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Numerical solution of optimal control problems with constant control delays

Brandt-Pollmann, Ulrich; Winkler, Ralph; Sager, Sebastian; … - In: Computational economics 31 (2008) 2, pp. 181-206

Persistent link: https://www.econbiz.de/10003686033

Optimal dividend problem with a nonlinear regular-singular stochastic control

Chen, Mi; Peng, Xiaofan; Guo, Junyi - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 448-456

Persistent link: https://www.econbiz.de/10009763629

Continuously controlled options : derivatives with added flexibility

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10009725089

Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Optimal dividends and ALM under unhedgeable risk

Pelsser, Antoon André Jean; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 515-523

Persistent link: https://www.econbiz.de/10010227973

Optimal risk control under marked point processes shocks : a dynamic programming duality approach

Mnif, Mohamed - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-45

Persistent link: https://www.econbiz.de/10010233243

Minimizing the probability of lifetime drawdown under constant consumption

Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223

Persistent link: https://www.econbiz.de/10011533908

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

Optimal life-insurance selection and purchase within a market of several life-insurance providers

Mousa, A. S.; Pinheiro, D.; Pinto, A. A. - In: Insurance / Mathematics & economics 67 (2016), pp. 133-141

Persistent link: https://www.econbiz.de/10011457212

Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach

Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 57 (2014), pp. 1-12

Persistent link: https://www.econbiz.de/10010402753