Yuan, Yu; Li, Qicai Maximizing the goal-reaching probability before drawdown with borrowing constraint. (English) Zbl 07513725 AIMS Math. 6, No. 8, 8868-8882 (2021). MSC: 91G10 49L20 60H30 93E20 PDF BibTeX XML Cite \textit{Y. Yuan} and \textit{Q. Li}, AIMS Math. 6, No. 8, 8868--8882 (2021; Zbl 07513725) Full Text: DOI OpenURL
Li, Bohan; Guo, Junyi Optimal investment and reinsurance under the gamma process. (English) Zbl 1480.91220 Methodol. Comput. Appl. Probab. 23, No. 3, 893-923 (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G80 49L20 91B16 PDF BibTeX XML Cite \textit{B. Li} and \textit{J. Guo}, Methodol. Comput. Appl. Probab. 23, No. 3, 893--923 (2021; Zbl 1480.91220) Full Text: DOI OpenURL
Bosserhoff, Frank; Stadje, Mitja Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (English) Zbl 1479.91306 Insur. Math. Econ. 100, 130-146 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91G10 45K05 49L12 PDF BibTeX XML Cite \textit{F. Bosserhoff} and \textit{M. Stadje}, Insur. Math. Econ. 100, 130--146 (2021; Zbl 1479.91306) Full Text: DOI arXiv OpenURL
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Kazi-Tani, Nabil; Zhou, Chao Gambling for resurrection and the heat equation on a triangle. (English) Zbl 07410968 Appl. Math. Optim. 84, No. 3, 3111-3136 (2021). MSC: 60G44 49L20 35C10 PDF BibTeX XML Cite \textit{S. Ankirchner} et al., Appl. Math. Optim. 84, No. 3, 3111--3136 (2021; Zbl 07410968) Full Text: DOI HAL OpenURL
Lee, Junbeom; Yu, Xiang; Zhou, Chao Lifetime ruin under high-water mark fees and drift uncertainty. (English) Zbl 1471.91503 Appl. Math. Optim. 84, No. 3, 2743-2773 (2021). MSC: 91G10 49L25 PDF BibTeX XML Cite \textit{J. Lee} et al., Appl. Math. Optim. 84, No. 3, 2743--2773 (2021; Zbl 1471.91503) Full Text: DOI arXiv OpenURL
Keppo, Jussi; Reppen, A. Max; Soner, H. Mete Discrete dividend payments in continuous time. (English) Zbl 1471.91106 Math. Oper. Res. 46, No. 3, 895-911 (2021). MSC: 91B06 49N25 49L20 91B24 90C39 PDF BibTeX XML Cite \textit{J. Keppo} et al., Math. Oper. Res. 46, No. 3, 895--911 (2021; Zbl 1471.91106) Full Text: DOI arXiv OpenURL
Azcue, Pablo; Muler, Nora A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme. (English) Zbl 1468.49027 Appl. Math. Optim. 83, No. 3, 1613-1649 (2021). MSC: 49L12 49L25 35F21 91B64 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Appl. Math. Optim. 83, No. 3, 1613--1649 (2021; Zbl 1468.49027) Full Text: DOI arXiv OpenURL
Jiang, Xin; Yuen, Kam Chuen; Chen, Mi Optimal investment and reinsurance with premium control. (English) Zbl 1476.91128 J. Ind. Manag. Optim. 16, No. 6, 2781-2797 (2020). MSC: 91G05 49L20 91G10 93E20 PDF BibTeX XML Cite \textit{X. Jiang} et al., J. Ind. Manag. Optim. 16, No. 6, 2781--2797 (2020; Zbl 1476.91128) Full Text: DOI OpenURL
Li, Sheng; He, Yong Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model. (English) Zbl 1459.91162 Math. Probl. Eng. 2020, Article ID 9368346, 20 p. (2020). MSC: 91G05 49L12 93E20 PDF BibTeX XML Cite \textit{S. Li} and \textit{Y. He}, Math. Probl. Eng. 2020, Article ID 9368346, 20 p. (2020; Zbl 1459.91162) Full Text: DOI OpenURL
Zhang, Qiang; Chen, Ping Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps. (English) Zbl 1459.91169 Methodol. Comput. Appl. Probab. 22, No. 2, 777-801 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 49L20 60H30 60J74 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, Methodol. Comput. Appl. Probab. 22, No. 2, 777--801 (2020; Zbl 1459.91169) Full Text: DOI OpenURL
