Michael Taksar

15 papers Journal 11Unranked 4
YearRankTypeTitle / Venue / Authors
2010 J jnl
Excess-of-loss reinsurance under taxes and fixed costs.
Risk Decis. Anal.
Tahir Choulli, Michael Taksar
2010 J jnl
Optimal excess-of-loss reinsurance under borrowing constraints.
Risk Decis. Anal.
Shangzhen Luo, Michael Taksar
2009 J jnl
On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment.
SIAM J. Control. Optim.
Michael Taksar, Xudong Zeng
2008 — conf
Optimal terminal wealth under partial information: Both the drift and the volatility driven by a discrete time Markov chain.
CDC
Michael Taksar, Xudong Zeng
2007 J jnl
Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain.
SIAM J. Control. Optim.
Michael Taksar, Xudong Zeng
2006 — conf
Ruin Probability Minimization and Dividend Distribution Optimization in Diffusion Models.
CDC
Michael Taksar
2003 J jnl
A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control.
SIAM J. Control. Optim.
Tahir Choulli, Michael Taksar, Xun Yu Zhou
2002 J jnl
Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions.
SIAM J. Control. Optim.
Masatoshi Fukushima, Michael Taksar
2001 — conf
An optimization model for a company with constraints on risk control.
CDC
Tahir Choulli, Michael Taksar, Xun Yu Zhou
2001 — conf
Optimal risk control and dividend distribution for a financial corporation with policy constraints.
CDC
Tahir Choulli, Michael Taksar, Xun Yu Zhou
2001 J jnl
Optimal risk control for a large corporation in the presence of returns on investments.
Finance Stochastics
Bjarne Højgaard, Michael Taksar
2000 J jnl
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation.
Finance Stochastics
Søren Asmussen, Bjarne Højgaard, Michael Taksar
1998 J jnl
Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters.
IEEE Trans. Autom. Control.
Michael Taksar, Alexander S. Poznyak, A. Iparraguirre
1996 J jnl
Book review.
Discret. Event Dyn. Syst.
Michael Taksar
1988 J jnl
A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees.
Math. Oper. Res.
Michael Taksar, Michael J. Klass, David Assaf