48 citations · 357 across the 28 of their papers we have counts for
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q-fin.RM2017★ 11 cited
Optimal Risk Allocation in Reinsurance Networks
Nicole Bäuerle, Alexander Glauner
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that th…
math.OC2017★ 10 cited
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes
Nicole Bäuerle, Dirk Lange
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller re…
q-fin.PM2017
Extremal Behavior of Long-Term Investors with Power Utility
Nicole Bäuerle, Stefanie Grether
We consider a Bayesian financial market with one bond and one stock where the aim is to maximize the expected power utility from terminal wealth. The solution of this problem is kn…