10 citations · 16 across the 10 of their papers we have counts for
5 papers · 1 filter
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…
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…
An Exponential Cox-Ingersoll-Ross Process as Discounting Factor
Julia Eisenberg, Yuliya Mishura
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maxi…
The Impact of Negative Interest Rates on Optimal Capital Injections
Julia Eisenberg, Paul Krühner
In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the…
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…