Image de couverture de livre

Optimal dividend and capital injection under self-exciting claims

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Aubert, Paulin, Chevalier, Etienne, Vath, Vathana Ly
Format:	Preprint
Publié:	2025
Sujets:	Optimization and Control Probability Risk Management
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Option market making with hedging-induced market impact
par: Aubert, Paulin, et autres
Publié: (2025)

Optimal Cash Transfers and Microinsurance to Reduce Social Protection Costs
par: Azcue, Pablo, et autres
Publié: (2025)

Optimal Risk-Sharing Rules in Network-based Decentralized Insurance
par: Fogarty, Heather N., et autres
Publié: (2026)

Optimal dividends for a NatCat insurer in the presence of a climate tipping point
par: Albrecher, Hansjoerg, et autres
Publié: (2025)

Singular Control in Inventory Management with Smooth Ambiguity
par: Archankul, Arnon, et autres
Publié: (2025)

The Scaling Behaviors in Achieving High Reliability via Chance-Constrained Optimization
par: Deo, Anand, et autres
Publié: (2025)

Tractable bank capital structure: optimal control under Basel III constraints
par: Bayraktar, Erhan, et autres
Publié: (2026)

Robust Hedging of path-dependent options using a min-max algorithm
par: Banerjee, Purba, et autres
Publié: (2025)

Convolution Bounds on Quantile Aggregation
par: Blanchet, Jose, et autres
Publié: (2020)

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
par: Kaakai, Sarah, et autres
Publié: (2022)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
par: Zhang, Panpan, et autres
Publié: (2023)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
par: Ren, Xin Yue, et autres
Publié: (2024)

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
par: Liu, Hanchao, et autres
Publié: (2023)

Biased Mean Quadrangle and Applications
par: Malandii, Anton, et autres
Publié: (2026)

Optimal Abatement Schedules for Excess Carbon Emissions Towards a Net-Zero Target
par: Albrecher, Hansjoerg, et autres
Publié: (2026)

Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
par: Guo, Junyi, et autres
Publié: (2025)

The Risk Quadrangle in Optimization: An Overview with Recent Results and Extensions
par: Grechuk, Bogdan, et autres
Publié: (2026)

Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach
par: Gnabeyeu, Emmanuel, et autres
Publié: (2024)

A Rank-Dependent Theory for Decision under Risk and Ambiguity
par: Laeven, Roger J. A., et autres
Publié: (2023)

Risk Assessment with Generic Energy Storage under Exogenous and Endogenous Uncertainty
par: Qi, Ning, et autres
Publié: (2022)

Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing
par: Acharya, Atithi, et autres
Publié: (2024)

On optimal periodic dividend and capital injection strategies for general Lévy models
par: Mata, Dante, et autres
Publié: (2025)

Disability insurance with collective health claims: A mean-field approach
par: Furrer, Christian, et autres
Publié: (2025)

On monotone completion of risk markets: Limit results for incomplete risk markets
par: Khajepour, Iman, et autres
Publié: (2025)

Quantifying the degree of risk aversion of spectral risk measures
par: van Beesten, E. Ruben
Publié: (2024)

Efficiently Computing the Quasiconcave Envelope with Incomplete Information
par: Wu, Jian, et autres
Publié: (2020)

Higher-Order Ambiguity Attitudes
par: Aygün, Mücahit, et autres
Publié: (2025)

Joint Stochastic Optimal Control and Stopping in Aquaculture: Finite-Difference and PINN-Based Approaches
par: Kamm, Kevin
Publié: (2025)

Dynamic Factor Models with Forward-Looking Views
par: Abdelhakmi, Anas, et autres
Publié: (2025)

The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
par: Thormann, Marah-Lisanne, et autres
Publié: (2024)

Conditional Risk Minimization with Side Information: A Tractable, Universal Optimal Transport Framework
par: Xie, Xinqiao, et autres
Publié: (2025)

A Martingale approach to continuous Portfolio Optimization under CVaR like constraints
par: Lelong, Jérôme, et autres
Publié: (2025)

Computing the Gerber-Shiu function with interest and a constant dividend barrier by physics-informed neural networks
par: Yu, Zan, et autres
Publié: (2024)

Risk-aware stochastic scheduling of multi-market energy storage systems
par: Patrón, Gabriel D., et autres
Publié: (2025)

Stochastic control on the half-line and applications to the optimal dividend/consumption problem
par: Zawisza, Dariusz
Publié: (2017)

Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
par: Genga, Bingzhen, et autres
Publié: (2025)

Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective
par: Bichuch, Maxim, et autres
Publié: (2022)

Risk-Averse Markov Decision Processes through a Distributional Lens
par: Cheng, Ziteng, et autres
Publié: (2022)

Deep Learning the Efficient Frontier of Convex Vector Optimization Problems
par: Feinstein, Zachary, et autres
Publié: (2022)

Singular Control in a Cash Management Model with Ambiguity
par: Archankul, Arnon, et autres
Publié: (2023)