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Bäuerle, Nicole

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Author ID: bauerle.nicole Recent zbMATH articles by "Bäuerle, Nicole"
Published as: Bäuerle, N.; Bäuerle, Nicole
Homepage: https://www.math.kit.edu/stoch/~baeuerle/
External Links: MGP · Math-Net.Ru · Wikidata · ORCID · dblp
Documents Indexed: 66 Publications since 1996, including 2 Books

Publications by Year

Citations contained in zbMATH

52 Publications have been cited 689 times in 531 Documents Cited by Year
Markov decision processes with applications to finance. Zbl 1236.90004
Bäuerle, Nicole; Rieder, Ulrich
95
2011
Benchmark and mean-variance problems for insurers. Zbl 1101.93081
Bäuerle, Nicole
77
2005
Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484
Bäuerle, N.; Müller, A.
53
1998
Portfolio optimization with Markov-modulated stock prices and interest rates. Zbl 1366.91135
Bäuerle, Nicole; Rieder, Ulrich
45
2004
Portfolio optimization with unobservable Markov-modulated drift process. Zbl 1138.93428
Rieder, Ulrich; Bäuerle, Nicole
44
2005
Stochastic orders and risk measures: consistency and bounds. Zbl 1105.60017
Bäuerle, Nicole; Müller, Alfred
38
2006
Inequalities for stochastic models via supermodular orderings. Zbl 0871.60015
Bäuerle, Nicole
33
1997
Portfolio optimization with jumps and unobservable intensity process. Zbl 1186.91189
Bäuerle, Nicole; Rieder, Ulrich
28
2007
More risk-sensitive Markov decision processes. Zbl 1291.90289
Bäuerle, Nicole; Rieder, Ulrich
24
2014
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
20
2011
Some results about the expected ruin time in Markov-modulated risk models. Zbl 0859.60081
Bäuerle, Nicole
17
1996
A monotonicity result for the workload in Markov-modulated queues. Zbl 0931.60079
Bäuerle, Nicole; Rolski, Tomasz
16
1998
Optimal portfolios for financial markets with Wishart volatility. Zbl 1283.93306
Bäuerle, Nicole; Li, Zejing
14
2013
MDP algorithms for portfolio optimization problems in pure jump markets. Zbl 1199.91169
Bäuerle, Nicole; Rieder, Ulrich
13
2009
Asymptotic optimality of tracking policies in stochastic networks. Zbl 1057.90003
Bäuerle, Nicole
13
2000
Appoximation of optimal reinsurance and dividend payout policies. Zbl 1097.91052
Bäuerle, Nicole
12
2004
Multivariate counting processes: copulas and beyond. Zbl 1098.62132
Bäuerle, Nicole; Grübel, Rudolf
11
2005
Monotonicity results for \(MR/GI/1\) queues. Zbl 0885.60081
Bäuerle, Nicole
11
1997
Markov decision processes with average-value-at-risk criteria. Zbl 1259.49035
Bäuerle, Nicole; Ott, Jonathan
10
2011
Comparison results for Markov-modulated recursive models. Zbl 1096.60518
Bäuerle, Nicole; Rieder, Ulrich
9
1997
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways. Zbl 1110.90017
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
8
2007
The relaxed investor with partial information. Zbl 1255.91387
Bäuerle, Nicole; Urban, Sebastian P.; Veraart, Luitgard A. M.
7
2012
Dependence properties and comparison results for Lévy processes. Zbl 1141.60023
Bäuerle, Nicole; Blatter, Anja; Müller, Alfred
7
2008
Optimal control of queueing networks: An approach via fluid models. Zbl 1027.90007
Bäuerle, Nicole
7
2002
Zero-sum risk-sensitive stochastic games. Zbl 1398.91055
Bäuerle, Nicole; Rieder, Ulrich
6
2017
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
6
2014
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics. Zbl 1218.91068
Bäuerle, Nicole; Blatter, Anja
6
2011
Markov-modulated diffusion risk models. Zbl 1144.91023
Bäuerle, Nicole; Kötter, Mirko
6
2007
Risk management in credit risk portfolios with correlated assets. Zbl 1055.91039
Bäuerle, Nicole
6
2002
Risk-sensitive dividend problems. Zbl 1341.91087
Bäuerle, Nicole; Jaśkiewicz, Anna
4
2015
Complete markets do not allow free cash flow streams. Zbl 1318.91079
Bäuerle, Nicole; Grether, Stefanie
