The impact of negative interest rates on optimal capital injections
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DOI: 10.1016/j.insmatheco.2018.06.004
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Cited by:
- Brinker, Leonie Violetta & Eisenberg, Julia, 2021. "Dividend optimisation: A behaviouristic approach," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 202-224.
- Eisenberg, Julia & Krühner, Paul, 2022. "On Itô’s formula for semimartingales with jumps and non-C2 functions," Statistics & Probability Letters, Elsevier, vol. 184(C).
- Julia Eisenberg & Lukas Fabrykowski & Maren Diane Schmeck, 2021. "Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model," Risks, MDPI, vol. 9(4), pages 1-25, April.
- Eisenberg, Julia & Fabrykowski, Lukas & Schmeck, Maren Diane, 2021. "Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model," Center for Mathematical Economics Working Papers 648, Center for Mathematical Economics, Bielefeld University.
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More about this item
Keywords
Negative interest rate; Capital injections; Markov-switching; Optimal stochastic control; Hamilton–Jacobi–Bellman equation;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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