Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is...

Motivated by the AIG bailout case in the financial crisis of 2007–2008, we consider an insurer who wants to maximize his/her expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and...

We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize...

A response surface methodology (RSM) was used to evaluate the effects of pH and microalgal biomass concentration (BC) on alkaline flocculating activity for harvesting one freshwater green algae <i>Scenedesmus quadricauda</i> #507 and one marine diatom <i>Chaetoceros</i> <i>muelleri</i> #862. The pH value and BC were...

Motivated by economic and empirical arguments, we consider a company whose cash surplus is affected by macroeconomic conditions. Specifically, we model the cash surplus as a Brownian motion with drift and volatility modulated by an observable continuous-time Markov chain that represents the...

We consider the problem of a Central Bank that wants the exchange rate to be as close as possible to a given target, and in order to do that uses both the interest rate level and interventions in the foreign exchange market. We model this as a mixed classical-impulse stochastic control problem,...

We present a survey of problems and methods contained in various works on consumption-investment problems with transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic impulse control. We also describe some open problems in this...

We present a survey of problems and methods contained in various works on consumption-investment problems with transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic impulse control. We also describe some open problems in this...