Search Results - subject:"stochastic factor model"

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

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

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed by a marked point process with dual-predictable...

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

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer’s surplus is governed by a marked point process with dual-predictable...

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

Robust Maximization of Consumption with Logarithmic Utility

Hernández-Hernández, Daniel; Schied, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

maximization in a stochastic factor model. Stat. Decisions 24, 109-125 (2006). [14] Hern´andez-Hern´andez D., Schied, A. A control …-129 (2007). [22] Schied, A. Robust control of consumption-investment strategies in a stochastic factor model. Preprint, TU …

Persistent link: https://www.econbiz.de/10005652724