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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1140776
Description: A combined optimal dividend/reinsurance problem with two types of insurance claims, namely the expected premium principle and the variance premium principle, is discussed. Dividend payments are consid ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1105407
Description: An optimal insurance risk control problem is discussed in a general situation where several reinsurance companies enter into a reinsurance treaty with an insurance company. These reinsurance companies ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1140772
Description: An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302975
Description: We consider a risk-based asset allocation problem in a Markov, regime-switching, pure jump model. With a convex risk measure of the terminal wealth of an investor as a proxy for risk, we formulate the ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/223561
Description: The optimal dividend problem is a classic problem in corporate finance though an early contribution to this problem can be traced back to the seminal work of an actuary, Bruno De Finetti, in the late ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215040
Description: This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. Thi ... More
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Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143429
Description: We consider an insurance company whose surplus follows a diffusion process with proportional reinsurance and impulse dividend control. Our objective is to maximize expected discounted dividend payouts ... More
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Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/130464
Description: We investigate an optimal reinsurance and dividend problem of an insurance company with the presence of reinvestments, or retained earnings. We consider the general situation that the company needs to ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135733
Description: We investigate an optimal financing and dividend control problem of an insurance company facing fixed and proportional transaction costs. The goal of the company is to maximize the expected present va ... More
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Reviewed: Reviewed
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