36 citations · 81 across the 3 of their papers we have counts for
3 papers
econ.GN2015★ 36 cited
Stochastic Optimal Growth Model with Risk Sensitive Preferences
Nicole Bäuerle, Anna Jaśkiewicz
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unboun…
math.OC2013★ 25 cited
On the equivalence of two expected average cost criteria for semi- Markov control processes
Anna Jaśkiewicz
The two expected average costs used in the theory of semi-Markov control processes with a Borel state space are considered. Under some stochastic stability conditions, we prove tha…
math.PR2013★ 20 cited
Risk-Sensitive Dividend Problems
Nicole Bäuerle, Anna Jaśkiewicz
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e…