11 citations · 11 across the 6 of their papers we have counts for
6 papers
An application of the method of moments to volatility estimation using daily high, low, opening and closing prices
Cristin Buescu, Michael Taksar, Fatoumata J. Koné
We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening and closing prices to estimate the volatility of the…
Band Control of Mutual Proportional Reinsurance
John Liu, Michael Taksar, Jiguang Yuan
In this paper, we investigate the optimization of mutual proportional reinsurance --- a mutual reserve system that is intended for the collective reinsurance needs of homogeneous m…
Optimal Constrained Investment in the Cramer-Lundberg model
Tatiana Belkina, Christian Hipp, Shangzhen Luo +1
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset…
Minimal Cost of a Brownian Risk without Ruin
Shangzhen Luo, Michael Taksar
In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk…
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
Wael Bahsoun, Igor V. Evstigneev, Michael I. Taksar
The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural general…
Interplay between dividend rate and business constraints for a financial corporation
Tahir Choulli, Michael Taksar, Xun Yu Zhou
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restric…