3 papers
math.OC2016
Deterministic Income with Deterministic and Stochastic Interest Rates
Julia Eisenberg
We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discou…
math.OC2016
Unrestricted Consumption under a Deterministic Wealth and an Ornstein-Uhlenbeck Process as a Discount Rate
Julia Eisenberg
We consider an individual or household endowed with an initial capital and an income, modeled as a linear function of time. Assuming that the discount rate evolves as an Ornstein-U…
q-fin.MF2016
A Note on the Optimal Dividends Paid in a Foreign Currency
Julia Eisenberg, Paul Krühner
We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the…