4
2015
Discounted stochastic fluid programs. Zbl 1082.93058
Bäuerle, Nicole
4
2001
Optimal control of single-server fluid networks. Zbl 0960.90019
Bäuerle, Nicole; Rieder, Ulrich
4
2000
Dynamic mean-risk optimization in a binomial model. Zbl 1176.91143
Bäuerle, Nicole; Mundt, André
3
2009
The Markov-modulated risk model with investment. Zbl 1209.91083
Kötter, Mirko; Bäuerle, Nicole
3
2007
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
2
2018
Stochastic optimal growth model with risk sensitive preferences. Zbl 1400.91321
Bäuerle, Nicole; Jaśkiewicz, Anna
2
2018
Control improvement for jump-diffusion processes with applications to finance. Zbl 1242.93141
Bäuerle, Nicole; Rieder, Ulrich
2
2012
Multivariate risk processes with interacting intensities. Zbl 1152.60058
Bäuerle, Nicole; Grübel, Rudolf
2
2008
The periodic risk model with investment. Zbl 1141.91522
Kötter, Mirko; Bäuerle, Nicole
2
2008
Traditional versus nontraditional reinsurance in a dynamic setting. Zbl 1091.62101
Bäuerle, Nicole
2
2004
Conservation laws for single-server fluid networks. Zbl 0997.90008
Bäuerle, Nicole; Stidham, Shaler
2
2001
The advantage of small machines in a stochastic fluid production process. Zbl 0941.90025
Bäuerle, Nicole
2
1998
Optimal control of partially observable piecewise deterministic Markov processes. Zbl 1390.60275
Bäuerle, Nicole; Lange, Dirk
1
2018
Optimal dividend payout model with risk sensitive preferences. Zbl 1422.91327
Bäuerle, Nicole; Jaśkiewicz, Anna
1
2017
Extremal behavior of long-term investors with power utility. Zbl 1396.91674
Bäuerle, Nicole; Grether, Stefanie
1
2017
A joint stock and bond market based on the hyperbolic Gaussian model. Zbl 1273.91448
Bäuerle, Nicole; Pfeiffer, Robin
1
2013
Markov decision processes. Zbl 1229.90254
Bäuerle, Nicole; Rieder, Ulrich
1
2010
Routing of airplanes to two runways. Zbl 1063.90036
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
1
2004
On positive Harris recurrence of stochastic fluid networks. Zbl 1048.90055
Bäuerle, Nicole
1
2001
Convex stochastic fluid programs with average cost. Zbl 1057.90005
Bäuerle, Nicole
1
2001
How to improve the performance of ATM multiplexers. Zbl 1057.60503
Bäuerle, Nicole
1
1999
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
2
2018
Stochastic optimal growth model with risk sensitive preferences. Zbl 1400.91321
Bäuerle, Nicole; Jaśkiewicz, Anna
2
2018
Optimal control of partially observable piecewise deterministic Markov processes. Zbl 1390.60275
Bäuerle, Nicole; Lange, Dirk
1
2018
Zero-sum risk-sensitive stochastic games. Zbl 1398.91055
Bäuerle, Nicole; Rieder, Ulrich
6
2017
Optimal dividend payout model with risk sensitive preferences. Zbl 1422.91327
Bäuerle, Nicole; Jaśkiewicz, Anna
1
2017
Extremal behavior of long-term investors with power utility. Zbl 1396.91674
Bäuerle, Nicole; Grether, Stefanie
1
2017
Risk-sensitive dividend problems. Zbl 1341.91087
Bäuerle, Nicole; Jaśkiewicz, Anna
4
2015
Complete markets do not allow free cash flow streams. Zbl 1318.91079
Bäuerle, Nicole; Grether, Stefanie
4
2015
More risk-sensitive Markov decision processes. Zbl 1291.90289
Bäuerle, Nicole; Rieder, Ulrich
24
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
6
2014
Optimal portfolios for financial markets with Wishart volatility. Zbl 1283.93306
Bäuerle, Nicole; Li, Zejing
14
2013
A joint stock and bond market based on the hyperbolic Gaussian model. Zbl 1273.91448
Bäuerle, Nicole; Pfeiffer, Robin
1
2013
The relaxed investor with partial information. Zbl 1255.91387
Bäuerle, Nicole; Urban, Sebastian P.; Veraart, Luitgard A. M.
7
2012
Control improvement for jump-diffusion processes with applications to finance. Zbl 1242.93141
Bäuerle, Nicole; Rieder, Ulrich
2
2012
Markov decision processes with applications to finance. Zbl 1236.90004
Bäuerle, Nicole; Rieder, Ulrich
95
2011
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
