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Author ID: bauerle.nicole Recent zbMATH articles by "Bäuerle, Nicole"
Published as: Bäuerle, Nicole; Bäuerle, N.
Homepage: https://www.math.kit.edu/stoch/~baeuerle/
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Publications by Year

Citations contained in zbMATH Open

59 Publications have been cited 851 times in 648 Documents Cited by Year
Markov decision processes with applications to finance. Zbl 1236.90004
Bäuerle, Nicole; Rieder, Ulrich
124
2011
Benchmark and mean-variance problems for insurers. Zbl 1101.93081
Bäuerle, Nicole
93
2005
Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484
Bäuerle, N.; Müller, A.
54
1998
Portfolio optimization with Markov-modulated stock prices and interest rates. Zbl 1366.91135
Bäuerle, Nicole; Rieder, Ulrich
51
2004
Portfolio optimization with unobservable Markov-modulated drift process. Zbl 1138.93428
Rieder, Ulrich; Bäuerle, Nicole
48
2005
Stochastic orders and risk measures: consistency and bounds. Zbl 1105.60017
Bäuerle, Nicole; Müller, Alfred
45
2006
More risk-sensitive Markov decision processes. Zbl 1291.90289
Bäuerle, Nicole; Rieder, Ulrich
41
2014
Inequalities for stochastic models via supermodular orderings. Zbl 0871.60015
Bäuerle, Nicole
37
1997
Portfolio optimization with jumps and unobservable intensity process. Zbl 1186.91189
Bäuerle, Nicole; Rieder, Ulrich
29
2007
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
21
2011
Some results about the expected ruin time in Markov-modulated risk models. Zbl 0859.60081
Bäuerle, Nicole
19
1996
Asymptotic optimality of tracking policies in stochastic networks. Zbl 1057.90003
Bäuerle, Nicole
17
2000
A monotonicity result for the workload in Markov-modulated queues. Zbl 0931.60079
Bäuerle, Nicole; Rolski, Tomasz
16
1998
Optimal portfolios for financial markets with Wishart volatility. Zbl 1283.93306
Bäuerle, Nicole; Li, Zejing
16
2013
Markov decision processes with average-value-at-risk criteria. Zbl 1259.49035
Bäuerle, Nicole; Ott, Jonathan
16
2011
Appoximation of optimal reinsurance and dividend payout policies. Zbl 1097.91052
Bäuerle, Nicole
15
2004
Multivariate counting processes: copulas and beyond. Zbl 1098.62132
Bäuerle, Nicole; Grübel, Rudolf
14
2005
MDP algorithms for portfolio optimization problems in pure jump markets. Zbl 1199.91169
Bäuerle, Nicole; Rieder, Ulrich
14
2009
Zero-sum risk-sensitive stochastic games. Zbl 1398.91055
Bäuerle, Nicole; Rieder, Ulrich
11
2017
Monotonicity results for \(MR/GI/1\) queues. Zbl 0885.60081
Bäuerle, Nicole
11
1997
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics. Zbl 1218.91068
Bäuerle, Nicole; Blatter, Anja
10
2011
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways. Zbl 1110.90017
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
10
2007
Stochastic optimal growth model with risk sensitive preferences. Zbl 1400.91321
Bäuerle, Nicole; Jaśkiewicz, Anna
10
2018
Optimal control of queueing networks: An approach via fluid models. Zbl 1027.90007
Bäuerle, Nicole
9
2002
Comparison results for Markov-modulated recursive models. Zbl 1096.60518
Bäuerle, Nicole; Rieder, Ulrich
9
1997
Dependence properties and comparison results for Lévy processes. Zbl 1141.60023
Bäuerle, Nicole; Blatter, Anja; Müller, Alfred
9
2008
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
8
2014
Markov-modulated diffusion risk models. Zbl 1144.91023
Bäuerle, Nicole; Kötter, Mirko
8
2007
The relaxed investor with partial information. Zbl 1255.91387
Bäuerle, Nicole; Urban, Sebastian P.; Veraart, Luitgard A. M.
