On reinsurance and investment for large insurance portfolios

Deterministic and Stochastic Optimal Control.

J. A. Bather, Wendell H. Fleming, Raymond Rishel · Journal of the Royal Statistical Society Series A (General) · 1976 · 2.7K citations

Natural Sciences, Mathematics, Differential Equations +16

Controlled markov processes and viscosity solutions

M. R. James · Stochastics and stochastics reports · 1994 · 1.1K citations

Engineering, Mathematics, Stochastic Processes +13

On minimizing the ruin probability by investment and reinsurance

Hanspeter Schmidli · The Annals of Applied Probability · 2002 · 340 citations · Full text

Business, Finance, Risk Management +15

Optimal investment for insurers

Christian Hipp, Michael Plum · Insurance Mathematics and Economics · 2000 · 319 citations

Business, Insurance, Risk Management +12

Optimal Proportional Reinsurance Policies in a Dynamic Setting

Hanspeter Schmidli · Scandinavian Actuarial Journal · 2001 · 279 citations

Business, Risk Management, Markov Decision Processes +10