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q-fin.MF2017
Dynamic trading under integer constraints
Stefan Gerhold, Paul Krühner
In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the us…
q-fin.MF2016
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…
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…