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math.OC2018
Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model
Michael Preischl, Stefan Thonhauser
Complementing existing results on minimal ruin probabilities, we minimize expected discounted penalty functions (or Gerber-Shiu functions) in a Cramer-Lundberg model by choosing op…
math.OC2015
Distribution functions, extremal limits and optimal transport
Maria Rita Iacò, Stefan Thonhauser, Robert F. Tichy
Encouraged by the study of extremal limits for sums of the form with uniformly distributed sequences th…