Landsman, Z.; Makov, U.; Shushi, T. Portfolio optimization by a bivariate functional of the mean and variance. (English) Zbl 1443.90271 J. Optim. Theory Appl. 185, No. 2, 622-651 (2020). MSC: 90C25 49N10 46B99 PDF BibTeX XML Cite \textit{Z. Landsman} et al., J. Optim. Theory Appl. 185, No. 2, 622--651 (2020; Zbl 1443.90271) Full Text: DOI OpenURL
Liang, Xiaoqing; Young, Virginia R. Minimizing the probability of lifetime exponential Parisian ruin. (English) Zbl 1433.91159 J. Optim. Theory Appl. 184, No. 3, 1036-1064 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 49K10 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, J. Optim. Theory Appl. 184, No. 3, 1036--1064 (2020; Zbl 1433.91159) Full Text: DOI arXiv OpenURL
Liang, Xiaoqing; Young, Virginia R. Minimizing the probability of lifetime ruin: two riskless assets with transaction costs. (English) Zbl 1429.49021 ASTIN Bull. 49, No. 3, 847-883 (2019). MSC: 49K10 49K20 49L20 91G10 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, ASTIN Bull. 49, No. 3, 847--883 (2019; Zbl 1429.49021) Full Text: DOI OpenURL
Asimit, Alexandru V.; Hu, Junlei; Xie, Yuantao Optimal robust insurance with a finite uncertainty set. (English) Zbl 1410.91254 Insur. Math. Econ. 87, 67-81 (2019). MSC: 91B30 90C90 49N90 91G60 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Insur. Math. Econ. 87, 67--81 (2019; Zbl 1410.91254) Full Text: DOI Link OpenURL
Guo, Jie; Dong, Yinghui; Wang, Guojing Basket CDS pricing with default intensities using a regime-switching shot-noise model. (English) Zbl 07405705 Commun. Stat., Theory Methods 47, No. 18, 4443-4458 (2018). MSC: 62-XX 44A10 49K15 PDF BibTeX XML Cite \textit{J. Guo} et al., Commun. Stat., Theory Methods 47, No. 18, 4443--4458 (2018; Zbl 07405705) Full Text: DOI OpenURL
Guo, Chang; Zhuo, Xiaoyang; Constantinescu, Corina; Pamen, Olivier Menoukeu Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation. (English) Zbl 1411.91281 Methodol. Comput. Appl. Probab. 20, No. 4, 1477-1502 (2018). MSC: 91B30 49L20 90C39 91G80 91G30 PDF BibTeX XML Cite \textit{C. Guo} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1477--1502 (2018; Zbl 1411.91281) Full Text: DOI OpenURL
Moreno-Franco, Harold A. Solution to HJB equations with an elliptic integro-differential operator and gradient constraint. (English) Zbl 1401.93228 Appl. Math. Optim. 78, No. 1, 25-60 (2018). Reviewer: Joseph Shomberg (Providence) MSC: 93E20 49N60 49J20 PDF BibTeX XML Cite \textit{H. A. Moreno-Franco}, Appl. Math. Optim. 78, No. 1, 25--60 (2018; Zbl 1401.93228) Full Text: DOI arXiv OpenURL
Palamarchuk, E. S. Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents. (English. Russian original) Zbl 1417.93295 Autom. Remote Control 79, No. 3, 439-450 (2018); translation from Avtom. Telemekh. 2018, No. 3, 61-75 (2018). MSC: 93E03 93E15 93C05 93D20 49K45 PDF BibTeX XML Cite \textit{E. S. Palamarchuk}, Autom. Remote Control 79, No. 3, 439--450 (2018; Zbl 1417.93295); translation from Avtom. Telemekh. 2018, No. 3, 61--75 (2018) Full Text: DOI OpenURL
