Optimal investment and reinsurance for an insurer under Markov-modulated financial market

Expected stock returns and volatility

Kenneth R. French, G. William Schwert, Robert F. Stambaugh · Journal of Financial Economics · 1987 · 4.3K citations · Full text

Business, Economics, Finance +12

Principles of mathematical analysis

Carl Hammer · Journal of the Franklin Institute · 1953 · 4.1K citations

Natural Sciences, Mathematics, Physics +7

Stochastic Differential Equations and Diffusion Processes

Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe · Technometrics · 1983 · 3.9K citations

Engineering, Mathematics, Differential Equations +11

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