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Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy

Højgaard, Bjarne; Taksar, Michael - In: Quantitative Finance 4 (2004) 3, pp. 315-327

This paper represents a model for risk management in a firm which exercises control of its risk as well as potential profit by choosing different business activities among those available to it. Furthermore, the firm has an option of investing its reserve in a financial market consisting of a...

Persistent link: https://www.econbiz.de/10009208227

Stochastic control for optimal new business

Hipp, Christian; Taksar, Michael - In: Insurance / Mathematics & economics 26 (2000) 2-3, pp. 185-192

Persistent link: https://www.econbiz.de/10006905192

Optimal proportional reinsurance policiesfor diffusion models with transaction costs

Hojgaard, Bjarne; Taksar, Michael - In: Insurance / Mathematics & economics 22 (1998) 1, pp. 41-52

Persistent link: https://www.econbiz.de/10006919614

Optimal non-proportional reinsurance control

Hipp, Christian; Taksar, Michael - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 246-255

Persistent link: https://www.econbiz.de/10008447794

On absolute ruin minimization under a diffusion approximation model

Luo, Shangzhen; Taksar, Michael - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 123-134

Persistent link: https://www.econbiz.de/10008768333

Optimal non-proportional reinsurance control and stochastic differential games

Taksar, Michael; Zeng, Xudong - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 64-72

Persistent link: https://www.econbiz.de/10008768338

Optimal risk control for a large corporation in the presence of returns on investments

Højgaard, Bjarne; Taksar, Michael - In: Finance and stochastics 5 (2001) 4, pp. 527-548

Persistent link: https://www.econbiz.de/10008216789

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael - In: Finance and stochastics 4 (2000) 3, pp. 299-324

Persistent link: https://www.econbiz.de/10008217577

Controlling Risk Exposure and Dividends Payout Schemes: Insurance Company Example

Højgaard, Bjarne; Taksar, Michael - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 153-182

Persistent link: https://www.econbiz.de/10008218615

On reinsurance and investment for large insurance portfolios

Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 434-444

Persistent link: https://www.econbiz.de/10007905812