Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle

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John C. Cox, Stephen A. Ross · Journal of Financial Economics · 1976 · 3K citations

Business, Economics, Finance +12

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

Optimal investment for insurers

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

Business, Insurance, Risk Management +12