7
2012
Risk-sensitive dividend problems. Zbl 1341.91087
Bäuerle, Nicole; Jaśkiewicz, Anna
6
2015
Risk management in credit risk portfolios with correlated assets. Zbl 1055.91039
Bäuerle, Nicole
6
2002
Dynamic mean-risk optimization in a binomial model. Zbl 1176.91143
Bäuerle, Nicole; Mundt, André
5
2009
Discounted stochastic fluid programs. Zbl 1082.93058
Bäuerle, Nicole
5
2001
Complete markets do not allow free cash flow streams. Zbl 1318.91079
Bäuerle, Nicole; Grether, Stefanie
5
2015
Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403
Bäuerle, Nicole; Desmettre, Sascha
5
2020
Optimal dividend payout model with risk sensitive preferences. Zbl 1422.91327
Bäuerle, Nicole; Jaśkiewicz, Anna
4
2017
Optimal control of single-server fluid networks. Zbl 0960.90019
Bäuerle, Nicole; Rieder, Ulrich
4
2000
Multivariate risk processes with interacting intensities. Zbl 1152.60058
Bäuerle, Nicole; Grübel, Rudolf
4
2008
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
4
2018
Traditional versus nontraditional reinsurance in a dynamic setting. Zbl 1091.62101
Bäuerle, Nicole
3
2004
The Markov-modulated risk model with investment. Zbl 1209.91083
Kötter, Mirko; Bäuerle, Nicole
3
2007
Optimal risk allocation in reinsurance networks. Zbl 1416.91155
Bäuerle, Nicole; Glauner, Alexander
3
2018
Control improvement for jump-diffusion processes with applications to finance. Zbl 1242.93141
Bäuerle, Nicole; Rieder, Ulrich
2
2012
The advantage of small machines in a stochastic fluid production process. Zbl 0941.90025
Bäuerle, Nicole
2
1998
Conservation laws for single-server fluid networks. Zbl 0997.90008
Bäuerle, Nicole; Stidham, Shaler
2
2001
The periodic risk model with investment. Zbl 1141.91522
Kötter, Mirko; Bäuerle, Nicole
2
2008
Risk-sensitive stopping problems for continuous-time Markov chains. Zbl 07550691
Bäuerle, Nicole; Popp, Anton
2
2018
Extremal behavior of long-term investors with power utility. Zbl 1396.91674
Bäuerle, Nicole; Grether, Stefanie
1
2017
Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe
1
2015
On positive Harris recurrence of stochastic fluid networks. Zbl 1048.90055
Bäuerle, Nicole
1
2001
A joint stock and bond market based on the hyperbolic Gaussian model. Zbl 1273.91448
Bäuerle, Nicole; Pfeiffer, Robin
1
2013
Convex stochastic fluid programs with average cost. Zbl 1057.90005
Bäuerle, Nicole
1
2001
How to improve the performance of ATM multiplexers. Zbl 1057.60503
Bäuerle, Nicole
1
1999
Routing of airplanes to two runways. Zbl 1063.90036
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
1
2004
Markov decision processes. Zbl 1229.90254
Bäuerle, Nicole; Rieder, Ulrich
1
2010
Martingale optimal transport in the discrete case via simple linear programming techniques. Zbl 1435.49010
Bäuerle, Nicole; Schmithals, Daniel
1
2019
Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121
Bäuerle, Nicole; Leimcke, Gregor
1
2021
Optimal control of partially observable piecewise deterministic Markov processes. Zbl 1390.60275
Bäuerle, Nicole; Lange, Dirk
1
2018
Minimizing spectral risk measures applied to Markov decision processes. Zbl 1479.90209
Bäuerle, Nicole; Glauner, Alexander
1
2021
Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121
Bäuerle, Nicole; Leimcke, Gregor
1
2021
Minimizing spectral risk measures applied to Markov decision processes. Zbl 1479.90209
Bäuerle, Nicole; Glauner, Alexander
1
2021
Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403
Bäuerle, Nicole; Desmettre, Sascha
5
2020
Martingale optimal transport in the discrete case via simple linear programming techniques. Zbl 1435.49010
Bäuerle, Nicole; Schmithals, Daniel
1
2019
Stochastic optimal growth model with risk sensitive preferences. Zbl 1400.91321
Bäuerle, Nicole; Jaśkiewicz, Anna
10
2018
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
4
2018
Optimal risk allocation in reinsurance networks. Zbl 1416.91155
Bäuerle, Nicole; Glauner, Alexander
3
2018
Risk-sensitive stopping problems for continuous-time Markov chains. Zbl 07550691
Bäuerle, Nicole; Popp, Anton
2
2018
Optimal control of partially observable piecewise deterministic Markov processes. Zbl 1390.60275
Bäuerle, Nicole; Lange, Dirk
1
2018
Zero-sum risk-sensitive stochastic games. Zbl 1398.91055
Bäuerle, Nicole; Rieder, Ulrich
11
2017
Optimal dividend payout model with risk sensitive preferences. Zbl 1422.91327
Bäuerle, Nicole; Jaśkiewicz, Anna
4
2017
Extremal behavior of long-term investors with power utility. Zbl 1396.91674
Bäuerle, Nicole; Grether, Stefanie
1
2017
Risk-sensitive dividend problems. Zbl 1341.91087
Bäuerle, Nicole; Jaśkiewicz, Anna
6
2015
Complete markets do not allow free cash flow streams. Zbl 1318.91079
Bäuerle, Nicole; Grether, Stefanie
5
2015
Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe
1
2015
More risk-sensitive Markov decision processes. Zbl 1291.90289
Bäuerle, Nicole; Rieder, Ulrich
41
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
8
2014
Optimal portfolios for financial markets with Wishart volatility. Zbl 1283.93306
Bäuerle, Nicole; Li, Zejing
16
2013
A joint stock and bond market based on the hyperbolic Gaussian model. Zbl 1273.91448
Bäuerle, Nicole; Pfeiffer, Robin
1
2013
The relaxed investor with partial information. Zbl 1255.91387
Bäuerle, Nicole; Urban, Sebastian P.; Veraart, Luitgard A. M.
