Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching

Controlled markov processes and viscosity solutions

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

Engineering, Mathematics, Stochastic Processes +13

Optimal Control with State-Space Constraint I

H. Meté Soner · SIAM Journal on Control and Optimization · 1986 · 615 citations

Natural Sciences, Mathematics, Differential Equations +15

Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

Pierre‐Louis Lions · Communications in Partial Differential Equations · 1983 · 400 citations

Natural Sciences, Mathematics, Dynamical Systems +16

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

S⊘ren Asmussen, Bjarne H�jgaard, Michael Taksar · Finance and Stochastics · 2000 · 262 citations

Business, Insurance, Risk Management +17

Risk theory in a Markovian environment

Søren Asmussen · Scandinavian Actuarial Journal · 1989 · 237 citations

Engineering, Mathematics, Risk Management +17