4 citations · 9 across the 9 of their papers we have counts for
3 papers · 1 filter
In the Life Insurance Business Risky Investments are Dangerous
Yuri Kabanov, Serguei Pergamenshchikov
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an…
Consumption-Investment Problem with Transaction Costs for Lévy-Driven Price Processes
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
We consider an optimal control problem for a linear stochastic integro-diffe\-rential equation with conic constraints on the phase variable and the control of singular-regular type…
No arbitrage and local martingale deflators
Yuri Kabanov, Constantinos Kardaras, Shiqi Song
A supermartingale deflator (resp., local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp., local martingales). The superma…