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Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Strietzel, Philipp Lukas; Heinrich, Henriette Elisabeth - In: Risks : open access journal 10 (2022) 6, pp. 1-23
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the … dividends until simultaneous ruin of both branches of an insurance company by showing that the optimal value function satisfies …
Persistent link: https://www.econbiz.de/10013363123
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Optimal dividends and ALM under unhedgeable risk
Pelsser, Antoon André Jean; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 515-523
Persistent link: https://www.econbiz.de/10010227973
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Liquidity risk and optimal dividend/investment strategies
Chevalier, Etienne; Gaïgi, M’hamed; Ly Vath, Vathana - In: Mathematics and financial economics 11 (2017) 1, pp. 111-135
Persistent link: https://www.econbiz.de/10011900519
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Robust optimal investment and reinsurance problems with learning
Bäuerle, Nicole; Leimcke, Gregor - In: Scandinavian actuarial journal 2021 (2021) 2, pp. 82-109
Persistent link: https://www.econbiz.de/10012500254
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Optimal dividend problem with a nonlinear regular-singular stochastic control
Chen, Mi; Peng, Xiaofan; Guo, Junyi - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 448-456
Persistent link: https://www.econbiz.de/10009763629
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A perturbation approach to optimal investment, liability ratio, and dividend strategies
Zhuo, Jin; Xu, Zuo Quan; Zou, Bin - In: Scandinavian actuarial journal 2022 (2022) 2, pp. 165-188
Persistent link: https://www.econbiz.de/10012872656
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Some optimisation problems in insurance with a terminal distribution constraint
Colaneri, Katia; Eisenberg, Julia; Salterini, Benedetta - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 655-678
Persistent link: https://www.econbiz.de/10014383890
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Quadratic minimization with portfolio and terminal wealth constraints
Heunis, Andrew J. - In: Annals of finance 11 (2015) 2, pp. 243-282
Persistent link: https://www.econbiz.de/10011376186
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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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Portfolio optimization for an investor with a benchmark
Korn, Ralf; Lindberg, Carl - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 373-384
Persistent link: https://www.econbiz.de/10010412437