Optimal choice problem with backward solicitation
K. Szajowski (1982)
Applicationes Mathematicae
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K. Szajowski (1982)
Applicationes Mathematicae
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Z. Porosiński (1985)
Applicationes Mathematicae
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Z. Porosiński (1988)
Applicationes Mathematicae
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Gerardo Sanz Sáiz (1986)
Extracta Mathematicae
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A. Styszyński (1984)
Applicationes Mathematicae
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Frisch, Uriel, Sobolevskii, A. (2004)
Journal of Mathematical Sciences (New York)
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Petr Dostál (2006)
Acta Universitatis Carolinae. Mathematica et Physica
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Kumar, Ramesh C., Naqib, Fadle M. (1995)
International Journal of Mathematics and Mathematical 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.
Miklós Rásonyi, José G. Rodríguez-Villarreal (2015)
Banach Center Publications
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We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in Carassus-Rásonyi (2015) under certain conditions on the parameters of these power functions. In the present paper we prove the existence of optimal strategies under a different set of conditions on the parameters, identical to the ones in Rásonyi-Rodrigues...
Dean A. Carlson (1984)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
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Dean A. Carlson (1984)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti
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B. D. Bojanov (1976)
Applicationes Mathematicae
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Tadumadze, T., Gelashvili, K. (2000)
Memoirs on Differential Equations and Mathematical Physics
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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...