20
2011
Markov decision processes with average-value-at-risk criteria. Zbl 1259.49035
Bäuerle, Nicole; Ott, Jonathan
10
2011
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics. Zbl 1218.91068
Bäuerle, Nicole; Blatter, Anja
6
2011
Markov decision processes. Zbl 1229.90254
Bäuerle, Nicole; Rieder, Ulrich
1
2010
MDP algorithms for portfolio optimization problems in pure jump markets. Zbl 1199.91169
Bäuerle, Nicole; Rieder, Ulrich
13
2009
Dynamic mean-risk optimization in a binomial model. Zbl 1176.91143
Bäuerle, Nicole; Mundt, André
3
2009
Dependence properties and comparison results for Lévy processes. Zbl 1141.60023
Bäuerle, Nicole; Blatter, Anja; Müller, Alfred
7
2008
Multivariate risk processes with interacting intensities. Zbl 1152.60058
Bäuerle, Nicole; Grübel, Rudolf
2
2008
The periodic risk model with investment. Zbl 1141.91522
Kötter, Mirko; Bäuerle, Nicole
2
2008
Portfolio optimization with jumps and unobservable intensity process. Zbl 1186.91189
Bäuerle, Nicole; Rieder, Ulrich
28
2007
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways. Zbl 1110.90017
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
8
2007
Markov-modulated diffusion risk models. Zbl 1144.91023
Bäuerle, Nicole; Kötter, Mirko
6
2007
The Markov-modulated risk model with investment. Zbl 1209.91083
Kötter, Mirko; Bäuerle, Nicole
3
2007
Stochastic orders and risk measures: consistency and bounds. Zbl 1105.60017
Bäuerle, Nicole; Müller, Alfred
38
2006
Benchmark and mean-variance problems for insurers. Zbl 1101.93081
Bäuerle, Nicole
77
2005
Portfolio optimization with unobservable Markov-modulated drift process. Zbl 1138.93428
Rieder, Ulrich; Bäuerle, Nicole
44
2005
Multivariate counting processes: copulas and beyond. Zbl 1098.62132
Bäuerle, Nicole; Grübel, Rudolf
11
2005
Portfolio optimization with Markov-modulated stock prices and interest rates. Zbl 1366.91135
Bäuerle, Nicole; Rieder, Ulrich
45
2004
Appoximation of optimal reinsurance and dividend payout policies. Zbl 1097.91052
Bäuerle, Nicole
12
2004
Traditional versus nontraditional reinsurance in a dynamic setting. Zbl 1091.62101
Bäuerle, Nicole
2
2004
Routing of airplanes to two runways. Zbl 1063.90036
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
1
2004
Optimal control of queueing networks: An approach via fluid models. Zbl 1027.90007
Bäuerle, Nicole
7
2002
Risk management in credit risk portfolios with correlated assets. Zbl 1055.91039
Bäuerle, Nicole
6
2002
Discounted stochastic fluid programs. Zbl 1082.93058
Bäuerle, Nicole
4
2001
Conservation laws for single-server fluid networks. Zbl 0997.90008
Bäuerle, Nicole; Stidham, Shaler
2
2001
On positive Harris recurrence of stochastic fluid networks. Zbl 1048.90055
Bäuerle, Nicole
1
2001
Convex stochastic fluid programs with average cost. Zbl 1057.90005
Bäuerle, Nicole
1
2001
Asymptotic optimality of tracking policies in stochastic networks. Zbl 1057.90003
Bäuerle, Nicole
13
2000
Optimal control of single-server fluid networks. Zbl 0960.90019
Bäuerle, Nicole; Rieder, Ulrich
4
2000
How to improve the performance of ATM multiplexers. Zbl 1057.60503
Bäuerle, Nicole
1
1999
Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484
Bäuerle, N.; Müller, A.
53
1998
A monotonicity result for the workload in Markov-modulated queues. Zbl 0931.60079
Bäuerle, Nicole; Rolski, Tomasz
16
1998
The advantage of small machines in a stochastic fluid production process. Zbl 0941.90025
Bäuerle, Nicole
2
1998
Inequalities for stochastic models via supermodular orderings. Zbl 0871.60015
Bäuerle, Nicole
33
1997
Monotonicity results for \(MR/GI/1\) queues. Zbl 0885.60081
Bäuerle, Nicole
11
1997
Comparison results for Markov-modulated recursive models. Zbl 1096.60518
Bäuerle, Nicole; Rieder, Ulrich
9
1997
Some results about the expected ruin time in Markov-modulated risk models. Zbl 0859.60081
Bäuerle, Nicole
17
1996
all top 5

