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pro vyhledávání: '"Engel, John"'
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while strategically
Externí odkaz:
http://arxiv.org/abs/2408.16989
This paper introduces a backward stochastic differential equation driven by both Brownian motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its driver. The existence and uniqueness of the solution of the BSDEBM are pro
Externí odkaz:
http://arxiv.org/abs/2112.02375
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend on a Mark
Externí odkaz:
http://arxiv.org/abs/2112.02368
Akademický článek
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Publikováno v:
In Stochastic Processes and their Applications June 2022 148:278-298
Autor:
Edwards, Mark A., Varga, Zsolt, Gaffney, Amy M., Denton, Joanna S., Engel, John R., Gonzales, Matthew S., Kayzar-Boggs, Theresa M., Mayer, Klaus, Nicholl, Adrian, Sanborn, Matthew E., Steiner, Robert E., Tarng, Cheng, Treinen, Kerri C., Wallenius, Maria, Wende, Allison M.
Publikováno v:
Journal of Radioanalytical & Nuclear Chemistry; Dec2024, Vol. 333 Issue 12, p6547-6556, 10p
Autor:
Engel, John R.1 (AUTHOR) jengel@lanl.gov, Buettner, Jacob E.1 (AUTHOR), Denton, Joanna S.1 (AUTHOR), Steiner, Robert E.1 (AUTHOR), Kayzar-Boggs, Theresa M.1 (AUTHOR)
Publikováno v:
Journal of Radioanalytical & Nuclear Chemistry. Aug2023, Vol. 332 Issue 8, p3205-3214. 10p. 1 Diagram, 3 Charts.