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This paper extends the known result due to Belhaj who found the optimal dividend policy is of a barrier type for a jump-diffusion model with exponentially distributed jumps. It turns out that there can be essentially two different solutions depending on the model's parameters. It also deals with the optimal control problem for the jump-diffusion process with solvency constraints. The objective of...
This paper derives the optimal consumption and portfolio choice pattern over the life-cycle for households facing uninsurable labor income risk, ruin risk, stochastic capital markets, and uncertain lifetime. Our model posits a dynamic utility maximized with CRRA and Epstein-Zin preferences that has access to liquid stocks, bonds, and illiquid life annuities. The empirical results of this research...
Assuming that individuals are altruistic, this paper employs an overlapping generations model with lifetime uncertainty to study the partially funded public pension in China. By comparing the market economy equilibrium with the social optimum allocation, we find the optimal firm contribution rate. Our simulation results show that this rate increases when the life expectancy rises, while decreases...
Catastrophe risk securitization has risen as a promising solution to the increasingly severe problem of risk financing and compensation in the recent two decades. In the special structure of catastrophe risk securitization, the relationship between the reinsurer and special purpose vehicle is a decisive yet sensitive one, as principal and agent, potential incentive disorder between them can render...
Based on the description of classic Petri-net modeling theory, this paper analyzed the workflow net reachability and rationality. Combining the Petri-net model characteristic, it described the four route structures of workflow net using a quadruple form of three nodes and a flow relation. Then it presented the optimization algorithm of adding controlling node, and optimized a case of insurance claim...
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