Bayraktar, Erhan; Cohen, Asaf Risk sensitive control of the lifetime ruin problem. (English) Zbl 1407.93429 Appl. Math. Optim. 77, No. 2, 229-252 (2018). MSC: 93E20 91G10 49N70 49K40 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{A. Cohen}, Appl. Math. Optim. 77, No. 2, 229--252 (2018; Zbl 1407.93429) Full Text: DOI arXiv OpenURL
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing Regime-switching pure jump processes and applications in the valuation of mortality-linked products. (English) Zbl 1388.49020 Commun. Stat., Theory Methods 47, No. 6, 1372-1391 (2018). MSC: 49K15 44A10 47D07 60J10 93E20 PDF BibTeX XML Cite \textit{Y. Dong} et al., Commun. Stat., Theory Methods 47, No. 6, 1372--1391 (2018; Zbl 1388.49020) Full Text: DOI OpenURL
Huang, Yao Tung; Zeng, Pingping; Kwok, Yue Kuen Optimal initiation of guaranteed lifelong withdrawal benefit with dynamic withdrawals. (English) Zbl 1407.91138 SIAM J. Financ. Math. 8, 804-840 (2017). MSC: 91B30 49J30 65T50 PDF BibTeX XML Cite \textit{Y. T. Huang} et al., SIAM J. Financ. Math. 8, 804--840 (2017; Zbl 1407.91138) Full Text: DOI OpenURL
Luo, Shangzhen; Wang, Mingming; Zeng, Xudong Optimal reinsurance: minimize the expected time to reach a goal. (English) Zbl 1401.91171 Scand. Actuar. J. 2016, No. 8, 741-762 (2016). MSC: 91B30 93E20 60J60 49L20 PDF BibTeX XML Cite \textit{S. Luo} et al., Scand. Actuar. J. 2016, No. 8, 741--762 (2016; Zbl 1401.91171) Full Text: DOI OpenURL
Lin, Xiang; Qian, Yiping Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. (English) Zbl 1401.91168 Scand. Actuar. J. 2016, No. 7, 646-671 (2016). MSC: 91B30 49L20 62J10 PDF BibTeX XML Cite \textit{X. Lin} and \textit{Y. Qian}, Scand. Actuar. J. 2016, No. 7, 646--671 (2016; Zbl 1401.91168) Full Text: DOI OpenURL
Young, Virginia R.; Zhang, Yuchong Lifetime ruin under ambiguous hazard rate. (English) Zbl 1371.91172 Insur. Math. Econ. 70, 125-134 (2016). MSC: 91G10 49L20 60H30 91B30 PDF BibTeX XML Cite \textit{V. R. Young} and \textit{Y. Zhang}, Insur. Math. Econ. 70, 125--134 (2016; Zbl 1371.91172) Full Text: DOI OpenURL
Zhi, Hui; Pu, Jiangyan On a dual risk model perturbed by diffusion with dividend threshold. (English) Zbl 1351.60109 Chin. Ann. Math., Ser. B 37, No. 5, 777-792 (2016). MSC: 60J60 60J70 60J75 60G51 60G55 91B70 91B30 49J55 93E20 PDF BibTeX XML Cite \textit{H. Zhi} and \textit{J. Pu}, Chin. Ann. Math., Ser. B 37, No. 5, 777--792 (2016; Zbl 1351.60109) Full Text: DOI OpenURL
Chen, Mi; Yuen, Kam Chuen Optimal dividend and reinsurance in the presence of two reinsurers. (English) Zbl 1344.49028 J. Appl. Probab. 53, No. 2, 554-571 (2016). MSC: 49J55 93E20 60H30 60H10 91B30 60J65 62P05 PDF BibTeX XML Cite \textit{M. Chen} and \textit{K. C. Yuen}, J. Appl. Probab. 53, No. 2, 554--571 (2016; Zbl 1344.49028) Full Text: DOI Euclid Link OpenURL
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. Purchasing term life insurance to reach a bequest goal while consuming. (English) Zbl 1339.91105 SIAM J. Financ. Math. 7, 183-214 (2016). MSC: 91G10 91B30 49L20 35Q91 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., SIAM J. Financ. Math. 7, 183--214 (2016; Zbl 1339.91105) Full Text: DOI arXiv OpenURL
