Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

Non-constant discounting in finite horizon: The free terminal time case

This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. A simple example is used in order to illustrate the applicability of this HJB equation, by suggesting a method for constructing the subgame perfect equilibrium solution to the problem.Conditions for the observational equivalence with an associated problem with constantdiscounting are analyzed. Special attention is paid to the case of free terminal time. Strotz¿s model (an eating cake problem of a nonrenewable resource with non-constant discounting) is revisited.

Gédéon est un bon garçon / Benjamin Rabier

Collection : Collection des "Gédéon"

[Voyage en Italie : 1824-1830]. , [Plan d'un couvent] : [plans du premier étage et du rez-de-chaussée] : [dessin] / h. L. [Henri Labrouste]

Référence bibliographique : Weigert, 191

[Voyage en Italie : 1824-1830]. , Tombeau de Théron à Agrigente : détails au huitième de l'Exécution : [détails d'élévation, avec plusieurs profils, plan partiel] : [dessin] / h. L. [Henri Labrouste]

Référence bibliographique : Weigert, 192