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De Finetti's control problem with parisian ruin for spectrally negative Lévy processes
Renaud, Jean-François - In: Risks : open access journal 7 (2019) 3/73, pp. 1-11
We consider de Finetti’s stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative Lévy model with exponential Parisian ruin. We show that,...
Persistent link: https://www.econbiz.de/10012127604
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Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Strietzel, Philipp Lukas; Heinrich, Henriette Elisabeth - In: Risks : open access journal 10 (2022) 6, pp. 1-23
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
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The Italian pension gap : a stochastic optimal control approach
Milazzo, Alessandro; Vigna, Elena - In: Risks : open access journal 6 (2018) 2, pp. 1-20
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...
Persistent link: https://www.econbiz.de/10011866511
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A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics
Kremsner, Stefan; Steinicke, Alexander; Szölgyenyi, … - In: Risks : open access journal 8 (2020) 4/136, pp. 1-18
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
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On central branch/reinsurance risk networks : exact results and heuristics
Avram, Florin; Loke, Sooie-Hoe - In: Risks : open access journal 6 (2018) 2, pp. 1-11
Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting questions. Beyond two dimensions, one cannot...
Persistent link: https://www.econbiz.de/10011866341
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Minimal expected time in drawdown through investment for an insurance diffusion model
Brinker, Leonie Violetta - In: Risks : open access journal 9 (2021) 1/17, pp. 1-18
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
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Company value with ruin constraint in Lundberg models
Hipp, Christian - In: Risks : open access journal 6 (2018) 3, pp. 1-15
, dividend strategies are considered which are based on barrier sequences. In our continuous state model, optimal barriers can be … computed with the Lagrange method leading to a backward recursion scheme. The resulting dividend strategies will not always be …
Persistent link: https://www.econbiz.de/10011890686
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Company value with ruin constraint in a discrete model
Hipp, Christian - In: Risks : open access journal 6 (2018) 1, pp. 1-14
Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be … levels and a closed formula for the corresponding dividend value. Using the running allowed ruin probabilities, a simple test ….2.2, also yields optimal dividend strategies which differ from those in all other methods, and Lagrange gaps are present here. …
Persistent link: https://www.econbiz.de/10011811530
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A Semi-Markov dynamic capital injection problem for distressed banks
Di Persio, Luca; Prezioso, Luca; Jiang, Yilun - In: Risks : open access journal 11 (2023) 4, pp. 1-16
Our study investigates the optimal dividend strategy for a bank, taking into account the potential for government …
Persistent link: https://www.econbiz.de/10014303713
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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