATH DE number 1165663 (Why is no real title available?) | 1998-06-14 | Paper |
Ruin theory with stochastic return on investments
Advances in Applied Probability | 1998-06-11 | Paper |
Ruin theory with compounding assets -- a survey
Insurance Mathematics & Economics | 1998-01-01 | Paper |
On the distribution of a randomly discounted compound Poisson process
Stochastic Processes and their Applications | 1996-08-05 | Paper |
Optimal per claim deductibility in insurance with the possibility of risky investments
Insurance Mathematics & Economics | 1996-05-06 | Paper |
Properties of functions of the excess of loss retention limit with applications
Insurance Mathematics & Economics | 1995-01-09 | Paper |
Risk theory in a stochastic economic environment
Stochastic Processes and their Applications | 1993-12-19 | Paper |
| scientific article; zbMATH DE number 3907620 (Why is no real title available?) | 1985-01-01 | Paper |
LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
Journal of Time Series Analysis | 1985-01-01 | Paper |
ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
Journal of Time Series Analysis | 1984-01-01 | Paper |
Bias of some commonly-used time series estimates
Biometrika | 1983-01-01 | Paper |
EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
Journal of Time Series Analysis | 1982-01-01 | Paper |
