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Minimal cost of a Brownian risk without ruin

Luo, Shangzhen; Taksar, Michael I. - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 685-693

Persistent link: https://www.econbiz.de/10009683193

Optimal reinsurance under a jump diffusion model

Luo, Shangzhen - In: Stochastic analysis, stochastic systems, and …, (pp. 215-230). 2011

Persistent link: https://www.econbiz.de/10009271666

Optimal risk and dividend distribution control models for an insurance company

Taksar, Michael I. - In: Mathematical methods of operations research 51 (2000) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10001488491

Capital growth under transaction costs : an analysis based on the von Neumann-Gale model

Bahsoun, Wael; Evstigneev, Igor V.; Taksar, Michael I. - 2008

In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a...