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Fractional risk process in insurance

Kumar, Arun; Leonenko, Nikolaj; Pichler, Alois - In: Mathematics and financial economics 14 (2020) 1, pp. 43-65

Persistent link: https://www.econbiz.de/10012239969

Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model

Hata, Hiroaki; Yasuda, Kazuhiro - In: Scandinavian actuarial journal (2018) 5, pp. 357-378

Persistent link: https://www.econbiz.de/10011881444

Discounted penalty function at Parisian ruin for Lévy insurance risk process

Loeffen, R.; Palmowski, Z.; Surya, B. A. - In: Insurance / Mathematics & economics 83 (2018), pp. 190-197

Persistent link: https://www.econbiz.de/10011944136

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks : open access journal 9 (2021) 6, pp. 1-13

We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t)...

Persistent link: https://www.econbiz.de/10012598381

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process

Budhi Arta Surya; Wang, Wenyuan; Zhao, Xianghua; Zhou, … - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 97-122

Persistent link: https://www.econbiz.de/10014325014