Manuel Guerra

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).
PDF

On the construction of convolution-like operators associated with multidimensional diffusion processes

R. Sousa, M. Guerra and S. Yakubovich

* preprint* (2020).
PDF

Product formulas and convolutions for two-dimensional Laplace-Beltrami operators: beyond the trivial case

R. Sousa, M. Guerra and S. Yakubovich

* preprint* (2020).
PDF

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).