22 citations · 155 across the 27 of their papers we have counts for
3 papers · 2 filters
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…
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…
On the surplus management of funds with assets and liabilities in presence of solvency requirements
Benjamin Avanzi, Ping Chen, Lars Frederik Brandt Henriksen +1
In this paper we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determi…