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

Expected power utility maximization of insurers

Hata, Hiroaki; Yasuda, Kazuhiro - In: Asia Pacific financial markets 31 (2024) 3, pp. 543-577

Persistent link: https://www.econbiz.de/10015072354

Optimal reinsurance contract and investment strategy for multiple competitive-cooperative insurers and a reinsurer

Wang, Tao; Chen, Zhiping; Yang, Peng - In: IMA journal of management mathematics 35 (2024) 4, pp. 651-692

Persistent link: https://www.econbiz.de/10015333085

Examination of interest-growth differentials and the risk of sovereign insolvency

Lindgren, Jussi - In: Risks 9 (2021) 4, pp. 1-14

The objective of this research was to demonstrate the (nonlinear) risks of sovereign insolvency and explore the applicability of stochastic modeling in public debt management, given a structural economic model of stochastic government debt dynamics. A stochastic optimal control model was...

Persistent link: https://www.econbiz.de/10013200743

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-12

Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the...

Persistent link: https://www.econbiz.de/10013201083