Marciniak, Ewa; Palmowski, Zbigniew On the optimal dividend problem for insurance risk models with surplus-dependent premiums. (English) Zbl 1344.49029 J. Optim. Theory Appl. 168, No. 2, 723-742 (2016). MSC: 49J55 49K45 93E20 60H30 60H10 60G51 49L99 60G50 91B30 PDF BibTeX XML Cite \textit{E. Marciniak} and \textit{Z. Palmowski}, J. Optim. Theory Appl. 168, No. 2, 723--742 (2016; Zbl 1344.49029) Full Text: DOI arXiv OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Optimal investment problem for an insurer and a reinsurer. (English) Zbl 1333.91033 J. Syst. Sci. Complex. 28, No. 6, 1326-1343 (2015). MSC: 91B30 93E20 49L20 PDF BibTeX XML Cite \textit{D. Li} et al., J. Syst. Sci. Complex. 28, No. 6, 1326--1343 (2015; Zbl 1333.91033) Full Text: DOI OpenURL
Delong, Łukasz; Pelsser, Antoon Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model. (English) Zbl 1345.60062 Stoch. Models 31, No. 1, 67-97 (2015). MSC: 60H30 60H10 49J55 49N90 93E20 91G80 PDF BibTeX XML Cite \textit{Ł. Delong} and \textit{A. Pelsser}, Stoch. Models 31, No. 1, 67--97 (2015; Zbl 1345.60062) Full Text: DOI OpenURL
Forsyth, Peter; Vetzal, Kenneth An optimal stochastic control framework for determining the cost of hedging of variable annuities. (English) Zbl 1402.93266 J. Econ. Dyn. Control 44, 29-53 (2014). MSC: 93E20 91G20 91B30 49K45 91G80 PDF BibTeX XML Cite \textit{P. Forsyth} and \textit{K. Vetzal}, J. Econ. Dyn. Control 44, 29--53 (2014; Zbl 1402.93266) Full Text: DOI OpenURL
Hainaut, Donatien Impulse control of pension fund contributions, in a regime switching economy. (English) Zbl 1339.91141 Eur. J. Oper. Res. 239, No. 3, 810-819 (2014). MSC: 91G80 91B30 93E20 49L20 91G10 91G60 PDF BibTeX XML Cite \textit{D. Hainaut}, Eur. J. Oper. Res. 239, No. 3, 810--819 (2014; Zbl 1339.91141) Full Text: DOI OpenURL
Chang, Hao; Chang, Kai Legendre transform-dual solution for investment and consumption problem under the Vasicek model. (English) Zbl 1327.93409 J. Syst. Sci. Complex. 27, No. 5, 911-927 (2014). MSC: 93E20 49L20 91B42 PDF BibTeX XML Cite \textit{H. Chang} and \textit{K. Chang}, J. Syst. Sci. Complex. 27, No. 5, 911--927 (2014; Zbl 1327.93409) Full Text: DOI OpenURL
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying Time-consistent mean-variance hedging of longevity risk: effect of cointegration. (English) Zbl 1304.91136 Insur. Math. Econ. 56, 56-67 (2014). MSC: 91B30 91G10 49L20 PDF BibTeX XML Cite \textit{T. W. Wong} et al., Insur. Math. Econ. 56, 56--67 (2014; Zbl 1304.91136) Full Text: DOI OpenURL
Chu, Shanyun; Zhang, Yi Markov decision processes with iterated coherent risk measures. (English) Zbl 1308.93222 Int. J. Control 87, No. 11, 2286-2293 (2014). MSC: 93E20 49L20 90C40 PDF BibTeX XML Cite \textit{S. Chu} and \textit{Y. Zhang}, Int. J. Control 87, No. 11, 2286--2293 (2014; Zbl 1308.93222) Full Text: DOI OpenURL
Guan, Huiqi; Liang, Zongxia Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs. (English) Zbl 1291.91111 Insur. Math. Econ. 54, 109-122 (2014). MSC: 91B30 93E20 65K10 49L25 90C39 PDF BibTeX XML Cite \textit{H. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 54, 109--122 (2014; Zbl 1291.91111) Full Text: DOI OpenURL
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki Optimal insurance in a changing economy. (English) Zbl 1281.93107 Math. Control Relat. Fields 4, No. 2, 187-202 (2014). MSC: 93E20 49L20 91B30 PDF BibTeX XML Cite \textit{J. Liu} et al., Math. Control Relat. Fields 4, No. 2, 187--202 (2014; Zbl 1281.93107) Full Text: DOI OpenURL
