In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...

We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based on the assumption that no shares of assets per unit of...

This paper proposes an analytical elasto–plastic model to describe the behavior of arches. The modeling is carried out using the equations of (i) horizontal equilibrium, (ii) vertical equilibrium and (iii) equilibrium of moments. The latter equations of equilibrium are ordinary differential...

В статье рассмотрены определения термина «устойчивость банковской системы», приводимые различными авторами. Эти определения сопоставляются с определениями...