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

Optimal reinsurance and investment under common shock dependence between financial and actuarial markets

Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 105 (2022), pp. 252-278

Persistent link: https://www.econbiz.de/10013349033

Optimal time-consistent reinsurance and investment strategies for a jump-diffusion financial market without cash

Zhang, Caibin; Liang, Zhibin - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413423

Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion

Yuan, Yu; Liang, Zhibin; Han, Xia - In: Mathematical methods of operations research : ZOR 96 (2022) 2, pp. 259-290

Persistent link: https://www.econbiz.de/10013455032

A stochastic control approach to public debt management

Brachetta, Matteo; Ceci, Claudia - In: Mathematics and financial economics 16 (2022) 4, pp. 749-778

Persistent link: https://www.econbiz.de/10013438881

Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction

Liang, Jin; Huang, Wenlin - In: Mathematics and financial economics 16 (2022) 1, pp. 89-123

Persistent link: https://www.econbiz.de/10013167708

Continuous-time portfolio optimization for absolute return funds

Ieda, Masashi - In: Asia Pacific financial markets 29 (2022) 4, pp. 675-696

Persistent link: https://www.econbiz.de/10013397759

The Italian pension gap: A stochastic optimal control approach

Milazzo, Alessandro; Vigna, Elena - In: Risks 6 (2018) 2, pp. 1-20

We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...

Persistent link: https://www.econbiz.de/10011996606

The Italian pension gap : a stochastic optimal control approach

Milazzo, Alessandro; Vigna, Elena - In: Risks : open access journal 6 (2018) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10011866511

Mean-variance investment and risk control strategies : a time-consistent approach via a forward auxiliary process

Shen, Yang; Zou, Bin - In: Insurance / Mathematics & economics 97 (2021), pp. 68-80

Persistent link: https://www.econbiz.de/10012491963

Optimal control of investment, premium and deductible for a non-life insurance company

Christensen, Bent Jesper; Parra-Alvarez, Juan Carlos; … - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 384-405

Persistent link: https://www.econbiz.de/10012793933