2012

Korn, Ralf, Menkens, Olaf and Steffensen, Mogens (2012) Worst-case-optimal dynamic reinsurance for large claims. European Actuarial Journal, 2 (1). pp. 21-48. ISSN 2190-9733

2005

Korn, Ralf and Menkens, Olaf (2005) On worst-case investment with applications in finance and insurance mathematics. In: Deuschel, Jean-Dominique and Greven, Andreas, (eds.) Interacting Stochastic Systems. Springer Berlin Heidelberg, pp. 397-407. ISBN 978-3-540-27110-9

Korn, Ralf and Menkens, Olaf (2005) Worst-case scenario portfolio optimization: a new stochastic control approach. Mathematical Methods of Operations Research, 62 (1). pp. 123-140. ISSN 1432-5217