9 citations · 31 across the 9 of their papers we have counts for
4 papers · 1 filter
Time-inconsistent view on a dividend problem with penalty
Josef Anton Strini, Stefan Thonhauser
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies.…
Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model
Michael Preischl, Stefan Thonhauser
Complementing existing results on minimal ruin probabilities, we minimize expected discounted penalty functions (or Gerber-Shiu functions) in a Cramer-Lundberg model by choosing op…
An extremal problem in uniform distribution theory
Vladimir Baláž, Maria Rita Iacò, Oto Strauch +2
In this paper we consider an optimization problem for Cesàro means of bivariate functions. We apply methods from uniform distribution theory, calculus of variations and ideas from…
Distribution functions, extremal limits and optimal transport
Maria Rita Iacò, Stefan Thonhauser, Robert F. Tichy
Encouraged by the study of extremal limits for sums of the form with uniformly distributed sequences th…