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Optimal risk and liquidity management with costly refinancing opportunities
Barth, Andrea; Moreno-Bromberg, Santiago - In: Insurance / Mathematics & economics 57 (2014), pp. 31-45
Persistent link: https://www.econbiz.de/10010402740
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Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 664-670
Persistent link: https://www.econbiz.de/10010227909
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A bivariate shot noise self-exciting process for insurance
Jang, Jiwook; Dassios, Angelos - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 524-532
Persistent link: https://www.econbiz.de/10010227969
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Optimal investment strategies for participating contracts
Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Insurance / Mathematics & economics 73 (2017), pp. 137-155
Persistent link: https://www.econbiz.de/10011702060
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Dynamics of state-wise prospective reserves in the presence of non-monotone information
Christiansen, Marcus C.; Furrer, Christian - In: Insurance / Mathematics & economics 97 (2021), pp. 81-98
Persistent link: https://www.econbiz.de/10012491966
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Classical and singular stochastic control for the optimal dividend policy when there is regime switching
Sotomayor, Luz R.; Cadenillas, Abel - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 344-354
Persistent link: https://www.econbiz.de/10008989297
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Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
Luo, Xiaolin; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 62 (2015), pp. 5-15
Persistent link: https://www.econbiz.de/10011312092
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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
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Stochastic Pareto-optimal reinsurance policies
Zeng, Xudong; Luo, Shangzhen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 671-677
Persistent link: https://www.econbiz.de/10010227906