Showing 1 - 10 of 68
Persistent link: https://www.econbiz.de/10008217577
This paper represents a model for the financial valuation of a firm which has control on the dividend payment stream and its risk, as well as potential profit by choosing different business activities among those available to it. Furthermore the company invests its free reserve in an asset,...
Persistent link: https://www.econbiz.de/10005613421
This paper represents a model for risk management in a firm which exercises control of its risk as well as potential profit by choosing different business activities among those available to it. Furthermore, the firm has an option of investing its reserve in a financial market consisting of a...
Persistent link: https://www.econbiz.de/10009208227
Persistent link: https://www.econbiz.de/10008216789
Persistent link: https://www.econbiz.de/10008218615
In the context of decision making for retirees of a defined contribution pension scheme in the de-cumulation phase, we formulate and solve a problem of finding the optimal time of annuitization for a retiree having the possibility of choosing her own investment and consumption strategy. We...
Persistent link: https://www.econbiz.de/10010976247
Persistent link: https://www.econbiz.de/10001865943
The estimation of P(S-n u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n u) = nP(S, u, M-n = Y-n), where M-n = max(Y-1,...,...
Persistent link: https://www.econbiz.de/10009448797
Persistent link: https://www.econbiz.de/10004240965
In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...
Persistent link: https://www.econbiz.de/10011030549