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Numerical ruin probability in the dual risk model with risk-free investments

Loke, Sooie-Hoe; Thomann, Enrique - In: Risks : open access journal 6 (2018) 4, pp. 1-13

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated...

Persistent link: https://www.econbiz.de/10011906144

Optimal grid selection for the numerical solution of dynamic stochastic optimization problems

Chipeniuk, Karsten O. - In: Computational economics 56 (2020) 4, pp. 883-928

Persistent link: https://www.econbiz.de/10012390486

Finite-maturity stock loans under the constant elasticity of variance model

Yan, Li; Qin, Xiaoer; Li, Haoqi - In: Applied economics letters 26 (2019) 4, pp. 316-320

Persistent link: https://www.econbiz.de/10012204199

Finite horizon portfolio selection with durable goods

Jeon, Junkee; Koo, Hyeng-keun; Park, Kyunghyun - In: Mathematical social sciences 111 (2021), pp. 55-67

Persistent link: https://www.econbiz.de/10012615622

An integral equation representation for optimal retirement strategies in portfolio selection problem

Jeon, Junkee; Koo, Hyeng-keun; Shin, Yong Hyun; Yang, Zhou - In: Computational economics 58 (2021) 3, pp. 885-914

Persistent link: https://www.econbiz.de/10012651047

Pricing resettable convertible bonds using an integral equation approach

Lin, Sha; Zhu, Song-Ping - In: IMA journal of management mathematics 31 (2020) 4, pp. 417-443

Persistent link: https://www.econbiz.de/10012314042

Exponential utility maximization for an insurer with time-inconsistent preferences

Zhao, Qian; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 70 (2016), pp. 89-104

Persistent link: https://www.econbiz.de/10011597189

A functional analysis approach to the static replication of European options

Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew - In: Quantitative finance 21 (2021) 4, pp. 637-655

Persistent link: https://www.econbiz.de/10012483843

Pricing callable-puttable convertible bonds with an integral equation approach

Lin, Sha; Zhu, Song-Ping - In: The journal of futures markets 42 (2022) 10, pp. 1856-1911

Persistent link: https://www.econbiz.de/10013465827