Zobrazeno 1 - 10
of 104
pro vyhledávání: '"Mnif Mohamed"'
In this article we consider the surplus process of an insurance company within the CramerLundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in which capital
Externí odkaz:
http://arxiv.org/abs/2409.12523
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 27-45 (2019)
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods available, to th
Externí odkaz:
https://doaj.org/article/e9fa093cff344fea9e50d563b80fe53d
This article studies the problem of evaluating the information that a Principal lacks when establishing an incentive contract with an Agent whose effort is not observable. The Principal ("she") pays a continuous rent to the Agent ("he"), while the la
Externí odkaz:
http://arxiv.org/abs/2304.03341
We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies on the con
Externí odkaz:
http://arxiv.org/abs/2112.10213
This paper studies optimal Public Private Partnerships contract between a public entity and a consortium, in continuous-time and with a continuous payment, with the possibility for the public to stop the contract. The public ("she") pays a continuous
Externí odkaz:
http://arxiv.org/abs/1910.05538
Publikováno v:
J Dyn Diff Equat 35, 2023
In this paper, we study a system of second order integro-partial differential equations with interconnected obstacles with non-local terms, related to an optimal switching problem with the jump-diffusion model. Getting rid of the monotonicity conditi
Externí odkaz:
http://arxiv.org/abs/1905.05426
Autor:
Lebreton, Guillaume, Sanchez, Bruno, Isetta, Christian, Hennequin, Jean-Luc, Mnif, Mohamed-Ali, Pécout, Francis, Villain-Coquet, Laurent, Clerel, Michel, Combes, Alain, Leprince, Pascal, Roques, Francois
Publikováno v:
In Archives of Cardiovascular Diseases June-July 2023 116(6-7):335-341
Publikováno v:
ESAIM: ProcS (2019)
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods available, to th
Externí odkaz:
http://arxiv.org/abs/1803.05830
We show the existence and uniqueness of a continuous viscosity solution of a system of partial differential equations (PDEs for short) without assuming the usual monotonicity conditions on the driver function as in Hamad\`ene and Morlais's article \c
Externí odkaz:
http://arxiv.org/abs/1802.04747
Public-Private Partnership (PPP) is a contract between a public entity and a consortium, in which the public outsources the construction and the maintenance of an equipment (hospital, university, prison...). One drawback of this contract is that the
Externí odkaz:
http://arxiv.org/abs/1703.01754