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Nicole Bäuerle
Nicole Bäuerle
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Markov decision processes with applications to finance
N Bäuerle, U Rieder
Springer Science & Business Media, 2011
5302011
More risk-sensitive Markov decision processes
N Bäuerle, U Rieder
Mathematics of Operations Research 39 (1), 105-120, 2014
1992014
Benchmark and mean-variance problems for insurers
N Bäuerle
Mathematical Methods of Operations Research 62, 159-165, 2005
1952005
Portfolio optimization with Markov-modulated stock prices and interest rates
N Bauerle, U Rieder
IEEE Transactions on Automatic Control 49 (3), 442-447, 2004
1852004
Modeling and comparing dependencies in multivariate risk portfolios
N Bäuerle, A Müller
ASTIN Bulletin: The Journal of the IAA 28 (1), 59-76, 1998
1731998
Stochastic orders and risk measures: Consistency and bounds
N Bäuerle, A Müller
Insurance: Mathematics and Economics 38 (1), 132-148, 2006
1682006
Portfolio optimization with unobservable Markov-modulated drift process
U Rieder, N Bäuerle
Journal of Applied Probability 42 (2), 362-378, 2005
1632005
Markov decision processes with average-value-at-risk criteria
N Bäuerle, J Ott
Mathematical Methods of Operations Research 74, 361-379, 2011
1512011
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways
N Bäuerle, O Engelhardt-Funke, M Kolonko
European Journal of Operational Research 177 (2), 1180-1196, 2007
992007
Inequalities for stochastic models via supermodular orderings
N Bäuerle
Stochastic Models 13 (1), 181-201, 1997
981997
Portfolio optimization with jumps and unobservable intensity process
N Bäuerle, U Rieder
Mathematical Finance 17 (2), 205-224, 2007
872007
Asymptotic optimality of tracking policies in stochastic networks
N Bäuerle
The Annals of Applied Probability 10 (4), 1065-1083, 2000
752000
A monotonicity result for the workload in Markov-modulated queues
N Bäuerle, T Rolski
Journal of Applied Probability 35 (3), 741-747, 1998
621998
Multivariate counting processes: copulas and beyond
N Bauerle, R Grubel
Astin Bulletin 35 (2), 379, 2005
572005
Some results about the expected ruin time in Markov-modulated risk models
N Bäuerle
Insurance: Mathematics and Economics 18 (2), 119-127, 1996
571996
MDP algorithms for portfolio optimization problems in pure jump markets
N Bäuerle, U Rieder
Finance and Stochastics 13, 591-611, 2009
502009
Optimal control of queueing networks: An approach via fluid models
N Bäuerle
Advances in Applied Probability 34 (2), 313-328, 2002
482002
Optimal dividend-payout in random discrete time
H Albrecher, N Bäuerle, S Thonhauser
Statistics & Risk Modeling 28 (3), 251-276, 2011
462011
Approximation of optimal reinsurance and dividend payout policies
N Bäuerle
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004
442004
Portfolio optimization in fractional and rough Heston models
N Bäuerle, S Desmettre
SIAM Journal on Financial Mathematics 11 (1), 240-273, 2020
432020
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Artículos 1–20