Bjarne Højgaard

Optimal proportional reinsurance policies for diffusion models

Bjarne Højgaard, Michael Taksar · Scandinavian Actuarial Journal · 1998 · 145 citations

Dynamic Economic Model, Economics, Proportional Reinsurance Policy +10

Rare Events Simulation for Heavy-Tailed Distributions

Søren Asmussen, Klemens Binswanger, Bjarne Højgaard et al. · Bernoulli · 2000 · 138 citations

Engineering, Discrete-event Simulation, Rare Event Estimation +13

Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy

Bjarne Højgaard, Michael Taksar · Quantitative Finance · 2004 · 90 citations

Controllable Risk, Financial Risk Management, Portfolio Management +26

Optimal proportional reinsurance policies for diffusion models with transaction costs

Bjarne Højgaard, Michael Taksar · Insurance Mathematics and Economics · 1998 · 82 citations

Mathematical Programming, Option Pricing, Economics +13

Optimal risk control for a large corporation in the presence of returns on investments

Bjarne Højgaard, Michael Taksar · Finance and Stochastics · 2001 · 76 citations

Quantitative Management, Portfolio Optimization, Optimal Risk Control +10