Zobrazeno 1 - 10
of 55
pro vyhledávání: '"Moreno-Franco, Harold A."'
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a spectrally
Externí odkaz:
http://arxiv.org/abs/2403.16077
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk control is
Externí odkaz:
http://arxiv.org/abs/2312.17131
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish sufficient c
Externí odkaz:
http://arxiv.org/abs/2308.02095
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a random clo
Externí odkaz:
http://arxiv.org/abs/2211.13007
This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in time. We s
Externí odkaz:
http://arxiv.org/abs/2207.01126
Publikováno v:
In Nonlinear Analysis: Hybrid Systems February 2024 51
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial differential equation (PDE) and penalization techniques, we show that
Externí odkaz:
http://arxiv.org/abs/2006.13595
We consider the bail-out optimal dividend problem under fixed transaction costs for a L\'evy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to the aforem
Externí odkaz:
http://arxiv.org/abs/1808.02182
Publikováno v:
Adv. Appl. Probab. 51 (2019) 633-666
We consider de Finetti's problem for spectrally one-sided L\'evy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the time of ruin. To c
Externí odkaz:
http://arxiv.org/abs/1803.08492
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival times of a
Externí odkaz:
http://arxiv.org/abs/1705.00284