Cited by 718 Authors

30 Bäuerle, Nicole
14 Zeng, Yan
11 Shen, Yang
11 Siu, Tak Kuen
10 Cavazos-Cadena, Rolando
10 Guo, Xianping
10 Zhang, Yi
9 Denuit, Michel M.
9 Li, Danping
9 Li, Zhongfei
9 Marceau, Étienne
9 Müller, Alfred
9 Yang, Hailiang
9 Young, Virginia R.
8 Liang, Zhibin
8 Wei, Qingda
8 Zhang, Xin
7 Bi, Junna
7 Frostig, Esther
7 Huang, Yonghui
7 Piunovskiĭ, Alekseĭ Borisovich
7 Sass, Jörn
7 Wang, Ruodu
7 Zhao, Hui
6 Albrecher, Hansjörg
6 Dhaene, Jan
6 Goovaerts, Marc J.
6 Gu, Ailing
6 Özekici, Süleyman
6 Pellerey, Franco
6 Rong, Ximin
6 Rüschendorf, Ludger
6 Thonhauser, Stefan
6 Zhu, Jinxia
5 Cossette, Hélène
5 de Saporta, Benoîte
5 Dufour, François
5 Eksi, Zehra
5 Escobar, Marcos
5 Forsyth, Peter A.
5 Hu, Yijun
5 Rieder, Ulrich
5 Szölgyenyi, Michaela
5 Viens, Frederi G.
5 Yuen, Kam Chuen
4 Bayraktar, Erhan
4 Cai, Jun
4 Çanakoğlu, Ethem
4 Chen, Xian
4 Genest, Christian
4 Guo, Junyi
4 Guo, Xin
4 Hu, Taizhong
4 Jaśkiewicz, Anna
4 Kaas, Rob
4 Leobacher, Gunther
4 Li, Bin
4 Meng, Hui
4 Runggaldier, Wolfgang J.
4 Sun, Zhongyang
4 Yang, Xiangqun
4 Yi, Bo
4 Zagst, Rudi
4 Zhang, Zhimin
3 Abergel, Frédéric
3 Balbus, Łukasz
3 Bellini, Fabio
3 Belzunce, Félix
3 Bignozzi, Valeria
3 Ceci, Claudia
3 Chen, Lv
3 Cheung, Eric C. K.
3 Colaneri, Katia
3 Cruz Suárez, Hugo Adán
3 Dang, Duy Minh
3 Elliott, Robert James
3 Hata, Hiroaki
3 Hernández-Hernández, Daniel
3 Hinz, Juri
3 Juri, Alessandro
3 Korn, Ralf
3 Kulik, Rafał
3 Landriault, David
3 Li, Dongchen
3 Li, Shuanming
3 Liu, Qiuli
3 Ludkovski, Michael
3 Mandjes, Michel Robertus Hendrikus
3 Mao, Tiantian
3 Mesfioui, Mhamed
3 Neykova, Daniela
3 Peng, Xingchun
3 Seifried, Frank Thomas
3 Shevchenko, Pavel V.
3 Suarez-Llorens, Alfonso
3 Szekli, Ryszard
3 Wunderlich, Ralf
3 Wüthrich, Mario Valentin
3 Yang, Peng
3 Yee, Jeremy
...and 618 more Authors
all top 5

