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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
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
In both complete and incomplete markets we consider the problem of fulfilling a financial obligation xc as well as possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use...
Persistent link: https://www.econbiz.de/10011545021
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Robust LMI stability, stabilization and H∞ control for premium pricing models with uncertainties into a stochastic discrete-time framework
Pantelous, Athanasios A.; Yang, Lin - In: Insurance / Mathematics & economics 59 (2014), pp. 133-143
Persistent link: https://www.econbiz.de/10010469163
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Optimizing mining rates under financial uncertainty in global mining complexes
Kizilkale, Arman C.; Dimitrakopoulos, Roussos - In: International journal of production economics 158 (2014), pp. 359-365
Persistent link: https://www.econbiz.de/10010437945
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Explicit investment rules with time-to-build and uncertainty
Aïd, René; Federico, Salvatore; Pham, Huyên; … - In: Journal of economic dynamics & control 51 (2015), pp. 240-256
Persistent link: https://www.econbiz.de/10011474400
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The effect of uncertainty on optimal control models in the neighbourhood of a steady state
Kimball, Miles S. - In: The Geneva risk and insurance review 39 (2014) 1, pp. 2-39
Persistent link: https://www.econbiz.de/10011297056
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Optimal macroeconomic policy rules under uncertainty (Some applications of optimal stochastic control theory)
Los, Cornelis A. - 1981
Persistent link: https://www.econbiz.de/10002494637
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
Persistent link: https://www.econbiz.de/10001475180
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On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, Julio; Tangpi, Ludovic - In: Mathematics and financial economics 14 (2020) 3, pp. 433-460
Persistent link: https://www.econbiz.de/10012240302
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Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10011686954