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of 4
pro vyhledávání: '"Vega, Engel John C. Dela"'
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
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