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Rafael Serrano

Personal Details

First Name:Rafael
Middle Name:
Last Name:Serrano
Suffix:
RePEc Short-ID:pse775
https://sites.google.com/view/rafael-serrano

Affiliation

Facultad de Economía
Universidad del Rosario

Santa Fe de Bogotá, Colombia
http://www.urosario.edu.co/facultad-economia/inicio/
RePEc:edi:ferosco (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Hugo E. Ramirez & Rafael Serrano, 2023. "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Papers 2303.04236, arXiv.org.
  2. Andr'es C'ardenas & Sergio Pulido & Rafael Serrano, 2022. "Existence of optimal controls for stochastic Volterra equations," Papers 2207.05169, arXiv.org, revised Mar 2024.
  3. Bent Jesper Christensen & Juan Carlos Parra-Alvarez & Rafael Serrano, 2020. "Optimal control of investment, premium and deductible for a non-life insurance company," CREATES Research Papers 2020-11, Department of Economics and Business Economics, Aarhus University.
  4. Rafael Serrano & Camilo Castillo, 2018. "ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach," Papers 1810.08466, arXiv.org, revised Aug 2021.
  5. Mauricio Junca & Rafael Serrano, 2014. "Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics," Papers 1411.1103, arXiv.org, revised Sep 2015.
  6. Rafael Serrano, 2014. "Ecuaciones Diferenciales Estocásticas con Condición Final y Soluciones de Viscosidad de EDPS Semilineales de Segundo Orden," Documentos de Trabajo 12231, Universidad del Rosario.
  7. Rafael Serrano, 2014. "Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors," Documentos de Trabajo 12233, Universidad del Rosario.
  8. Oscar Lopez & Rafael Serrano, 2014. "Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models," Papers 1406.3112, arXiv.org.

Articles

  1. Ramírez, Hugo E. & Serrano, Rafael, 2025. "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Applied Mathematics and Computation, Elsevier, vol. 485(C).
  2. Serrano, Rafael, 2023. "Climbing the income ladder: Search and investment in a regime-switching affine income model," Finance Research Letters, Elsevier, vol. 58(PA).
  3. Rafael Serrano, 2021. "Portfolio Allocation In A Levy-Type Jump-Diffusion Model With Nonlife Insurance Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(01), pages 1-34, February.
  4. Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael, 2021. "Optimal control of investment, premium and deductible for a non-life insurance company," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 384-405.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bent Jesper Christensen & Juan Carlos Parra-Alvarez & Rafael Serrano, 2020. "Optimal control of investment, premium and deductible for a non-life insurance company," CREATES Research Papers 2020-11, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Yan, Tingjin & Park, Kyunghyun & Wong, Hoi Ying, 2022. "Irreversible reinsurance: A singular control approach," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 326-348.

  2. Oscar Lopez & Rafael Serrano, 2014. "Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models," Papers 1406.3112, arXiv.org.

    Cited by:

    1. Mauricio Junca & Rafael Serrano, 2014. "Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics," Papers 1411.1103, arXiv.org, revised Sep 2015.

Articles

  1. Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael, 2021. "Optimal control of investment, premium and deductible for a non-life insurance company," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 384-405.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-UPT: Utility Models and Prospect Theory (6) 2014-06-14 2014-11-17 2018-11-12 2020-11-02 2023-04-10 2023-04-17. Author is listed
  2. NEP-IAS: Insurance Economics (2) 2018-11-12 2020-11-02
  3. NEP-ORE: Operations Research (2) 2014-11-17 2020-11-02
  4. NEP-RMG: Risk Management (2) 2020-11-02 2023-04-17
  5. NEP-DES: Economic Design (1) 2023-04-17

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