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

Højgaard, Bjarne; Taksar, Michael I. - In: Finance and stochastics 5 (2001) 4, pp. 527-547

Persistent link: https://www.econbiz.de/10001614610

On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria

Evstigneev, Igor V. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001825768

On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria

Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 201-221

Persistent link: https://www.econbiz.de/10002032691

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

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

Persistent link: https://www.econbiz.de/10001487076

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

Explicit solution of a general consumption portfolio problem with subsistence consumption and bankruptcy

Sethi, Suresh P. - In: Journal of economic dynamics & control 16 (1992) 3, pp. 747-768

Persistent link: https://www.econbiz.de/10001130434

Stochastic equilibria on graphs

Evstigneev, Igor V. - In: Journal of mathematical economics 24 (1995) 4, pp. 383-406

Persistent link: https://www.econbiz.de/10001287259

Stochastic equilibria on graphs

Evstigneev, Igor V. - In: Journal of mathematical economics 23 (1994) 5, pp. 401-433

Persistent link: https://www.econbiz.de/10001287260

Optimal risk/dividend distribution control models : applications to insurance

Taksar, Michael I. - 1999

Persistent link: https://www.econbiz.de/10001421303

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; KONÉ, FATOUMATA J. - In: International Journal of Theoretical and Applied … 16 (2013) 05, pp. 1350026-1

We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening, and closing prices to estimate the volatility of the stock price. This novel theoretical approach results in an estimator that is genuinely range-based on daily...

Persistent link: https://www.econbiz.de/10011011283