Related papers: Optimal Dividend Problem: Asymptotic Analysis
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We…
I consider a stochastic optimization problem for a time-changed Bessel process whose diffusion rate is constrained to be between two positive values $r_{1}<r_{2}$. The problem is to find an optimal adapted strategy for the choice of…
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing…
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give…
In this work, we study a new approach to optimizing the margin distribution realized by binary classifiers. The classical approach to this problem is simply maximization of the expected margin, while more recent proposals consider…
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…
This chapter presents some numerical methods to solve problems in the fractional calculus of variations and fractional optimal control. Although there are plenty of methods available in the literature, we concentrate mainly on approximating…
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
This work initiates research into the problem of determining an optimal investment strategy for investors with different attitudes towards the trade-offs of risk and profit. The probability distribution of the return values of the stocks…
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…
Diffusion on complex networks is often modeled as a stochastic process. Yet, recent work on strategic diffusion emphasizes the decision power of agents and treats diffusion as a strategic problem. Here we study the computational aspects of…
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optimal times of alarms are found as the first times at which the…
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de…
The probabilistic diffusion model has become highly effective across various domains. Typically, sampling from a diffusion model involves using a denoising distribution characterized by a Gaussian with a learned mean and either fixed or…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…