𝔖 Bobbio Scriptorium
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092059 (E50) Viscosity solutions of optimal stopping problems : Reikvam K., Presented at the International Workshop on The Interplay between Insurance Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
94 KB
Volume
20
Category
Article
ISSN
0167-6687

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πŸ“œ SIMILAR VOLUMES

092062 (E50) Bessel processes and genera
092062 (E50) Bessel processes and generalized CIR model : Szatzschneider W., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance
πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 91 KB

By taking the relevant expectations, the model yields a complete initial term structure for the continuum of maturities, endogenously interpolating between the observed data. Thus it is more parsimonious in its assumptions in the sense that there is no need for an exogenous interpolation rule and th

092022 (M12) Optimal control of piecewis
092022 (M12) Optimal control of piecewise deterministic processes : SchΓ€l M., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance
πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 177 KB

In this article, the authors discuss mixed exponential distributions and, more generally, scale mixtures with specific consideration the purpose of insurance modeling. Results are derived for equilibrium distributions (defined via stop-loss transforms) of mixed distributions. Some recursive relation

092023 (M12) Non-standard risk process :
092023 (M12) Non-standard risk process : Schmidt V., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance
πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 88 KB

Yushkevich can also be applied to certain models where control of the flow is possible. The method consists in a transformation to a model without control of the flow by a kind of time change.