On some effects of dependencies on an insurer’s risk exposure, probability of ruin, and optimal premium loading
R. L. Gudmundarson, M. Guerra and A. Moura
European Actuarial Journal, (2022).
Product formulas and convolutions for Laplace-Beltrami operators on product spaces: beyond the trivial case
R. Sousa, R. and S. Yakubovich
Mathematische Annalen, (2022).
A unified construction of product formulas and convolutions for Sturm–Liouville operators
R. Sousa, M. Guerra and S. Yakubovich
Analysis and Mathematical Physics 11, 87 (2021).
Lévy processes with respect to the Whittaker convolution
R. Sousa, M. Guerra and S. Yakubovich
Transactions of the American Mathematical Society 374, 2383-2419 (2021).
Reinsurance of multiple risks with generic dependence structures
M. Guerra and A. Moura
Insurance: Mathematics and Economics, to appear (2021).
Optimal stopping of one-dimensional diffusions with integral criteria
M. Guerra, C. Nunes and C. Oliveira
Journal of Mathematical Analysis and Applications 481, 123473 (2020).
Option pricing in exponential Lévy models with transaction costs
N. Cantarutti, M. Guerra, J. M. E. Guerra and M. R. Grossinho
Journal of Computational Finance 23, Number 4, 1-31 (2020).
On the product formula and convolution associated with the index Whittaker transform
R. Sousa, M. Guerra and S. Yakubovich
Journal of Mathematical Analysis and Applications 475, 939-965 (2019).
The optimal stopping problem revisited
M. Guerra, C. Nunes and C. Oliveira
Statistical Papers, (2019).
Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model
R. A. Sousa, A. B. Cruzeiro and M. Guerra
Journal of Computational and Applied Mathematics 328, 197-213 (2018).
Hysteresis due to irreversible exit: Addressing the option to mothball
M. Guerra, P. M. Kort, C. Nunes and C. Oliveira
Journal of Economic Dynamics and Control 92, 69-83 (2018).
Exit option for a class of profit functions
M. Guerra, C. Nunes and C. Oliveira
International Journal of Computer Mathematics 94, 2178-2193 (2017).
Fréchet Generalized Trajectories and Minimizers for Variational Problems of Low Coercivity
M. Guerra and A. Sarychev
Journal of Dynamical and Control Systems, (2014).
Are quantile risk measures suitable for risk-transfer decisions?
M. Guerra and M. L. Centeno
Insurance: Mathematics and Economics 50, 446-461 (2012).
Optimal reinsurance for variance related premium calculation principles
M. Guerra and M. L. Centeno
ASTIN Bulletin 40, 63-87 (2010).
The optimal reinsurance strategy - the individual claim case
M. L. Centeno and M. Guerra
Insurance: Mathematics and Economics 46, 450-460 (2010).
Generalized solutions for singular optimal control problems
M. Guerra
Journal of Mathematical Sciences 156, No3, 440-567 (2009).
Measuring singularity of generalized minimizers for control-affine problems
M. Guerra and A. Sarychev
Journal of Dynamical and Control Systems 15, N.2, 177-221 (2009).
Generalized synthesis for singular nonlinear optimal control problems
M. Guerra
Automation and Remote Control 69, No4, 579-589 (2008).
Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
M. Guerra and M. L. Centeno
Insurance: Mathematics and Economics 42, 529-539 (2008).
Option Pricing in Exponential Lévy Models with Transaction Costs
N. Cantarutti, J. M. E. Guerra, M. Guerra and M. R. Grossinho
ECMI Newsletter 56, 79-80 (2014).
Convolution-like structures, differential operators and diffusion processes
R. S, M. Guerra and S. Yakubovich
Lecture Notes in Mathematics, Springer 2315, (2022).
Mathematical Control Theory and Finance
M. R. Grossinho, M. Guerra, A. Sarychev and A. Shiryaev
Springer, (2008).
The hyperbolic maximum principle approach to the construction of generalized convolutions
R. Sousa, M. Guerra and S. Yakubovich
Special Functions and Analysis of Differential Equations, Eds. Praveen Agarwal, Ravi P. Agarwal and Michael Ruzhansky, CRC Press, 119-160 (2020).
Indifference pricing in a market with transaction costs and jumps
N. Cantarutti, J. M. E. Guerra, M. Guerra and M. R. Grossinho
Novel Methods in Computational Finance, Eds. M. Ehrhardt, M. Günther and E.J.W. ter Maten, Springer 25, 31-46 (2017).
Stochastic dynamic programming and control of Markov processes
M. Guerra
Novel methods in mathematical finance, Eds. M. Ehrhardt, M. Gunther, and J. ter Matten, Springer, (2017).
Existence and Lipschitzian regularity for relaxed minimizers
M. Guerra and A. Sarychev
in Mathematical Control Theory and Finance, Eds A. Sarychev et al., Springer, (2008).
Minimizing Ruin Probability Under Dependencies for Insurance Pricing
R. L. Gudmundarson, M. Guerra and A. Moura
preprint (2021).
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On the construction of convolution-like operators associated with multidimensional diffusion processes
R. Sousa, M. Guerra and S. Yakubovich
preprint (2020).
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Product formulas and convolutions for two-dimensional Laplace-Beltrami operators: beyond the trivial case
R. Sousa, M. Guerra and S. Yakubovich
preprint (2020).
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On the stochastic Lie algebra
M. Guerra and A. Sarychev
preprint (2018).
Black-Scholes equation for illiquid market
C. Oliveira and M. Guerra
preprint (2014).