Optimization of consumption with partial observation-Jensen inequality method

Grzegorz Hałaj

The search session has expired. Please query the service again.

Displaying similar documents to “Optimization of consumption with partial observation-Jensen inequality method”

Optimal streams of premiums in multiperiod credibility models

L. Gajek, P. Miś, J. Słowińska (2007)

Applicationes Mathematicae

Similarity:

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...

On optimal credibility premiums in multiperiod insurance

W. Antoniak, M. Kałuszka (2014)

Applicationes Mathematicae

Similarity:

This paper focuses on the problem of optimal arrangement of a stream of premiums in a multiperiod credibility model. On the basis of a given claim history (screening) and some individual information unknown to the insurance company (signaling), we derive the optimal streams in the case when the coverage period is not necessarily fixed, e.g., because of lapses, renewals, deaths, total losses, etc.

Application of optimal transportation theory to the reconstruction of the early Universe.

Frisch, Uriel, Sobolevskii, A. (2004)

Journal of Mathematical Sciences (New York)

Similarity:

On the complexity of determining tolerances for ε-optimal solutions to min-max combinatorial optimization problems

Diptesh Ghosh, Gerard Sierksma (2003)

Applicationes Mathematicae

Similarity:

This paper studies the complexity of sensitivity analysis for optimal and ε-optimal solutions to general 0-1 combinatorial optimization problems with min-max objectives. Van Hoesel and Wagelmans [9] have studied the complexity of sensitivity analysis of optimal and ε-optimal solutions to min-sum problems, and Ramaswamy et al. [17] the complexity of sensitivity analysis of optimal solutions to min-max problems. We show that under some mild assumptions the sensitivity analysis of ε-optimal...

On the determination of optimal time horizon in a control problem in natural resource economics.

Kumar, Ramesh C., Naqib, Fadle M. (1995)

International Journal of Mathematics and Mathematical Sciences

Similarity:

Optimal recharge and driving strategies for a battery-powered electric vehicle.

Lee, W.R., Wang, S., Teo, K.L. (1999)

Mathematical Problems in Engineering

Similarity:

A conception of optimality for algorithms and its application to the optimal search for a minimum

A. Adamski, A. Korytowski, W. Mitkowski (1977)

Applicationes Mathematicae

Similarity:

Discrete time optimal dividend problem with constant premium and exponentially distributed claims

Dariusz Socha (2014)

Applicationes Mathematicae

Similarity:

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.

Optimal trading strategies with transaction costs paid only for the first stock

Petr Dostál (2006)

Acta Universitatis Carolinae. Mathematica et Physica

Similarity:

Optimal control of production inventory systems with deteriorating items and dynamic costs.

Benhadid, Yacine, Tadj, Lotfi, Bounkhel, Messaoud (2008)

Applied Mathematics E-Notes [electronic only]

Similarity:

Optimal design of cylindrical shells

Peter Nestler, Werner H. Schmidt (2010)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

Similarity:

The present paper studies an optimization problem of dynamically loaded cylindrical tubes. This is a problem of linear elasticity theory. As we search for the optimal thickness of the tube which minimizes the displacement under forces, this is a problem of shape optimization. The mathematical model is given by a differential equation (ODE and PDE, respectively); the mechanical problem is described as an optimal control problem. We consider both the stationary (time independent) and the...

Optimal investment under behavioural criteria - a dual approach

Miklós Rásonyi, José G. Rodríguez-Villarreal (2015)

Banach Center Publications

Similarity:

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...