Jin, Zhuo; Yang, Hailiang; Yin, Gang George Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections. (English) Zbl 1364.93863 Automatica 49, No. 8, 2317-2329 (2013). MSC: 93E20 91G10 60J10 60J75 93C10 49J40 PDF BibTeX XML Cite \textit{Z. Jin} et al., Automatica 49, No. 8, 2317--2329 (2013; Zbl 1364.93863) Full Text: DOI Link OpenURL
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang Optimal dividends with debts and nonlinear insurance risk processes. (English) Zbl 1284.91564 Insur. Math. Econ. 53, No. 1, 110-121 (2013). MSC: 91G50 91B30 91G80 49L20 PDF BibTeX XML Cite \textit{H. Meng} et al., Insur. Math. Econ. 53, No. 1, 110--121 (2013; Zbl 1284.91564) Full Text: DOI Link OpenURL
Jin, Zhuo; Yin, G. Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls. (English) Zbl 1276.49022 J. Optim. Theory Appl. 159, No. 1, 246-271 (2013). MSC: 49M30 49L20 49J40 93E20 60J60 60J75 91G60 91G80 PDF BibTeX XML Cite \textit{Z. Jin} and \textit{G. Yin}, J. Optim. Theory Appl. 159, No. 1, 246--271 (2013; Zbl 1276.49022) Full Text: DOI OpenURL
Dong, Yinghui; Wang, Guojing The dependence of assets and default threshold with thinning-dependence structure. (English) Zbl 1364.49020 J. Ind. Manag. Optim. 8, No. 2, 391-410 (2012). MSC: 49K15 44A10 47D07 PDF BibTeX XML Cite \textit{Y. Dong} and \textit{G. Wang}, J. Ind. Manag. Optim. 8, No. 2, 391--410 (2012; Zbl 1364.49020) Full Text: DOI OpenURL
Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. (English) Zbl 1285.91057 Insur. Math. Econ. 51, No. 3, 674-684 (2012). MSC: 91B30 91G10 49L20 93E20 PDF BibTeX XML Cite \textit{A. Gu} et al., Insur. Math. Econ. 51, No. 3, 674--684 (2012; Zbl 1285.91057) Full Text: DOI OpenURL
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen A Bayesian approach for optimal reinsurance and investment in a diffusion model. (English) Zbl 1276.91065 J. Eng. Math. 76, 195-206 (2012). MSC: 91B30 91G80 49L20 93E11 PDF BibTeX XML Cite \textit{X. Zhang} et al., J. Eng. Math. 76, 195--206 (2012; Zbl 1276.91065) Full Text: DOI OpenURL
Bayraktar, Erhan; Young, Virginia R. Proving regularity of the minimal probability of ruin via a game of stopping and control. (English) Zbl 1303.91196 Finance Stoch. 15, No. 4, 785-818 (2011). MSC: 91G80 91B30 93E20 60G40 49L20 91A15 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, Finance Stoch. 15, No. 4, 785--818 (2011; Zbl 1303.91196) Full Text: DOI arXiv OpenURL
Ma, Lina; Zhang, Jingxiao; Kannan, D. A Markov process modeling and analysis of indifference pricing of insurance contracts for home reversion plan for a pair of insureds. (English) Zbl 1244.91077 Stochastic Anal. Appl. 29, No. 5, 860-880 (2011). Reviewer: Stefan Tappe (Hannover) MSC: 91D20 60H30 60J28 60J65 91B30 49L20 PDF BibTeX XML Cite \textit{L. Ma} et al., Stochastic Anal. Appl. 29, No. 5, 860--880 (2011; Zbl 1244.91077) Full Text: DOI OpenURL
Leung, Andrew P. Reactive investment strategies. (English) Zbl 1218.91166 Insur. Math. Econ. 49, No. 1, 89-99 (2011). MSC: 91G50 91G10 49L20 PDF BibTeX XML Cite \textit{A. P. Leung}, Insur. Math. Econ. 49, No. 1, 89--99 (2011; Zbl 1218.91166) Full Text: DOI OpenURL
Luo, Shangzhen; Taksar, Michael On absolute ruin minimization under a diffusion approximation model. (English) Zbl 1233.91151 Insur. Math. Econ. 48, No. 1, 123-133 (2011). MSC: 91B30 49L20 60J70 PDF BibTeX XML Cite \textit{S. Luo} and \textit{M. Taksar}, Insur. Math. Econ. 48, No. 1, 123--133 (2011; Zbl 1233.91151) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen A stochastic differential game for optimal investment of an insurer with regime switching. (English) Zbl 1232.91346 Quant. Finance 11, No. 3, 365-380 (2011). MSC: 91B30 91G50 91A15 49N70 49L20 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Quant. Finance 11, No. 3, 365--380 (2011; Zbl 1232.91346) Full Text: DOI OpenURL
