On absolute ruin minimization under a diffusion approximation model

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

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

S. David Promislow, Virginia R. Young · North American Actuarial Journal · 2005 · 315 citations

Business, Insurance, Risk Management +13

Martingales and insurance risk

Angelos Dassios, Paul Embrechts · Communications in Statistics Stochastic Models · 1989 · 186 citations

Business, Insurance, Mathematics +14

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

Moshe A. Milevsky · North American Actuarial Journal · 2005 · 183 citations

Public Affairs, Finance, Insurance +12