10 results
Duality theory for exponential utility-based hedging in the Almgren–Chriss model
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- Journal of Applied Probability / Volume 61 / Issue 2 / June 2024
- Published online by Cambridge University Press:
- 03 August 2023, pp. 420-438
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- June 2024
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Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller
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- Journal of Applied Probability / Volume 61 / Issue 1 / March 2024
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- 21 July 2023, pp. 340-367
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- March 2024
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Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
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- Journal of Applied Probability / Volume 60 / Issue 3 / September 2023
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- 21 February 2023, pp. 874-894
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- September 2023
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PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES
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- ASTIN Bulletin: The Journal of the IAA / Volume 49 / Issue 1 / January 2019
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- 01 March 2019, pp. 85-116
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- January 2019
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Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
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- Advances in Applied Probability / Volume 50 / Issue 1 / March 2018
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- 20 March 2018, pp. 204-230
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- March 2018
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GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS
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- ASTIN Bulletin: The Journal of the IAA / Volume 46 / Issue 3 / September 2016
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- 05 August 2016, pp. 677-707
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- September 2016
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OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 17 February 2016, pp. 352-368
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Partially informed investors: hedging in an incomplete market with default
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- Journal of Applied Probability / Volume 52 / Issue 3 / September 2015
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- 30 March 2016, pp. 718-735
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- September 2015
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OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
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- The ANZIAM Journal / Volume 52 / Issue 3 / January 2011
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- 14 October 2011, pp. 250-262
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Exponential utility indifference valuation in two Brownian settings with stochastic correlation
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- Advances in Applied Probability / Volume 40 / Issue 2 / June 2008
- Published online by Cambridge University Press:
- 01 July 2016, pp. 401-423
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- June 2008
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