Search Results - subject:"Diffusion approximation"

Finite state mean field games with Wright-Fisher common noise as limits of N-player weighted games

Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; … - In: Mathematics of operations research 47 (2022) 4, pp. 2840-2890

Persistent link: https://www.econbiz.de/10014311391

Hawkes processes in insurance : risk model, application to empirical data and optimal investment

Sviščuk, Anatolij; Zagst, Rudi; Zeller, Gabriela - In: Insurance / Mathematics & economics 101 (2021) 1, pp. 107-124

Persistent link: https://www.econbiz.de/10012793913

Adaptive continuous time Markov chain approximation model to general jump-diffusions

Cerrato, Mario; Lo, Chia Chun; Skindilias, Konstantinos - Department of Economics, Adam Smith Business School - 2011

We propose a non-equidistant Q rate matrix formula and an adaptive numerical algorithm for a continuous time Markov chain to approximate jump-diffusions with affine or non-affine functional specifications. Our approach also accommodates state-dependent jump intensity and jump distribution, a...

Persistent link: https://www.econbiz.de/10009398859

Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin

Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 92 (2020), pp. 128-146

Persistent link: https://www.econbiz.de/10012242047

The limit of stationary distributions of many-server queues in the Halfin-Whitt regime

Aghajani, Reza; Ramanan, Kavita - In: Mathematics of operations research 45 (2020) 3, pp. 1016-1055

Persistent link: https://www.econbiz.de/10012293367

Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation

Cohen, Asaf; Young, Virginia R. - In: Insurance / Mathematics & economics 93 (2020), pp. 333-340

Persistent link: https://www.econbiz.de/10012294139

Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market

Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, … - In: Insurance / Mathematics & economics 87 (2019), pp. 92-100

Persistent link: https://www.econbiz.de/10012058923

Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

Minimizing the probability of ruin : optimal per-loss reinsurance

Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190

Persistent link: https://www.econbiz.de/10011929867

On capital injections and dividends with tax in a diffusion approximation

Schmidli, Hanspeter - In: Scandinavian actuarial journal (2017) 9, pp. 751-760

Persistent link: https://www.econbiz.de/10011848637