Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence

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

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

Optimal investment for insurer with jump-diffusion risk process

Hailiang Yang, Lihong Zhang · Insurance Mathematics and Economics · 2005 · 300 citations

Business, Finance, Insurance +13

Optimal Proportional Reinsurance Policies in a Dynamic Setting

Hanspeter Schmidli · Scandinavian Actuarial Journal · 2001 · 279 citations

Business, Risk Management, Markov Decision Processes +10