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Optimal stochastic control problem under model uncertainty with nonentropy penalty

Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41

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A non-stationary model of dividend distribution in a stochastic interest-rate setting

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A BSDE-based approach for the optimal reinsurance problem under partial information

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16

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A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics

Kremsner, Stefan; Steinicke, Alexander; Szölgyenyi, … - In: Risks : open access journal 8 (2020) 4/136, pp. 1-18

In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic factors into account, this problem is...

Persistent link: https://www.econbiz.de/10012391761

Numerical methods in financial and actuarial applications : a stochastic maximum principle approach

Di Giacinto, Marina - In: Journal of mathematical finance 8 (2018) 2, pp. 283-301

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Pareto optimal cooperative control of mean-field backward stochastic differential system in finite horizon

Saranya, G.; Deepa, R.; Muthukumar, P. - In: Dynamic games and applications : DGA 15 (2025) 1, pp. 279-305

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Income drawdown option with minimum guarantee

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624

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Max-min optimization problem for variable annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35

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A stochastic control approach to bid-ask price modelling

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A characterization of sub-game perfect equilibria for SDEs of mean-field type

Djehiche, Boualem; Huang, Minyi - In: Dynamic games and applications : DGA 6 (2016) 1, pp. 55-81

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