Institute of Mathematical Statistics

Displaying 1-2 of 2 results

  • White Papers // Oct 2010

    Optimal Investment Policy And Dividend Payment Strategy In An Insurance Company

    The authors consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramer - Lundberg process. The firm has the option of investing part of the surplus in a Black - Scholes financial market. The objective is to find a...

    Provided By Institute of Mathematical Statistics

  • White Papers // Oct 2010

    On Optimal Arbitrage

    In a Markovian model for a financial market, the authors characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the...

    Provided By Institute of Mathematical Statistics

  • White Papers // Oct 2010

    Optimal Investment Policy And Dividend Payment Strategy In An Insurance Company

    The authors consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramer - Lundberg process. The firm has the option of investing part of the surplus in a Black - Scholes financial market. The objective is to find a...

    Provided By Institute of Mathematical Statistics

  • White Papers // Oct 2010

    On Optimal Arbitrage

    In a Markovian model for a financial market, the authors characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the...

    Provided By Institute of Mathematical Statistics