All Stories

  1. Stochastic differential game strategies in the presence of reinsurance and dividend payout

    Article • Journal of Industrial & Management Optimization, January 2023, American Institute of Mathematical Sciences (AIMS)

    Calisto Guambe

  2. Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory

    Article • Mathematical Control & Related Fields, January 2023, American Institute of Mathematical Sciences (AIMS)

    Calisto Guambe

  3. On the sensitivity analysis of energy quanto options

    Article • Stochastic Analysis and Applications, October 2021, Taylor & Francis

    Calisto Guambe

  4. Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model

    Article • Japan Journal of Industrial and Applied Mathematics, August 2021, Springer Science + Business Media

    Calisto Guambe

  5. AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK

    Article • International Journal of Theoretical and Applied Finance, May 2021, World Scientific Pub Co Pte Lt

    Calisto Guambe

  6. A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations

    Article • Communication in Statistics- Theory and Methods, May 2020, Taylor & Francis

    Calisto Guambe

  7. Optimal asset allocation for a DC plan with partial information under inflation and mortality risks

    Article • Communication in Statistics- Theory and Methods, September 2019, Taylor & Francis

    Calisto Guambe

  8. Optimal investment-consumption and life insurance with capital constraints

    Article • Communication in Statistics- Theory and Methods, December 2018, Taylor & Francis

    Calisto Guambe

  9. Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach

    Article • Optimization, November 2017, Taylor & Francis

    Calisto Guambe

  10. A note on optimal investment–consumption–insurance in a Lévy market

    Article • Insurance Mathematics and Economics, November 2015, Elsevier

    Calisto Guambe