10 citations · 16 across the 10 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
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…