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Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
Han, Xia; Liang, Zhibin; Young, Virginia R. - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 879-903
Persistent link: https://www.econbiz.de/10012313745
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Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: Scandinavian actuarial journal (2018) 10, pp. 863-889
Persistent link: https://www.econbiz.de/10011939763
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Optimizing venture capital investments in a jump diffusion model
Bayraktar, Erhan; Egami, Masahiko - In: Mathematical methods of operations research 67 (2008) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10003643541
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Liquidation in limit order books with controlled intensity
Bayraktar, Erhan; Ludkovski, Michael - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 627-650
Persistent link: https://www.econbiz.de/10011308178
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Optimally investing to reach a bequest goal
Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 70 (2016), pp. 1-10
Persistent link: https://www.econbiz.de/10011597071
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Minimizing the expected lifetime spent in drawdown under proportional consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114
Persistent link: https://www.econbiz.de/10011552995
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Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223
Persistent link: https://www.econbiz.de/10011533908