7
2012
Control improvement for jump-diffusion processes with applications to finance. Zbl 1242.93141
Bäuerle, Nicole; Rieder, Ulrich
2
2012
Markov decision processes with applications to finance. Zbl 1236.90004
Bäuerle, Nicole; Rieder, Ulrich
124
2011
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
21
2011
Markov decision processes with average-value-at-risk criteria. Zbl 1259.49035
Bäuerle, Nicole; Ott, Jonathan
16
2011
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics. Zbl 1218.91068
Bäuerle, Nicole; Blatter, Anja
10
2011
Markov decision processes. Zbl 1229.90254
Bäuerle, Nicole; Rieder, Ulrich
1
2010
MDP algorithms for portfolio optimization problems in pure jump markets. Zbl 1199.91169
Bäuerle, Nicole; Rieder, Ulrich
14
2009
Dynamic mean-risk optimization in a binomial model. Zbl 1176.91143
Bäuerle, Nicole; Mundt, André
5
2009
Dependence properties and comparison results for Lévy processes. Zbl 1141.60023
Bäuerle, Nicole; Blatter, Anja; Müller, Alfred
9
2008
Multivariate risk processes with interacting intensities. Zbl 1152.60058
Bäuerle, Nicole; Grübel, Rudolf
4
2008
The periodic risk model with investment. Zbl 1141.91522
Kötter, Mirko; Bäuerle, Nicole
2
2008
Portfolio optimization with jumps and unobservable intensity process. Zbl 1186.91189
Bäuerle, Nicole; Rieder, Ulrich
29
2007
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways. Zbl 1110.90017
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
10
2007
Markov-modulated diffusion risk models. Zbl 1144.91023
Bäuerle, Nicole; Kötter, Mirko
8
2007
The Markov-modulated risk model with investment. Zbl 1209.91083
Kötter, Mirko; Bäuerle, Nicole
3
2007
Stochastic orders and risk measures: consistency and bounds. Zbl 1105.60017
Bäuerle, Nicole; Müller, Alfred
45
2006
Benchmark and mean-variance problems for insurers. Zbl 1101.93081
Bäuerle, Nicole
93
2005
Portfolio optimization with unobservable Markov-modulated drift process. Zbl 1138.93428
Rieder, Ulrich; Bäuerle, Nicole
48
2005
Multivariate counting processes: copulas and beyond. Zbl 1098.62132
Bäuerle, Nicole; Grübel, Rudolf
14
2005
Portfolio optimization with Markov-modulated stock prices and interest rates. Zbl 1366.91135
Bäuerle, Nicole; Rieder, Ulrich
51
2004
Appoximation of optimal reinsurance and dividend payout policies. Zbl 1097.91052
Bäuerle, Nicole
15
2004
Traditional versus nontraditional reinsurance in a dynamic setting. Zbl 1091.62101
Bäuerle, Nicole
3
2004
Routing of airplanes to two runways. Zbl 1063.90036
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
1
2004
Optimal control of queueing networks: An approach via fluid models. Zbl 1027.90007
Bäuerle, Nicole
9
2002
Risk management in credit risk portfolios with correlated assets. Zbl 1055.91039
Bäuerle, Nicole
6
2002
Discounted stochastic fluid programs. Zbl 1082.93058
Bäuerle, Nicole
5
2001
Conservation laws for single-server fluid networks. Zbl 0997.90008
Bäuerle, Nicole; Stidham, Shaler
2
2001
On positive Harris recurrence of stochastic fluid networks. Zbl 1048.90055
Bäuerle, Nicole
1
2001
Convex stochastic fluid programs with average cost. Zbl 1057.90005
Bäuerle, Nicole
1
2001
Asymptotic optimality of tracking policies in stochastic networks. Zbl 1057.90003
Bäuerle, Nicole
17
2000
Optimal control of single-server fluid networks. Zbl 0960.90019
Bäuerle, Nicole; Rieder, Ulrich
4
2000
How to improve the performance of ATM multiplexers. Zbl 1057.60503
Bäuerle, Nicole
1
1999
Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484
Bäuerle, N.; Müller, A.
