The impact of negative interest rates on optimal capital injections

DOI10.1016/j.insmatheco.2018.06.004zbMath1416.91172arXiv1612.06654OpenAlexW2580829977MaRDI QIDQ1799625

Julia Eisenberg, Paul Krühner

Publication date: 19 October 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.06654

zbMATH Keywords

Hamilton-Jacobi-Bellman equationcapital injectionsoptimal stochastic controlMarkov-switchingnegative interest rate

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

Dividend optimisation: a behaviouristic approach, On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions

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