[1] Bai L H, Guo J Y. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint.
Insurance: Mathematics and Economics 2008, 42: 968--975
[2] Cvitani\'{c} J, Karatzas I. Convex duality in constrained portfolio optimization. Annals of Applied Probability, 1992, 2(4): 767--818
[3] De Finetti B. Su un'impostazione alternativa dell teoria colletiva del rischio. Transactions of the XV International Congress
of Actuaries, 1957, 2: 433--443
[4] Fleming W H, Soner H M. Controlled Markov Process and Viscosity Solutions. New York: Springer-Verlag, 1993
[5] Gerber H U, Shiu E S W. Optimal dividends: Analysis with Brownian motion. North American Actuarial Journal, 2004, 8(1): 1--20
[6] Grossman S J, Vila J-L. Optimal dynamic trading with leverge constraint. Journal of Financial and Quantitative Analysis, 1992, 27(2): 151--168
[7] HΦjgaard B, Taksar M. Controlling risk eaposure and dividends payout schemes: insurance company example. Mathematical
Finance, 1999, 2: 153--182
[8] HΦjgaard B, Taksar M. Optimal risk control for a large corporation in the presence of returns on investments. Finance Stochast, 2001, 5: 527--547
[9] HΦjgaard B, Taksar M. Optimal dynamic portfolio secetion for a corporation with controllable risk and dividend distribution policy. Quantitative Finance, 2004, 4: 315--327
[10] Lions P, Sznitman A. Stochastic differential equations with reflecting boundary conditions. Communications on Pure and
Applied Mathematics, 1984, 37(4): 511--537
[11] Luo S Z, Taksar M, Tosi A. On reinsurance and investment for large insurance portfolios. Insurance: Mathematics and
Economics, 2008, 42: 434--444
[12] Paulsen J, Gjessing H K. Optimal choice of dividend barriers for risk process with stochastic return of investment. Insurance: Mathematics and Economics, 1997, 20: 215--223
[13] Taksar M. Dependence of optimal risk control decisions on the terminal value for a financial corporation. Annals of Operations
Research, 2000, 98: 89--99
[14] Taksar M. Optimal risk and dividend distribution control models for an insurance company. Mathematical Methods of Operations
Research, 2000, 51: 1--42
[15] Taksar M, Hunderup C L. The influence of bankrupy value on optimal risk control for diffusion models with proportional
reinsurance. Insurance: Mathematics and Economics, 2007, 40: 311--321
[16] Tepl\'{a} L. Optimal portfolio policies with borrowing and shortsale constraints. Journal of Economic Dynamics and Control, 2000, 24: 1623--1639
[17] Yuan H L, Hu Y J. Optimal proportional reinsurance with constant divident barrier. Acta Mathematica Scientia, 2010, 30B(3): 791--798 |