54
1998
A monotonicity result for the workload in Markov-modulated queues. Zbl 0931.60079
Bäuerle, Nicole; Rolski, Tomasz
16
1998
The advantage of small machines in a stochastic fluid production process. Zbl 0941.90025
Bäuerle, Nicole
2
1998
Inequalities for stochastic models via supermodular orderings. Zbl 0871.60015
Bäuerle, Nicole
37
1997
Monotonicity results for \(MR/GI/1\) queues. Zbl 0885.60081
Bäuerle, Nicole
11
1997
Comparison results for Markov-modulated recursive models. Zbl 1096.60518
Bäuerle, Nicole; Rieder, Ulrich
9
1997
Some results about the expected ruin time in Markov-modulated risk models. Zbl 0859.60081
Bäuerle, Nicole
19
1996
all top 5

Cited by 824 Authors

38 Bäuerle, Nicole
15 Zeng, Yan
14 Guo, Xianping
13 Cavazos-Cadena, Rolando
13 Zhang, Yi
12 Shen, Yang
12 Young, Virginia R.
11 Liang, Zhibin
10 Li, Danping
10 Siu, Tak Kuen
10 Wei, Qingda
9 Bi, Junna
9 Denuit, Michel M.
9 Huang, Yonghui
9 Li, Zhongfei
9 Marceau, Étienne
9 Müller, Alfred
9 Zhao, Hui
8 Piunovskiĭ, Alekseĭ Borisovich
8 Sass, Jörn
8 Zhang, Xin
7 Albrecher, Hansjörg
7 Dufour, François
7 Frostig, Esther
7 Rong, Ximin
7 Yang, Hailiang
6 Chen, Xian
6 Cruz Suárez, Hugo Adán
6 Dhaene, Jan
6 Eksi, Zehra
6 Escobar, Marcos
6 Goovaerts, Marc J.
6 Gu, Ailing
6 Guo, Junyi
6 Guo, Xin
6 Jaśkiewicz, Anna
6 Özekici, Süleyman
6 Pellerey, Franco
6 Rieder, Ulrich
6 Rüschendorf, Ludger
6 Sun, Zhongyang
6 Thonhauser, Stefan
6 Wang, Ruodu
6 Yang, Peng
6 Yuen, Kam Chuen
5 Cai, Jun
5 Colaneri, Katia
5 Cossette, Hélène
5 de Saporta, Benoîte
5 Forsyth, Peter A.
5 Glauner, Alexander
5 Hu, Yijun
5 Li, Shuanming
5 Szölgyenyi, Michaela
5 Viens, Frederi G.
4 Bayraktar, Erhan
4 Bellini, Fabio
4 Çanakoğlu, Ethem
4 Chen, Zhiping
4 Genest, Christian
4 Hu, Taizhong
4 Kaas, Rob
4 Leobacher, Gunther
4 Li, Bin
4 Lu, Yi
4 Meng, Hui
4 Runggaldier, Wolfgang J.
4 Ruszczyński, Andrzej
4 Stettner, Łukasz
4 Wunderlich, Ralf
4 Yang, Xiangqun
4 Yi, Bo
4 Zagst, Rudi
4 Zhang, Caibin
4 Zhang, Zhimin
3 Abergel, Frédéric
3 Altay, Sühan
3 Amiri, Mehdi
3 Avanzi, Benjamin
3 Balbus, Łukasz
3 Belzunce, Félix
3 Bignozzi, Valeria
3 Brandtner, Mario
3 Ceci, Claudia
3 Chen, Lv
3 Cheung, Eric C. K.
3 Costa, Oswaldo Luiz V.
3 Dang, Duy Minh
3 Eisenberg, Julia
3 Elliott, Robert James
3 Han, Xia
3 Hata, Hiroaki
3 Hernández-Hernández, Daniel
3 Hinz, Juri
3 Jelito, Damian
3 Juri, Alessandro
3 Korn, Ralf
3 Kulik, Rafał
3 Kürsten, Wolfgang
3 Landriault, David
...and 724 more Authors
all top 5

Cited in 132 Serials

110 Insurance Mathematics & Economics
33 Mathematical Methods of Operations Research
25 European Journal of Operational Research
20 Journal of Applied Probability
20 Scandinavian Actuarial Journal
17 International Journal of Theoretical and Applied Finance
15 SIAM Journal on Financial Mathematics
14 SIAM Journal on Control and Optimization
14 Statistics & Probability Letters
13 Journal of Computational and Applied Mathematics
12 Methodology and Computing in Applied Probability
12 Quantitative Finance
11 Applied Mathematics and Optimization
10 Advances in Applied Probability
10 Journal of Multivariate Analysis
