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Eine Option beinhaltet das Recht, einen bestimmten Basiswert (Aktien oder Anleihen) zu ei-nem vereinbarten Preis innerhalb eines festgelegten Zeitraums oder zu einem festen Zeitpunkt zu kaufen (Kaufoption bzw. „Call“) oder zu verkaufen (Verkaufsoption bzw. „Put“). Der Käufer der Option...
Persistent link: https://www.econbiz.de/10005869469
We consider a risk process modelled as a compound Poisson process. The ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. ...
Persistent link: https://www.econbiz.de/10005845999
An optimal control problem is considered where a risky asset is used for investment and this investment is ...nanced by initial wealth as well as by a state dependent income. The objektive function is accumulated discounted aspected utility of the wealth, where the utility function is increasing...
Persistent link: https://www.econbiz.de/10005846358
We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...
Persistent link: https://www.econbiz.de/10005846359
This paper considers a problem of DU (Ee and Richardson in an economy in which there are two observable processes X and Y both driven by Brownian motions.
Persistent link: https://www.econbiz.de/10005846360
... The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case ...
Persistent link: https://www.econbiz.de/10005846376
In a talk given at the Royal Statistical Society of London, Karl Borch in 1967 made the following statement (see Taksar 44):...It took some more time until the first papers on stochastic control in insurance appeared. Since then we can see a rapid development of this field with a series of...
Persistent link: https://www.econbiz.de/10005846381
Die Altersversorgung ist nur ein Grund für die Anlage von Geldern. Die Möglichkeiten der Gewinnerzielung aus Kapitalanlagen ist andererseits von der Bereitschaft oder der Notwendigkeit der Aufnahme von Fremdgeldern abhängig. In der Bausparwirtschaft ist hier traditionell ein...
Persistent link: https://www.econbiz.de/10005846563
Fair pricing of embedded options in life insurance contracts is usually conducted by using risk-neutral valuation. This pricing framework assumes a perfect hedging strategy, which insurance companies can hardly pursue in practice. In this paper, we extend the risk-neutral valuation concept with...
Persistent link: https://www.econbiz.de/10005861547
Persistent link: https://www.econbiz.de/10010309069