5 citations · 7 across the 8 of their papers we have counts for
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math.OC2022★ 5 cited
Stable Dividends under Linear-Quadratic Optimization
Benjamin Avanzi, Debbie Kusch Falden, Mogens Steffensen
The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a pote…
math.OC2022
Optimal reinsurance design under solvency constraints
Benjamin Avanzi, Hayden Lau, Mogens Steffensen
We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio probl…