10 Annals of Operations Research
9 Operations Research Letters
9 Finance and Stochastics
9 Journal of Industrial and Management Optimization
8 Stochastic Models
8 Mathematics and Financial Economics
8 Statistics & Risk Modeling
7 Journal of Mathematical Analysis and Applications
7 Automatica
7 Operations Research
7 Communications in Statistics. Theory and Methods
7 ASTIN Bulletin
6 Mathematics of Operations Research
6 Stochastic Processes and their Applications
6 Mathematical Problems in Engineering
6 Mathematical Finance
6 Probability in the Engineering and Informational Sciences
6 North American Actuarial Journal
5 Journal of Optimization Theory and Applications
5 Acta Mathematicae Applicatae Sinica. English Series
5 Queueing Systems
5 Discrete Event Dynamic Systems
5 Asia-Pacific Financial Markets
5 Stochastics
4 Optimization
4 Computers & Operations Research
4 Journal of Economic Dynamics & Control
4 The Annals of Applied Probability
4 Discrete Dynamics in Nature and Society
4 Dynamic Games and Applications
3 Computers & Mathematics with Applications
3 International Journal of Control
3 Kybernetika
3 Automation and Remote Control
3 Applied Mathematical Finance
3 Abstract and Applied Analysis
3 Journal of Systems Science and Complexity
3 4OR
3 European Actuarial Journal
2 Theory of Probability and its Applications
2 Applied Mathematics and Computation
2 Systems & Control Letters
2 Stochastic Analysis and Applications
2 Top
2 Applied Stochastic Models in Business and Industry
2 The ANZIAM Journal
2 Decisions in Economics and Finance
2 Journal of Machine Learning Research (JMLR)
2 Frontiers of Mathematics in China
2 Advances in Operations Research
2 AIMS Mathematics
1 Journal of Engineering Mathematics
1 Mathematical Notes
1 Problems of Information Transmission
1 Archiv der Mathematik
1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
1 Demonstratio Mathematica
1 Fuzzy Sets and Systems
1 Journal of Economic Theory
1 Journal of Mathematical Economics
1 Journal of Mathematical Psychology
1 Journal of Statistical Planning and Inference
1 Numerische Mathematik
1 Journal of Information & Optimization Sciences
1 Mathematical Social Sciences
1 Bulletin of the Korean Mathematical Society
1 Acta Applicandae Mathematicae
1 International Journal of Approximate Reasoning
1 Numerical Methods for Partial Differential Equations
1 Journal of Theoretical Probability
1 MCSS. Mathematics of Control, Signals, and Systems
1 Journal of Scientific Computing
1 Journal of Applied Mathematics and Stochastic Analysis
1 European Journal of Applied Mathematics
1 Journal of Statistical Computation and Simulation
1 SIAM Review
1 Computational Statistics and Data Analysis
1 Mathematical Programming. Series A. Series B
1 International Journal of Robust and Nonlinear Control
1 SIAM Journal on Optimization
1 Cybernetics and Systems Analysis
1 Topological Methods in Nonlinear Analysis
1 Applied Mathematics. Series B (English Edition)
1 Theory of Probability and Mathematical Statistics
1 Economic Theory
...and 32 more Serials

Citations by Year

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