Survival and growth with a liability: optimal portfolio strategies in continuous time

OPTIMAL GROWTH IN CONTINUOUS-TIME WITH CREDIT RISK

Probability in the Engineering and Informational Sciences

Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates

The Korean Journal of Computational & Applied Mathematics

Piecewise nonlinear goal-directed CPPI strategy

Expert Systems with Applications: An International Journal

A BSDE approach to a risk-based optimal investment of an insurer

Automatica (Journal of IFAC)

Investment selection and risk management for insurance corporation

IDEAL'06 Proceedings of the 7th international conference on Intelligent Data Engineering and Automated Learning

Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation

Automatica (Journal of IFAC)