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Optimisation of drawdowns by generalised reinsurance in the classical risk model

Brinker, Leonie Violetta; Schmidli, Hanspeter - In: Decisions in Economics and Finance 46 (2023) 2, pp. 635-665

We consider a Cramér–Lundberg model representing the surplus of an insurance company under a general reinsurance control process. We aim to minimise the expected time during which the surplus is bounded away from its own running maximum by at least d0(discounted at a preference rate δ0) by...

Persistent link: https://www.econbiz.de/10015198558

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

Yao, Jing (contributor); Hu, Xiang (contributor); … - 2024

Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...

Persistent link: https://www.econbiz.de/10015325017

Numerical solution of continuous-time DSGE models under poisson uncertainty

Posch, Olaf; Trimborn, Timo - 2010

We propose a simple and powerful method for determining the transition process in continuous-time DSGE models under Poisson uncertainty numerically. The idea is to transform the system of stochastic differential equations into a system of functional differential equations of the retarded type....

Persistent link: https://www.econbiz.de/10010270397

Regression methods for stochastic control problems and their convergence analysis

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, … - 2009

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...

Persistent link: https://www.econbiz.de/10010276592

The effect of small intervention costs on the optimal extraction of dividends and renewable resources in a jump-diffusion model

Framstad, Nils Chr. - 2014

A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given region. The introduction of a small fixed...

Persistent link: https://www.econbiz.de/10011335599

A unified pricing of variable annuity guarantees under the optimal stochastic control framework

Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks 4 (2016) 3, pp. 1-31

In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control...

Persistent link: https://www.econbiz.de/10011709561

Taming the spread of an epidemic by lockdown policies

Federico, Salvatore; Ferrari, Giorgio - 2020

We study the problem of a policymaker who aims at taming the spread of an epidemic while minimizing its associated social costs. The main feature of our model lies in the fact that the disease's transmission rate is a diffusive stochastic process whose trend can be adjusted via costly...

Persistent link: https://www.econbiz.de/10012388856

The Desocialising of Economic Theory

Jackson, William A. - In: International Journal of Social Economics 40 (2013) 9, pp. 809-825

This paper aims to show that economic theory has become ‘desocialised’ and separated from social theory through the adoption of individualistic methods and neglect of social relations and structures. A historical overview traces how the social content of economic theory has diminished,...

Persistent link: https://www.econbiz.de/10014278137

A duality model of dynamic capabilities: Combining routines and improvisation

Carvalho, Ana - In: Administrative Sciences 13 (2023) 3, pp. 1-18

face highly dynamic environments. I contribute to resolve this paradox by bringing the concept of duality to the Dynamic … improvisation, as well as the empirical evidence of previous research, I propose a duality model that conceives Dynamic Capabilities … as based both on routines and on improvisation. This duality perspective highlights the interdependence and …

Persistent link: https://www.econbiz.de/10014333228

Optimal retirement choice under age-dependent force of mortality

Ferrari, Giorgio; Zhu, Shihao - 2023

This paper examines the retirement decision, optimal investment, and consumption strategies under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with a random time horizon, featuring three state variables:...

Persistent link: https://www.econbiz.de/10014476277