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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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Optimal dividend problem with a nonlinear regular-singular stochastic control
Chen, Mi; Peng, Xiaofan; Guo, Junyi - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 448-456
Persistent link: https://www.econbiz.de/10009763629
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A note on optimal expected utility of dividend payments with proportional reinsurance
Liang, Xiaoqing; Palmowski, Zbigniew - In: Scandinavian actuarial journal (2018) 4, pp. 275-293
Persistent link: https://www.econbiz.de/10011881090
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Dynamic optimal reinsurance and dividend payout in finite time horizon
Guan, Chonghu; Xu, Zuo Quan; Zhou, Rui - In: Mathematics of operations research 48 (2023) 1, pp. 544-568
Persistent link: https://www.econbiz.de/10014312571
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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Mnif, Mohamed - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-45
Persistent link: https://www.econbiz.de/10010233243
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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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Optimal control of a queue under a quality-of-service constraint with bounded and unbounded rates
Ebrahimi, Abdolghani; Ghosh, Arka P. - In: Operations research letters 48 (2020) 6, pp. 737-743
Persistent link: https://www.econbiz.de/10012430101
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Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186