Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

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

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

Tomas Björk, Agatha Murgoci, Xun Yu Zhou · Mathematical Finance · 2012 · 528 citations · Full text

Social Sciences, Economics, Finance +17

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Tomas Björk, Agatha Murgoci · SSRN Electronic Journal · 2010 · 354 citations · Full text

Natural Sciences, Mathematics, Game Theory +16

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