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On absolute ruin minimization under a diffusion approximation model

Luo, Shangzhen; Taksar, Michael I. - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 123-133

Persistent link: https://www.econbiz.de/10008839750

Optimal non-proportional reinsurance control and stochastic differential games

Taksar, Michael I.; Zeng, Xudong - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 64-71

Persistent link: https://www.econbiz.de/10008839763

On reinsurance and investment for large insurance portfolios

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

Persistent link: https://www.econbiz.de/10003682573

Regenerative analysis and steady state distributions for Markov chains

Grassmann, Winfried K.; Taksar, Michael I.; Heyman, … - In: Operations research 33 (1985) 5, pp. 1107-1116

Persistent link: https://www.econbiz.de/10003563331

Optimal non-proportional reinsurance control

Hipp, Christian; Taksar, Michael I. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 246-254

Persistent link: https://www.econbiz.de/10008654238

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...

Persistent link: https://www.econbiz.de/10003961438

Optimal excess-of-loss reinsurance under borrowing constraints

Luo, Shangzhen; Taksar, Michael I. - In: Risk and decision analysis 2 (2010/11) 2, pp. 103-123

Persistent link: https://www.econbiz.de/10009304894

Excess-of-loss reinsurance under taxes and fixed costs

Choulli, Tahir; Taksar, Michael I. - In: Risk and decision analysis 2 (2010/11) 2, pp. 85-101

Persistent link: https://www.econbiz.de/10009304895

Mixed band control of mutual proportional reinsurance

Taksar, Michael I.; Liu, John J.; Yuan, Jiguang - In: Journal of mathematical finance 3 (2013) 2, pp. 256-267

Persistent link: https://www.econbiz.de/10010239577

An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices

Buescu, Cristin; Taksar, Michael I.; Koné, Fatoumata J. - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10009784042