Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R. An application of fractional differential equations to risk theory. (English) Zbl 1432.91097 Finance Stoch. 23, No. 4, 1001-1024 (2019). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 91G05 60K05 26A33 PDF BibTeX XML Cite \textit{C. D. Constantinescu} et al., Finance Stoch. 23, No. 4, 1001--1024 (2019; Zbl 1432.91097) Full Text: DOI arXiv OpenURL
Madan, D.; Pistorius, M.; Stadje, M. On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. (English) Zbl 1422.91783 Finance Stoch. 21, No. 4, 1073-1102 (2017). MSC: 91G70 91G10 60H10 PDF BibTeX XML Cite \textit{D. Madan} et al., Finance Stoch. 21, No. 4, 1073--1102 (2017; Zbl 1422.91783) Full Text: DOI arXiv OpenURL
Sekine, Jun Long-term optimal portfolios with floor. (English) Zbl 1251.91056 Finance Stoch. 16, No. 3, 369-401 (2012). MSC: 91G10 93E20 91G80 91G20 PDF BibTeX XML Cite \textit{J. Sekine}, Finance Stoch. 16, No. 3, 369--401 (2012; Zbl 1251.91056) 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
Pflug, Georg; Wozabal, Nancy Asymptotic distribution of law-invariant risk functionals. (English) Zbl 1226.91070 Finance Stoch. 14, No. 3, 397-418 (2010). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{G. Pflug} and \textit{N. Wozabal}, Finance Stoch. 14, No. 3, 397--418 (2010; Zbl 1226.91070) Full Text: DOI OpenURL
L’Ecuyer, Pierre Quasi-Monte Carlo methods with applications in finance. (English) Zbl 1199.65004 Finance Stoch. 13, No. 3, 307-349 (2009). Reviewer: Yuliya Mishura (Kyïv) MSC: 65C05 91G60 PDF BibTeX XML Cite \textit{P. L'Ecuyer}, Finance Stoch. 13, No. 3, 307--349 (2009; Zbl 1199.65004) Full Text: DOI OpenURL
Jiang, Zhengjun; Pistorius, Martijn R. On perpetual American put valuation and first-passage in a regime-switching model with jumps. (English) Zbl 1164.60066 Finance Stoch. 12, No. 3, 331-355 (2008). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60K15 91B28 PDF BibTeX XML Cite \textit{Z. Jiang} and \textit{M. R. Pistorius}, Finance Stoch. 12, No. 3, 331--355 (2008; Zbl 1164.60066) Full Text: DOI arXiv OpenURL
Chen, Yu-Ting; Lee, Cheng-Few; Sheu, Yuan-Chung An ODE approach for the expected discounted penalty at ruin in jump-diffusion model. (English) Zbl 1164.60034 Finance Stoch. 11, No. 3, 323-355 (2007). Reviewer: N. M. Zinchenko (Kyïv) MSC: 60G70 60J10 60F10 PDF BibTeX XML Cite \textit{Y.-T. Chen} et al., Finance Stoch. 11, No. 3, 323--355 (2007; Zbl 1164.60034) Full Text: DOI OpenURL
Collamore, Jeffrey F.; Höing, Andrea Small-time ruin for a financial process modulated by a Harris recurrent Markov chain. (English) Zbl 1164.60036 Finance Stoch. 11, No. 3, 299-322 (2007). Reviewer: N. M. Zinchenko (Kyïv) MSC: 60G70 60J10 60F10 PDF BibTeX XML Cite \textit{J. F. Collamore} and \textit{A. Höing}, Finance Stoch. 11, No. 3, 299--322 (2007; Zbl 1164.60036) Full Text: DOI OpenURL
Bayraktar, Erhan; Young, Virginia R. Correspondence between lifetime minimum wealth and utility of consumption. (English) Zbl 1144.91015 Finance Stoch. 11, No. 2, 213-236 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, Finance Stoch. 11, No. 2, 213--236 (2007; Zbl 1144.91015) Full Text: DOI arXiv OpenURL