Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

Controlled markov processes and viscosity solutions

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

Stochastic Simulation, Process Dynamics, Engineering +14

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 · 613 citations

Financial Risk Management, Optimal Policy, Optimal Investment Decision +17

Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift

S. David Promislow, Virginia R. Young · North American Actuarial Journal · 2005 · 310 citations

Engineering, Insurance Law, Automobile Insurance +15

Optimal investment for insurer with jump-diffusion risk process

Hailiang Yang, Lihong Zhang · Insurance Mathematics and Economics · 2005 · 297 citations

Option Pricing, Business, Optimal Investment +4

Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

Moshe A. Milevsky · North American Actuarial Journal · 2005 · 181 citations

Aging, Real Longevity Insurance, Financial Protection +18