Title | Journal | Journal Categories | Citations | Publication Date |
---|---|---|---|---|
10.1287/mnsc.44.11.S79 | Management Science |
| 1998 | |
Bonus-Malus Systems | North American Actuarial Journal |
| 16 | 1998 |
Optimal Portfolio Selection with Transaction Costs | North American Actuarial Journal |
| 21 | 1997 |
Utility Functions | North American Actuarial Journal |
| 106 | 1988 |
A generalization of the mutual fund theorem | Finance and Stochastics |
| 24 | 1999 |
Title | Journal | Journal Categories | Citations | Publication Date |
---|---|---|---|---|
On the uncertainty of VaR of individual risk | Journal of Computational and Applied Mathematics |
| 5 | 2020 |
Bitcoin option pricing with a SETAR-GARCH model | The European Journal of Finance |
| 2020 | |
It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events | European Journal of Operational Research |
| 21 | 2016 |
Entrance times of random walks: With applications to pension fund modeling | Insurance: Mathematics and Economics |
| 1 | 2016 |
The quantification of type-2 prudence in asset allocation by the trustees of a retirement fund | Annals of Actuarial Science |
| 2016 |