Gu, Mengdi; Yang, Yipeng; Li, Shoude; Zhang, Jingyi Constant elasticity of variance model for proportional reinsurance and investment strategies. (English) Zbl 1231.91193 Insur. Math. Econ. 46, No. 3, 580-587 (2010). MSC: 91B30 49L20 PDF BibTeX XML Cite \textit{M. Gu} et al., Insur. Math. Econ. 46, No. 3, 580--587 (2010; Zbl 1231.91193) Full Text: DOI OpenURL
Emms, Paul Relative choice models for income drawdown in a defined contribution pension scheme. (English) Zbl 1219.91068 N. Am. Actuar. J. 14, No. 2, 176-197 (2010). MSC: 91B30 49L20 PDF BibTeX XML Cite \textit{P. Emms}, N. Am. Actuar. J. 14, No. 2, 176--197 (2010; Zbl 1219.91068) Full Text: DOI OpenURL
Wang, Wei; Zhang, Chunsheng Optimal dividend strategies in the diffusion model with stochastic return on investments. (English) Zbl 1231.91247 J. Syst. Sci. Complex. 23, No. 6, 1071-1085 (2010). MSC: 91B30 91G50 49L20 PDF BibTeX XML Cite \textit{W. Wang} and \textit{C. Zhang}, J. Syst. Sci. Complex. 23, No. 6, 1071--1085 (2010; Zbl 1231.91247) Full Text: DOI OpenURL
Hu, Fengxia; Wang, Rongming Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors. (English) Zbl 1200.91138 J. Comput. Appl. Math. 234, No. 10, 2953-2961 (2010). Reviewer: Alfred Göpfert (Halle) MSC: 91B30 91B70 91G30 49K45 PDF BibTeX XML Cite \textit{F. Hu} and \textit{R. Wang}, J. Comput. Appl. Math. 234, No. 10, 2953--2961 (2010; Zbl 1200.91138) Full Text: DOI OpenURL
Emms, Paul; Haberman, Steven Optimal management of an insurer’s exposure in a competitive general insurance market. (English) Zbl 1483.91192 N. Am. Actuar. J. 13, No. 1, 77-105 (2009). MSC: 91G05 49N90 PDF BibTeX XML Cite \textit{P. Emms} and \textit{S. Haberman}, N. Am. Actuar. J. 13, No. 1, 77--105 (2009; Zbl 1483.91192) Full Text: DOI OpenURL
Bélanger, A. C.; Forsyth, P. A.; Labahn, G. Valuing the guaranteed minimum death benefit clause with partial withdrawals. (English) Zbl 1189.91066 Appl. Math. Finance 16, No. 5-6, 451-496 (2009). Reviewer: Giovanni Puccetti (Firenze) MSC: 91B30 60H15 35Q91 49N25 PDF BibTeX XML Cite \textit{A. C. Bélanger} et al., Appl. Math. Finance 16, No. 5--6, 451--496 (2009; Zbl 1189.91066) Full Text: DOI Link OpenURL
Leung, Kwai Sun; Kwok, Yue Kuen; Leung, Seng Yuen Finite-time dividend-ruin models. (English) Zbl 1141.91525 Insur. Math. Econ. 42, No. 1, 154-162 (2008). MSC: 91B30 49K05 60J70 60G40 PDF BibTeX XML Cite \textit{K. S. Leung} et al., Insur. Math. Econ. 42, No. 1, 154--162 (2008; Zbl 1141.91525) Full Text: DOI OpenURL
Chen, Zhuliang; Forsyth, Peter A. A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). (English) Zbl 1141.93066 Numer. Math. 109, No. 4, 535-569 (2008). MSC: 93E20 65N06 49L25 91B24 PDF BibTeX XML Cite \textit{Z. Chen} and \textit{P. A. Forsyth}, Numer. Math. 109, No. 4, 535--569 (2008; Zbl 1141.93066) Full Text: DOI OpenURL
Bai, Lihua; Guo, Junyi Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. (English) Zbl 1147.93046 Insur. Math. Econ. 42, No. 3, 968-975 (2008). MSC: 93E20 91B30 49L20 PDF BibTeX XML Cite \textit{L. Bai} and \textit{J. Guo}, Insur. Math. Econ. 42, No. 3, 968--975 (2008; Zbl 1147.93046) Full Text: DOI OpenURL
