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
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Kumar, Ramesh C., Naqib, Fadle M. (1995)
International Journal of Mathematics and Mathematical Sciences
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Lee, W.R., Wang, S., Teo, K.L. (1999)
Mathematical Problems in Engineering
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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...
Highfill, Jannett, McAsey, Michael (1991)
International Journal of Mathematics and Mathematical Sciences
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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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Ilija Nikolić (2007)
The Yugoslav Journal of Operations Research
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Diptesh Ghosh, Gerard Sierksma (2003)
Applicationes Mathematicae
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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...
Huang, Zongyuan, Wu, Zhen (2010)
Mathematical Problems in Engineering
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Benhadid, Yacine, Tadj, Lotfi, Bounkhel, Messaoud (2008)
Applied Mathematics E-Notes [electronic only]
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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.
A. Adamski, A. Korytowski, W. Mitkowski (1977)
Applicationes Mathematicae
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Lee, H. W. J., Cai, X. Q., Teo, K. L. (2001)
Mathematical Problems in Engineering
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Łukasz Stettner (2005)
Applicationes Mathematicae
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Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk...