Optimal dividends under model uncertainty
P Chakraborty, A Cohen, VR Young - SIAM Journal on Financial Mathematics, 2023 - SIAM
We consider a diffusive model for optimally distributing dividends, while allowing for
Knightian model ambiguity concerning the drift of the surplus process. We show that the …
Knightian model ambiguity concerning the drift of the surplus process. We show that the …
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle: Asymptotic analysis
In this paper, we consider an optimal reinsurance problem to minimize the probability of
drawdown for the scaled Cramér–Lundberg risk model when the reinsurance premium is …
drawdown for the scaled Cramér–Lundberg risk model when the reinsurance premium is …
Approximating the classical risk process by stable Lévy motion
J Cao, VR Young - Scandinavian Actuarial Journal, 2023 - Taylor & Francis
The classical Cramér–Lundberg risk process is commonly used to model the surplus of an
insurer; it characterizes the claim arrival process and the claim size random variable Y …
insurer; it characterizes the claim arrival process and the claim size random variable Y …
Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
J Cao, VR Young - Scandinavian Actuarial Journal, 2023 - Taylor & Francis
We consider the problem of to which extent a diffusion process serves as a valid
approximation of the classical Cramér-Lundberg (CL) risk process for a Stackelberg …
approximation of the classical Cramér-Lundberg (CL) risk process for a Stackelberg …
[PDF][PDF] A Bibliography of Publications in SIAM Journal on Financial Mathematics
NHF Beebe - 2024 - netlib.sandia.gov
A Bibliography of Publications in SIAM Journal on Financial Mathematics Page 1 A
Bibliography of Publications in SIAM Journal on Financial Mathematics Nelson HF Beebe …
Bibliography of Publications in SIAM Journal on Financial Mathematics Nelson HF Beebe …