Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Josef Anton Strini"'
Autor:
Josef Anton Strini, Stefan Thonhauser
Publikováno v:
Risks, Vol 8, Iss 1, p 24 (2020)
We discuss aspects of numerical methods for the computation of Gerber-Shiu or discounted penalty-functions in renewal risk models. We take an analytical point of view and link this function to a partial-integro-differential equation and propose a num
Externí odkaz:
https://doaj.org/article/8d5d8212ac4247ea98750118af0723c9
Autor:
Stefan Thonhauser, Josef Anton Strini
Publikováno v:
Scandinavian Actuarial Journal. :1-23
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies. Intentionally, we use different discount rates for the dividends and t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ec609c25a3a6dd6379ed38322b21894
https://doi.org/10.1080/03461238.2022.2161411
https://doi.org/10.1080/03461238.2022.2161411
Autor:
Stefan Thonhauser, Josef Anton Strini
Publikováno v:
Risks
Volume 8
Issue 1
Risks, Vol 8, Iss 1, p 24 (2020)
Volume 8
Issue 1
Risks, Vol 8, Iss 1, p 24 (2020)
We discuss aspects of numerical methods for the computation of Gerber-Shiu or discounted penalty-functions in renewal risk models. We take an analytical point of view and link this function to a partial-integro-differential equation and propose a num
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8355a0b4e1ad511de75a7d79f4d4500c
Autor:
Stefan Thonhauser, Josef Anton Strini
Publikováno v:
European Actuarial Journal
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding (subject to som
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb87efa19e0e4bd59cd57800be0dd89d
https://pubmed.ncbi.nlm.nih.gov/31807415
https://pubmed.ncbi.nlm.nih.gov/31807415
Autor:
Josef Anton Strini
Publikováno v:
On Stochastic Optimization Problems and an Application in Finance ISBN: 9783658256906
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4498843640c1256cfd0653ef5df5d7b1
https://doi.org/10.1007/978-3-658-25691-3_1
https://doi.org/10.1007/978-3-658-25691-3_1
Autor:
Josef Anton Strini
Publikováno v:
On Stochastic Optimization Problems and an Application in Finance ISBN: 9783658256906
In this chapter the main focus lies on investigating and reproducing the paper “Capital supply uncertainty, cash holdings, and, investment” by Hugonnier et al. [6]. This paper models a financial environment, where the considered firm has to optim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ad9dbfbe03fcb160d92ef0c58bd7dc30
https://doi.org/10.1007/978-3-658-25691-3_2
https://doi.org/10.1007/978-3-658-25691-3_2
Autor:
Josef Anton Strini
Publikováno v:
On Stochastic Optimization Problems and an Application in Finance ISBN: 9783658256906
In this chapter we apply the dynamic programming approach with the corresponding HJB equation derived in the preceding parts in order to solve a special case of the above presented model. Note that the following solution approach is based on [6, p. 1
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2033a6eb67b0870e4450c8cef2d5c9c6
https://doi.org/10.1007/978-3-658-25691-3_3
https://doi.org/10.1007/978-3-658-25691-3_3
Autor:
Josef Anton Strini
Josef Anton Strini analyzes a special stochastic optimal control problem. The problem under study arose from a dynamic cash management model in finance, where decisions about the dividend and financing policies of a firm have to be made. Additionally