Markov decision processes with applications to finance N Bäuerle, U Rieder Springer Science & Business Media, 2011 | 531 | 2011 |
More risk-sensitive Markov decision processes N Bäuerle, U Rieder Mathematics of Operations Research 39 (1), 105-120, 2014 | 199 | 2014 |
Benchmark and mean-variance problems for insurers N Bäuerle Mathematical Methods of Operations Research 62, 159-165, 2005 | 196 | 2005 |
Portfolio optimization with Markov-modulated stock prices and interest rates N Bauerle, U Rieder IEEE Transactions on Automatic Control 49 (3), 442-447, 2004 | 186 | 2004 |
Modeling and comparing dependencies in multivariate risk portfolios N Bäuerle, A Müller ASTIN Bulletin: The Journal of the IAA 28 (1), 59-76, 1998 | 173 | 1998 |
Stochastic orders and risk measures: Consistency and bounds N Bäuerle, A Müller Insurance: Mathematics and Economics 38 (1), 132-148, 2006 | 169 | 2006 |
Portfolio optimization with unobservable Markov-modulated drift process U Rieder, N Bäuerle Journal of Applied Probability 42 (2), 362-378, 2005 | 164 | 2005 |
Markov decision processes with average-value-at-risk criteria N Bäuerle, J Ott Mathematical Methods of Operations Research 74, 361-379, 2011 | 153 | 2011 |
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 | 99 | 2007 |
Inequalities for stochastic models via supermodular orderings N Bäuerle Stochastic Models 13 (1), 181-201, 1997 | 98 | 1997 |
Portfolio optimization with jumps and unobservable intensity process N Bäuerle, U Rieder Mathematical Finance 17 (2), 205-224, 2007 | 87 | 2007 |
Asymptotic optimality of tracking policies in stochastic networks N Bäuerle The Annals of Applied Probability 10 (4), 1065-1083, 2000 | 75 | 2000 |
A monotonicity result for the workload in Markov-modulated queues N Bäuerle, T Rolski Journal of Applied Probability 35 (3), 741-747, 1998 | 62 | 1998 |
Some results about the expected ruin time in Markov-modulated risk models N Bäuerle Insurance: Mathematics and Economics 18 (2), 119-127, 1996 | 58 | 1996 |
Multivariate counting processes: copulas and beyond N Bauerle, R Grubel Astin Bulletin 35 (2), 379, 2005 | 57 | 2005 |
MDP algorithms for portfolio optimization problems in pure jump markets N Bäuerle, U Rieder Finance and Stochastics 13, 591-611, 2009 | 50 | 2009 |
Optimal control of queueing networks: An approach via fluid models N Bäuerle Advances in Applied Probability 34 (2), 313-328, 2002 | 48 | 2002 |
Optimal dividend-payout in random discrete time H Albrecher, N Bäuerle, S Thonhauser Statistics & Risk Modeling 28 (3), 251-276, 2011 | 46 | 2011 |
Portfolio optimization in fractional and rough Heston models N Bäuerle, S Desmettre SIAM Journal on Financial Mathematics 11 (1), 240-273, 2020 | 44 | 2020 |
Approximation of optimal reinsurance and dividend payout policies N Bäuerle Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004 | 44 | 2004 |