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Date: 2017
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1253548
Description: We consider the financial planning problem of a retiree wishing to enter a retirement village at a future uncertain date. The date of entry is determined by the retiree’s utility and bequest maximisat ... More
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Reviewed: Reviewed
Authors: Shen, Yang | Wei, Jiaqin
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1193159
Description: This paper discusses an optimal investment, consumption, and life insurance purchase problem for a wage earner in a complete market with Brownian information. Specifically, we assume that the paramete ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302629
Description: In this paper, we revisit the consumption-investment problem with a general discount function and a logarithmic utility function in a non-Markovian framework. The coefficients in our model, including ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303280
Description: In this paper, we study the dividend maximization problem with a non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ours ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272702
Description: We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an op ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212848
Description: In this paper we consider the optimal dividend strategy under the diffusion model with regime switching. In contrast to the classical risk theory, the dividends can only be paid at the arrival times o ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212851
Description: In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/283158
Description: In this paper, we consider the optimal dividend strategy for an insurer whose surplus process is modeled by the classical compound Poisson risk model modulated by an observable continuous-time Markov ... More
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272701
Description: We consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utilit ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272682
Description: In this paper, we consider the Markov-modulated insurance risk model with tax. We assume that the claim inter-arrivals, claim sizes and premium process are influenced by an external Markovian environm ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272720
Description: In this article, we consider the optimal reinsurance and dividend strategy for an insurer. We model the surplus process of the insurer by the classical compound Poisson risk model modulated by an obse ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272716
Description: In contrast with the classical Cramer-Lundberg model where the premium process is a linear function of time, we consider the ruin probability under the risk model where the aggregate premium consists ... More
Reviewed: Reviewed
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