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We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the …
Persistent link: https://www.econbiz.de/10013363123
We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and healthcare irreversible investment. Our model is based on a Merton's portfolio and consumption problem, where, in addition, the agent can choose the time at which undertaking a...
Persistent link: https://www.econbiz.de/10013466319
This paper proposes and solves an optimal dividend problem in which a two-state regimeswitching environment affects the … expected profits from dividends until bankruptcy. The company's optimal dividend payout is therefore influenced by four factors … theoretical results by a detailed numerical study, where also a thorough analysis of the sensitivities of the optimal dividend …
Persistent link: https://www.econbiz.de/10012670176
In this paper, we consider a company that can satisfy customers' demands for a product using two alternative sourcing strategies: (1) purchasing new products from outside sources (such as an international partner) or (2) collecting cores (used products) and remanufacturing them. As the purchase...
Persistent link: https://www.econbiz.de/10014436613
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process v whose components have paths of bounded variation. The presence of the process v prevents from directly applying classical results and novel estimates need to be...
Persistent link: https://www.econbiz.de/10012550287
example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic …
Persistent link: https://www.econbiz.de/10012391761
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost functional over an infinite time-horizon through a process...
Persistent link: https://www.econbiz.de/10012488056
We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for...
Persistent link: https://www.econbiz.de/10012304872
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call...
Persistent link: https://www.econbiz.de/10014277006
Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the surplus. Our key variable is the (absolute)...
Persistent link: https://www.econbiz.de/10012423032