Search Results - subject:"Stochastic Control"

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

Luo, Xiaolin - 2015

Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behavior solved as an optimal stochastic … control problem. This product simultaneously deals with financial risk, mortality risk and human behavior. We assume that … annuity price can be expressed as appropriate expectation. The computing engine employed to solve the optimal stochastic …

Persistent link: https://www.econbiz.de/10013031777

Experimentation in Two-Sided Markets

Peitz, Martin - 2015

We study optimal experimentation by a monopolistic platform in a two-sided market. The platform provider is uncertain about the strength of the externality each side is exerting on the other. Setting participation fees on both sides, it gradually learns about these externalities by observing...

Persistent link: https://www.econbiz.de/10013022496

Norwegian Rhapsody? The Political Economy Benefits of Regional Integration

Campos, Nauro - 2015

This paper investigates whether joint economic and political integration leads to larger economic benefits than just economic integration. The identification strategy rests on the fact that Norway, at the time of the 1995 Enlargement of the European Union (EU), had successfully completed...

Persistent link: https://www.econbiz.de/10013016399

Monte Carlo methods via a dual approach for some discrete time stochastic control problems

Gyurkó, Lajos Gergely; Hambly, Ben M.; Witte, Jan Hendrik - In: Mathematical methods of operations research 81 (2015) 1, pp. 109-135

Persistent link: https://www.econbiz.de/10010488925

Explicit investment rules with time-to-build and uncertainty

Aïd, René; Federico, Salvatore; Pham, Huyên; … - In: Journal of economic dynamics & control 51 (2015), pp. 240-256

Persistent link: https://www.econbiz.de/10011474400

A stochastic dynamic pricing and advertising model under risk aversion

Schlosser, Rainer - In: Journal of revenue and pricing management 14 (2015) 6, pp. 451-468

Persistent link: https://www.econbiz.de/10011481827

Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

Luo, Xiaolin; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 62 (2015), pp. 5-15

Persistent link: https://www.econbiz.de/10011312092

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

Dynamic forecasting and control algorithms of glaucoma progression for clinician decision support

Helm, Jonathan E.; Lavieri, Mariel S.; Van Oyen, Mark P.; … - In: Operations research 63 (2015) 5, pp. 979-999

Persistent link: https://www.econbiz.de/10011397795

Asymptotically optimal inventory control for assemble-to-order systems with identical lead times

Reiman, Martin I.; Wang, Qiong - In: Operations research 63 (2015) 3, pp. 716-732

Persistent link: https://www.econbiz.de/10011292923