An application of dynamic programming principle in corporate international optimal investment and consumption choice problem.
Huang, Zongyuan, Wu, Zhen (2010)
Mathematical Problems in Engineering
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Huang, Zongyuan, Wu, Zhen (2010)
Mathematical Problems in Engineering
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Swen Kiesel, Ludger Rüschendorf (2013)
Applicationes Mathematicae
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In this paper we consider the optimal reinsurance problem in endogenous form with respect to general convex risk measures ϱ and pricing rules π. By means of a subdifferential formula for compositions in Banach spaces we first characterize optimal reinsurance contracts in the case of one insurance taker and one insurer. In the second step we generalize the characterization to the case of several insurance takers. As a consequence we obtain a result saying that cooperation brings less...
Petr Dostál (2006)
Acta Universitatis Carolinae. Mathematica et Physica
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Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
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Beneš, Václav E. (1998)
Journal of Applied Mathematics and Stochastic Analysis
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Hansjörg Albrecher, Stefan Thonhauser (2009)
RACSAM
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Miao-Sheng Chen, Mei-Chen Chu (2000)
The Yugoslav Journal of Operations Research
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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.
Maria De Lourdes Centeno, Onofre Simoes (2009)
RACSAM
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Benhadid, Yacine, Tadj, Lotfi, Bounkhel, Messaoud (2008)
Applied Mathematics E-Notes [electronic only]
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