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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
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Hedging in incomplete markets and optimal control
Hipp, Christian (contributor);  … - 2000
Persistent link: https://www.econbiz.de/10001580591
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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
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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
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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
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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
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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
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Optimal risk/dividend distribution control models : applications to insurance
Taksar, Michael I. - 1999
Persistent link: https://www.econbiz.de/10001421303
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Stochastic control for optimal new business
Hipp, Christian; Taksar, Michael - 2000
Given an insurance Portfolio, investment in new business is used to minimize the probability of technical ruin for the total position. This is a simple stochastic control problem for which solutions can be characterized and computed when the risk processes for old and new business are modelled...
Persistent link: https://www.econbiz.de/10005845998
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Hedging in incomplete markets and optimal control
Hipp, Christian; Taksar, Michael - 2002
This paper considers a problem of DU (Ee and Richardson in an economy in which there are two observable processes X and Y both driven by Brownian motions.
Persistent link: https://www.econbiz.de/10005846360