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...

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...

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.

... 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 ...

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...

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...

Due to the general globalisation of the German real estate market the open-ended real estatefunds diversify their portfolios globally. This development became possible because of legaldeliberalisation and the rising demand for internationally diversified investment products. Thepaper...

Die Analyse von Einzeltiteln und -märkten braucht viel Zeit und Energie. Nur wenigen gelingt es, mit darauf basierenden Investitionen eine überdurchschnittliche Rendite zu erzielen. Für die meisten Investorenempfiehlt sich bei der Kapitalanlage eine breit abgestützte Strategie.(...)

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...

Recently, Frittelli and Scandolo ([9]) extend the notion of risk measures, originally introduced by Artzner, Delbaen, Eber and Heath ([1]), to the risk assessment of abstract financial positions, including pay offs spread over different dates, where liquid derivatives are admitted to serve as...