Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities

Robust Portfolio Rules and Asset Pricing

Pascal J. Maenhout · Review of Financial Studies · 2004 · 789 citations

Business, Economics, Finance +17

A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection

Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent · Journal of the European Economic Association · 2003 · 646 citations

Business, Economics, Mathematics +17

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

Global Stock Markets in the Twentieth Century

Philippe Jorion, William N. Goetzmann · The Journal of Finance · 1999 · 534 citations

Social Sciences, Economics, Finance +12

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