Bayraktar, Erhan; Egami, Masahiko Optimizing venture capital investments in a jump diffusion model. (English) Zbl 1151.91049 Math. Methods Oper. Res. 67, No. 1, 21-42 (2008). Reviewer: Mark A. Petersen (Potchefstroom) MSC: 91G50 49N25 60G40 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{M. Egami}, Math. Methods Oper. Res. 67, No. 1, 21--42 (2008; Zbl 1151.91049) Full Text: DOI arXiv OpenURL
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav Optimal expected exponential utility of divident payments in Brownian risk model. (English) Zbl 1164.62080 Scand. Actuar. J. 2007, No. 2, 73-107 (2007). Reviewer: N. M. Zinchenko (Kyïv) MSC: 62P05 91B30 49N90 60J65 91B16 90C39 91B28 PDF BibTeX XML Cite \textit{P. Grandits} et al., Scand. Actuar. J. 2007, No. 2, 73--107 (2007; Zbl 1164.62080) Full Text: DOI OpenURL
Paulsen, Jostein Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs. (English) Zbl 1126.93058 Adv. Appl. Probab. 39, No. 3, 669-689 (2007). MSC: 93E20 49J15 49K15 60J70 91G80 PDF BibTeX XML Cite \textit{J. Paulsen}, Adv. Appl. Probab. 39, No. 3, 669--689 (2007; Zbl 1126.93058) Full Text: DOI OpenURL
Emms, Paul Pricing general insurance with constraints. (English) Zbl 1141.91504 Insur. Math. Econ. 40, No. 2, 335-355 (2007). MSC: 91B30 93E20 49N90 PDF BibTeX XML Cite \textit{P. Emms}, Insur. Math. Econ. 40, No. 2, 335--355 (2007; Zbl 1141.91504) Full Text: DOI Link OpenURL
Moore, Kristen S.; Young, Virginia R. Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement. (English) Zbl 1480.91232 N. Am. Actuar. J. 10, No. 4, 145-161 (2006). MSC: 91G05 49J40 60G40 PDF BibTeX XML Cite \textit{K. S. Moore} and \textit{V. R. Young}, N. Am. Actuar. J. 10, No. 4, 145--161 (2006; Zbl 1480.91232) Full Text: DOI OpenURL
Milevsky, Moshe A.; Moore, Kristen S.; Young, Virginia R. Asset allocation and annuity-purchase strategies to minimize the probability of financial ruin. (English) Zbl 1130.91031 Math. Finance 16, No. 4, 647-671 (2006). MSC: 91B30 91B28 49L20 60H10 60H30 35R35 35R60 PDF BibTeX XML Cite \textit{M. A. Milevsky} et al., Math. Finance 16, No. 4, 647--671 (2006; Zbl 1130.91031) Full Text: DOI Link OpenURL
Zakamouline, Valeri I. A unified approach to portfolio optimization with linear transaction costs. (English) Zbl 1109.91031 Math. Methods Oper. Res. 62, No. 2, 319-343 (2005). MSC: 91G10 49L25 65M12 90C90 93E20 PDF BibTeX XML Cite \textit{V. I. Zakamouline}, Math. Methods Oper. Res. 62, No. 2, 319--343 (2005; Zbl 1109.91031) Full Text: DOI OpenURL
Yang, Hailiang; Zhang, Lihong Optimal investment for insurer with jump-diffusion risk process. (English) Zbl 1129.91020 Insur. Math. Econ. 37, No. 3, 615-634 (2005). MSC: 91B30 91G10 49L20 60H30 60J65 93E20 PDF BibTeX XML Cite \textit{H. Yang} and \textit{L. Zhang}, Insur. Math. Econ. 37, No. 3, 615--634 (2005; Zbl 1129.91020) Full Text: DOI OpenURL
Moore, Kristen S.; Young, Virginia R. Pricing equity-linked pure endowments via the principle of equivalent utility. (English) Zbl 1103.91370 Insur. Math. Econ. 33, No. 3, 497-516 (2003). MSC: 91B30 49L20 60H30 91B28 PDF BibTeX XML Cite \textit{K. S. Moore} and \textit{V. R. Young}, Insur. Math. Econ. 33, No. 3, 497--516 (2003; Zbl 1103.91370) Full Text: DOI OpenURL