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Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

Fahim, Arash; Zhu, Lingjiong - In: Risks : open access journal 11 (2023) 2, pp. 1-29

Dual risk models are popular for modeling a venture capital or high-tech company, for which the running cost is … deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrates on … the optimal dividend strategies. In this paper, we propose to study the optimal investment strategy on research and …

Persistent link: https://www.econbiz.de/10014245631

Some optimal dividend problems in a Markov-modulated risk model

Li, Shuanming (contributor); Lu, Yi (contributor) - 2006

Persistent link: https://www.econbiz.de/10003297887

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

Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

Fahim, Arash - 2016

The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a … venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk …

Persistent link: https://www.econbiz.de/10013001352

Moment and polynomial bounds for ruin-related quantities in risk theory

He, Yue; Kawai, Reiichiro - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1255-1271

Persistent link: https://www.econbiz.de/10013363852

Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences

Chen, Shumin; Wang, Xi; Deng, Yinglu; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 27-37

Persistent link: https://www.econbiz.de/10011457145

Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

Optimal proportional reinsurance in a bivariate risk model

Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Modern economy 6 (2015) 6, pp. 664-671

Persistent link: https://www.econbiz.de/10011384508

Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming

Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 599-632

Persistent link: https://www.econbiz.de/10011923011