Projects funded by the NCN


Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

Delete all

Mathematical modelling of risk measures and optimal strategies

2011/01/B/HS4/00982

Keywords:

ruin hedging risk theory

Descriptors:

  • HS4_6:

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Wrocławski, Wydział Matematyki i Informatyki

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Zbigniew Palmowski 

Number of co-investigators in the project: 3

Call: OPUS 1 - announced on 2011-03-15

Amount awarded: 229 500 PLN

Project start date (Y-m-d): 2011-12-01

Project end date (Y-m-d): 2014-05-31

Project duration:: 30 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Dell Latitude e6430.
  2. Asus Transformers (5 000 PLN)
  3. Asus UX32VD (5 000 PLN)
  4. Toshiba Z930 (5 000 PLN)
  5. Samsung.

Information in the final report

  • Publication in academic press/journals (5)
  1. Exact and asymptotic results for insurance risk models with surplus-dependent premiums
    Authors:
    H. Albrecher, C. Constantinescu, Z. Palmowski, G. Regensburger, M. Rosenkranz
    Academic press:
    SIAM Journal on Applied Mathematics (rok: 2013, tom: 73(1), strony: 47-66), Wydawca: Society for Industrial and Applied Mathematics
    Status:
    Published
    DOI:
    10.1137/110852000 - link to the publication
  2. Problem optymalizacji oczekiwanej użytecznosci wypłat dywidend w modelu Craméra-Lundberga
    Authors:
    S. Baran, Z. Palmowski
    Academic press:
    Annals of the Collegium of Economic Analysis (rok: 2013, tom: 31, strony: 27-43), Wydawca: Warsaw School of Economics, Collegium of Economic Analysis
    Status:
    Published
  3. Problem optymalizacji oczekiwanej użytecznosci wypłat dywidend w modelu Craméra-Lundberga
    Authors:
    S. Baran, Z. Palmowski
    Academic press:
    Annals of the Collegium of Economic Analysis (rok: 2013, tom: 31, strony: 27-43), Wydawca: Warsaw School of Economics, Collegium of Economic Analysis
    Status:
    Published
  4. On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty function - a probabilistic approach
    Authors:
    Avram, Z. Palmowski, M. Pistorius
    Status:
    Accepted for publication
  5. Parisian ruin probability with a lower ultimate bankrupt barrier
    Authors:
    I. Czarna
    Status:
    Accepted for publication