In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when...

We give a framework for the globalization of a nonsmooth Newton method. In part one we start with recalling B. Kummer’s approach to convergence analysis of a nonsmooth Newton method and state his results for local convergence. In part two we give a globalized version of this method. Our...

The geometric duality theory of Heyde and Löhne (2006) defines a dual to a multiple objective linear programme (MOLP). In objective space, the primal problem can be solved by Benson’s outer approximation method (Benson 1998a,b) while the dual problem can be solved by a dual variant of...

We consider the single-facility location problem with mixed norms, i.e. the problem of minimizing the sum of the distances from a point to a set of fixed points in <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$${\mathbb{R}^n}$$</EquationSource> </InlineEquation> , where each distance can be measured according to a different p-norm. We show how this problem can be...</equationsource></inlineequation>