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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

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

Asset pricing and hedging in financial markets with transaction costs : an approach based on the von Neumann-Gale model

Dempster, Michael A. H. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003187224

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/10001372186

Optimal dynamic reinsurance policies for large insurance portfolios

Taksar, Michael I.; Markussen, Charlotte - In: Finance and stochastics 7 (2003) 1, pp. 97-121

Persistent link: https://www.econbiz.de/10001724646

Optimal financing of a corporation subject to random returns

P.Sethi, Suresh; Taksar, Michael I. - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 155-172

Persistent link: https://www.econbiz.de/10001686246