Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

Social Sciences, Economics, Finance +16

Controlled markov processes and viscosity solutions

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

Engineering, Mathematics, Stochastic Processes +13

Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

Sid Browne · Mathematics of Operations Research · 1995 · 622 citations

Business, Economics, Finance +17

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

Risk theory for the compound Poisson process that is perturbed by diffusion

François Dufresne, Hans U. Gerber · Insurance Mathematics and Economics · 1991 · 307 citations

Engineering, Finance, Risk Management +14