Quaecumque VeraDepartment of Mathematical and Statistical Sciences
.
Tahir Choulli
Assistant Professor
Ph.D.

Office: CAB 663
Phone: (780) 492-9078
Fax: (780) 492-6826
Email:


Published or Accepted Papers

[1]     T. Choulli, Ch. Stricker and Jia Li (2007):
"Minimal Hellinger martingale measures of order q" .
To appear in Finance and Stochastics.

[2]     A. Cadenillas, T. Choulli, M. Taksar and Lei Zhang (2006):
"Classical and impulse control for the optimization of the dividend and risk policies of an insurance firm", Mathematical Finance, Vol 16, no.l, 181-202.

[3]     T. Choulli and Ch. Stricker (2006):
"More on minimal entropy-Hellinger martingale measure",
Mathematical Finance, Vol 16, No.1, 1-19.

[4]     T. Choulli and Ch. Stricker (2005):
"Minimal entropy-Hellinger martingale measure in incomplete markets",
Mathematical Finance, Vol.l5, No.3, 464-490.

[5]     T. Choulli, M. Taksar and Xun-Yu Zhou (2004):
"Interplay between the dividend rate and business activities constraints
for a financial corporation", Annals of Applied Probability, Vol. 14, No.4, 1810-1837.

[6]     T. Choulli, M. Taksar and Xun-Yu Zhou (2003):
" A diffusion model for optimal dividend distribution for a company with constraints on risk control", SIAM Journal on Control and Optimisation Vol. 41, No.6, pp. 1946-1979.

[7]     T. Choulli, M. Taksar and Xun- Yu Zhou (2001):
"Excess-of-Loss Reinsurance for a company with Debt Liability
and constraints on risk reduction", Quantitative Finance 1, 573-596.

[8]     T. Choulli and T. Hurd (2001):
"The role of Hellinger processes in Mathematical Finance", Entropy, 2001,3, pp:150-161.

[9]     Choulli, Ch. Stricker and L. Krawczyk (1999):
"On Fefferman and Burkholder-Davis-Gundy inequalities for £-martingales",
Probability Theory and Related Fields, 113, 571-597.

[10]   T. Choulli, L. Krawczyk and Ch. Stricker (1998):
"£-martingales and their applications in Mathematical Finance"
Annals of Probability, 1998, Vol 26, No 2, 853-876.

[11]   T. Choulli and Ch. Stricker (1998):
"Separation d'une sur-et sousmartingale par une martingale",
Seminaires de Probabilites
XXXII, Lectures Notes in Mathematics 1686,
67-72, 1998, Springer- Verlag.

[12]   T. Choulli and Ch. Stricker (1996) :
"Deux applications de la decomposition de Galtchouk-Kunita-Watanabe",
Seminaires de Probabilites XXX, Lectures Notes In Mathematics 1626,
12-23, Springer- Verlag.

 

Conference/Proceeding Papers

[13]   T. Choulli, M. Taksar and Xun-Yu Zhou (2001):
" An optimization model for a company with constraints on risk control". Proceedings of the 40th IEEE Conference on Decision and Control, pp. 4571-4576.

[14]   T. Choulli, M. Taksar and Xun-Yu Zhou (2001):
"Optimal risk control and dividend distribution for a financial cop oration with policy con­straints". Proceedings of the 40th IEEE Conference on Decision and Control, pp. 4559-4564.

 

Submitted or Working Papers:

[15]   T. Choulli, and M. Taksar (2006):
"Impact of liability for an insurance company under taxes and costs" .

[16]   T. Choulli, and M. Taksar (2007):
" Excess-of- Loss reinsurance under taxes and fixed costs for an insurance firm" .

[17]   T. Choulli and Ch. Stricker (2007):
"Comparing q-optimal martingale measure with the minimal Hellinger martingale measure of order q".

 

Other Reserach Papers

[21]   T. Choulli (1997):
"Quelques remarques sur les potentiels droits" .
This paper is published in my Ph.D. Thesis (June 1997), pages: 77-82, Universite de Franche­Comte.

[22]   T. Choulli and T. Hurd (2001):
"The portfolio selection problem via Hellinger processes". NOT published

 


Department of Mathematical and Statistical Sciences
University of Alberta
632 Central Academic Building
Edmonton, AB T6G 2G1
Phone: 780.492.3396
Fax: 780.492.6826
Last modified 08.28.07
CAB

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