10 citations · 16 across the 10 of their papers we have counts for
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q-fin.RM2018
Suboptimal Control of Dividends under Exponential Utility
Julia Eisenberg, Paul Krühner
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend pa…
q-fin.MF2018★ 1 cited
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…