Search Results - subject:"Hamilton–Jacobi– Bellman equation"

Dividend optimization under reserve constraints for the Cramér–Lundberg model compounded by force of interest

Zhu, Jinxia; Chen, Feng - In: Economic Modelling 46 (2015) C, pp. 142-156

We study the dividend optimization problem for a company where surplus in the absence of dividend payments follows a Cramér–Lundberg process compounded by constant force of interest. The company controls the times and amounts of dividend payments subject to reserve constraints that dividends...

Persistent link: https://www.econbiz.de/10011208943

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation

Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and Stochastics 19 (2015) 2, pp. 415-448

of dynamic programming, showing that the viscosity solutions of the associated Hamilton–Jacobi–Bellman equation belong to … a suitable class of smooth functions. This allows defining a smooth solution of the primal Hamilton–Jacobi–Bellman … equation, and proving by verification that such a solution is indeed unique in a suitable class of smooth functions and …

Persistent link: https://www.econbiz.de/10011241202

Optimal reinsurance and investment problem for an insurer with counterparty risk

Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance / Mathematics & economics 61 (2015), pp. 242-254

Persistent link: https://www.econbiz.de/10010515877

Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model

A, Chunxiang; Li, Zhongfei - In: Insurance / Mathematics & economics 61 (2015), pp. 181-196

Persistent link: https://www.econbiz.de/10010515891

Optimal dividends under a stochastic interest rate

Eisenberg, Julia - In: Insurance / Mathematics & economics 65 (2015), pp. 259-266

Persistent link: https://www.econbiz.de/10011428670

Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest

Zhu, Jinxia; Chen, Feng - In: Economic modelling 46 (2015), pp. 142-156

Persistent link: https://www.econbiz.de/10011436574

Numerical methods for the quadratic hedging problem in Markov models with jumps

De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67

Persistent link: https://www.econbiz.de/10011442638

Personal finance and life insurance under separation of risk aversion and elasticity of substitution

Jensen, N. E.; Steffensen, M. - In: Insurance / Mathematics & economics 62 (2015), pp. 28-41

Persistent link: https://www.econbiz.de/10011312090

Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation

Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and stochastics 19 (2015) 2, pp. 415-448

Persistent link: https://www.econbiz.de/10011418169

Optimal proportional reinsurance with common shock dependence

Yuen, Kam Chuen; Liang, Zhibin; Zhou, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011396849