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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 … dividends until simultaneous ruin of both branches of an insurance company by showing that the optimal value function satisfies …

Persistent link: https://www.econbiz.de/10013363123

Some optimisation problems in insurance with a terminal distribution constraint

Colaneri, Katia; Eisenberg, Julia; Salterini, Benedetta - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 655-678

Persistent link: https://www.econbiz.de/10014383890

Computational framework for longevity risk management

D'Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; … - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 111-137

Persistent link: https://www.econbiz.de/10010251207

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks : open access journal 7 (2019) 2/48, pp. 1-23

by a marked point process with dual-predictable projection affected by an environmental factor and that the insurance … premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton …

Persistent link: https://www.econbiz.de/10012019228

Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

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 …

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

Optimal dividend bands revisited : a gradient-based method and evolutionary algorithms

Albrecher, Hansjörg; Garcia Flores, Brandon - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 788-810

Persistent link: https://www.econbiz.de/10014383971

Some optimal dividend problems in a Markov-modulated risk model

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

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

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

An evolutionary strategy for multiobjective reinsurance optimization

Román, Sebastián; Villegas, Andrés M.; Villegas, Juan G. - In: Journal of the Operational Research Society 69 (2018) 10, pp. 1661-1677

Persistent link: https://www.econbiz.de/10012229185