10 citations · 16 across the 10 of their papers we have counts for
12 papers
Some Optimisation Problems in Insurance with a Terminal Distribution Constraint
Katia Colaneri, Julia Eisenberg, Benedetta Salterini
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time follows a normal d…
Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate
Julia Eisenberg, Stefan Kremsner, Alexander Steinicke
We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a determin…
COVID-19 in a social reinsurance framework: Forewarned is forearmed
S. Sahin, M. C. Boado-Penas, C. Constantinescu +5
The crisis caused by COVID-19 revealed the global unpreparedness to handle the impact of a pandemic. In this paper, we present a statistical analysis of the data related to the COV…
Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
Julia Eisenberg, Zbigniew Palmowski
This paper considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our…
Transforming public pensions: A mixed scheme with a credit granted by the state
M. Carmen Boado-Penas, Julia Eisenberg, Ralf Korn
Birth rates have dramatically decreased and, with continuous improvements in life expectancy, pension expenditure is on an irreversibly increasing path. This will raise serious con…
Maximising with-profit pensions without guarantees
M. Carmen Boado-Penas, Julia Eisenberg, Paul Krühner
Currently, pension providers are running into trouble mainly due to the ultra-low interest rates and the guarantees associated to some pension benefits. With the aim of reducing th…