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

Optimising dividends and consumption under an exponential CIR as a discount factor

Eisenberg, Julia; Mišura, Julija S. - In: Mathematical methods of operations research : ZOR 92 (2020) 2, pp. 285-309

Persistent link: https://www.econbiz.de/10012395571

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks 7 (2019) 2, pp. 1-23

premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton-Jacobi-Bellman … equation, we analyze the optimal reinsurance strategy under the criterion of maximizing the expected exponential utility of the …

Persistent link: https://www.econbiz.de/10013200466

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks : open access journal 7 (2019) 2/48, pp. 1-23

Persistent link: https://www.econbiz.de/10012019228

A continuous-time utility maximization problem with borrowing constraints in macroeconomic heterogeneous agent models : a case of regular controls under Markov chain uncertainty

Shigeta, Yuki - 2022

Persistent link: https://www.econbiz.de/10013483914

The quantity theory of stock prices

Song, Xiaojing; Truong, Thu Phuong; Tippett, Mark; … - In: The European journal of finance 28 (2022) 17, pp. 1685-1707

Persistent link: https://www.econbiz.de/10013532257

Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times

Schmidli, Hanspeter - In: Scandinavian actuarial journal 2022 (2022) 1, pp. 49-63

Persistent link: https://www.econbiz.de/10012872646

Optimal solution of the liquidation problem under execution and price impact risks

Mariani, Francesca; Fatone, Lorella - In: Quantitative finance 22 (2022) 6, pp. 1037-1049

Persistent link: https://www.econbiz.de/10013367883

Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

Yuan, Yu; Liang, Zhibin; Han, Xia - In: Scandinavian actuarial journal 2022 (2022) 4, pp. 328-355

Persistent link: https://www.econbiz.de/10013370644

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

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