Optimal trading strategies with transaction costs paid only for the first stock
Petr Dostál (2006)
Acta Universitatis Carolinae. Mathematica et Physica
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Petr Dostál (2006)
Acta Universitatis Carolinae. Mathematica et Physica
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Flood, Joe (1998)
Journal of Applied Mathematics and Decision Sciences
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Dariusz Socha (2014)
Applicationes Mathematicae
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An optimal dividend problem is studied consisting in maximisation of expected discounted dividend payments until ruin time. A solution of this problem for constant premium d and exponentially distributed claims is presented. It is shown that an optimal policy is a barrier policy. Moreover, an analytic way to solve this problem is sketched.
T. Dohi, F. S. Othman, N. Kaio, Sunji Osaki (2001)
RAIRO - Operations Research - Recherche Opérationnelle
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In this paper, we consider a repair-cost limit replacement problem with imperfect repair and develop a graphical method to determine the optimal repair-cost limit which minimizes the expected cost per unit time in the steady-state, using the Lorenz transform of the underlying repair-cost distribution function. The method proposed can be applied to an estimation problem of the optimal repair-cost limit from empirical repair-cost data. Numerical examples are devoted to examine asymptotic...
K. Szajowski (1982)
Applicationes Mathematicae
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Beneš, Václav E. (1998)
Journal of Applied Mathematics and Stochastic Analysis
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L. Gajek, P. Miś, J. Słowińska (2007)
Applicationes Mathematicae
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Optimal arrangement of a stream of insurance premiums for a multiperiod insurance policy is considered. In order to satisfy solvency requirements we assume that a weak Axiom of Solvency is satisfied. Then two optimization problems are solved: finding a stream of net premiums that approximates optimally 1) future claims, or 2) "anticipating premiums". It is shown that the resulting optimal streams of premiums enable differentiating between policyholders much more quickly than one-period...
Kumar, Ramesh C., Naqib, Fadle M. (1995)
International Journal of Mathematics and Mathematical Sciences
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F. Beichelt (1983)
Applicationes Mathematicae
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