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,...

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...

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...

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...

In this paper, we consider the problem of finding the optimal time of annuitization for a retiree of a defined contribution pension scheme having the possibility of choosing her own investment and consumption strategy. We exploit the model introduced by Højgaard - Vigna (2010), who formulate...

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...

Consider the American put and Russian option (Ann. Appl. Probab. 3 (1993) 603; Theory Probab. Appl. 39 (1994) 103; Ann. Appl. Probab. 3 (1993) 641) with the stock price modeled as an exponential Lévy process. We find an explicit expression for the price in the dense class of Lévy processes with...

Consider a random walk or Lévy process {St} and let [tau](u) = inf {t[greater-or-equal, slanted]0 : St u}, P(u)(·) = P(· [tau](u) < [infinity]). Assuming that the upwards jumps are heavy-tailed, say subexponential (e.g. Pareto, Weibull or lognormal), the asymptotic form of the P(u)-distribution of the process {St} up to time [tau](u) is described as u --> [infinity]. Essentially, the results confirm the folklore that level crossing occurs as result of one big jump. Particular sharp conclusions are obtained for...</[infinity]).>

We study the tail asymptotics of the r.v. X(T) where {X(t)} is a stochastic process with a linear drift and satisfying some regularity conditions like a central limit theorem and a large deviations principle, and T is an independent r.v. with a subexponential distribution. We find that the tail...