Cited in 119 Serials

110 Insurance Mathematics & Economics
27 Mathematical Methods of Operations Research
20 European Journal of Operational Research
19 Scandinavian Actuarial Journal
17 Journal of Applied Probability
14 International Journal of Theoretical and Applied Finance
13 SIAM Journal on Control and Optimization
12 Journal of Computational and Applied Mathematics
12 Statistics & Probability Letters
11 SIAM Journal on Financial Mathematics
9 Advances in Applied Probability
9 Journal of Multivariate Analysis
9 Methodology and Computing in Applied Probability
9 Quantitative Finance
8 Finance and Stochastics
7 Annals of Operations Research
7 Stochastic Models
7 ASTIN Bulletin
7 Mathematics and Financial Economics
7 Statistics & Risk Modeling
6 Applied Mathematics and Optimization
6 Automatica
6 Operations Research Letters
6 Mathematical Finance
6 Probability in the Engineering and Informational Sciences
5 Journal of Mathematical Analysis and Applications
5 Mathematics of Operations Research
5 Queueing Systems
5 Discrete Event Dynamic Systems
5 Stochastic Processes and their Applications
5 Asia-Pacific Financial Markets
5 Journal of Industrial and Management Optimization
4 Acta Mathematicae Applicatae Sinica. English Series
4 Optimization
4 Journal of Economic Dynamics & Control
4 The Annals of Applied Probability
4 Mathematical Problems in Engineering
3 International Journal of Control
3 Kybernetika
3 Computers & Operations Research
3 Applied Mathematical Finance
3 Abstract and Applied Analysis
3 Journal of Systems Science and Complexity
3 4OR
3 European Actuarial Journal
2 Computers & Mathematics with Applications
2 Applied Mathematics and Computation
2 Journal of Optimization Theory and Applications
2 Operations Research
2 Top
2 Discrete Dynamics in Nature and Society
2 Applied Stochastic Models in Business and Industry
2 The ANZIAM Journal
2 Decisions in Economics and Finance
2 Dynamic Games and Applications
1 Journal of Engineering Mathematics
1 Mathematical Notes
1 Problems of Information Transmission
1 Theory of Probability and its Applications
1 Archiv der Mathematik
1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
1 Demonstratio Mathematica
1 Fuzzy Sets and Systems
1 Journal of Economic Theory
1 Journal of Statistical Planning and Inference
1 Numerische Mathematik
1 Journal of Information & Optimization Sciences
1 Systems & Control Letters
1 Mathematical Social Sciences
1 Bulletin of the Korean Mathematical Society
1 Stochastic Analysis and Applications
1 Acta Applicandae Mathematicae
1 International Journal of Approximate Reasoning
1 Numerical Methods for Partial Differential Equations
1 Journal of Theoretical Probability
1 MCSS. Mathematics of Control, Signals, and Systems
1 Journal of Applied Mathematics and Stochastic Analysis
1 European Journal of Applied Mathematics
1 Automation and Remote Control
1 Communications in Statistics. Theory and Methods
1 Journal of Statistical Computation and Simulation
1 SIAM Review
1 Computational Statistics and Data Analysis
1 International Journal of Robust and Nonlinear Control
1 SIAM Journal on Optimization
1 Cybernetics and Systems Analysis
1 Topological Methods in Nonlinear Analysis
1 Theory of Probability and Mathematical Statistics
1 Economic Theory
1 Complexity
1 Journal of Applied Analysis
1 European Journal of Control
1 Mathematical and Computer Modelling of Dynamical Systems
1 Extremes
1 Acta Mathematica Sinica. English Series
1 CEJOR. Central European Journal of Operations Research
1 Brazilian Journal of Probability and Statistics
1 Journal of Machine Learning Research (JMLR)
1 OR Spectrum
1 North American Actuarial Journal
...and 19 more Serials

Citations by Year

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