Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Mathematical modelling of risk measures and optimal strategies

2011/01/B/HS4/00982

Keywords:

ruin hedging risk theory

Descriptors:

  • HS4_6: Financial markets, international finance, public finance

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 (7)
  1. 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
    DOI:
    Brak - link to the publication
  2. Binomial discrete time ruin probability with Parisian delay
    Authors:
    Irmina Czarna, Zbigniew Palmowski i Przemysław Świątek
    Academic press:
    Insurance: Mathematics and Economics , Wydawca: Elsevier
    Status:
    Submitted
    DOI:
    Brak - link to the publication
  3. 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
  4. Optimizing expected utility of dividend payments for a Erlang risk process
    Authors:
    S. Baran, Z. Palmowski
    Academic press:
    Probability and Mathematical Statistics (rok: 2013, tom: Nie dotyczy, strony: Nie dotyczy), Wydawca: University of Wrocław and Wrocław University of Technology
    Status:
    Submitted
    DOI:
    Brak - link to the publication
  5. 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
    Academic press:
    Annals of Applied Probability (rok: 2013, tom: Nie dotyczy, strony: Nie dotyczy), Wydawca: Institute of Mathematical Statistics
    Status:
    Accepted for publication
    DOI:
    Brak - link to the publication
  6. Parisian ruin probability with a lower ultimate bankrupt barrier
    Authors:
    I. Czarna
    Academic press:
    Scandinavian Actuarial Journal (rok: 2014, tom: Nie dotyczy, strony: Nie dotyczy), Wydawca: Taylor and Francis
    Status:
    Accepted for publication
    DOI:
    10.1080/03461238.2014.926288 - link to the publication
  7. A NOTE ON VAR FOR THE WINNER'S CURSE
    Authors:
    Zbigniew Palmowski
    Academic press:
    NORTH AMERICAN ACTUARIAL JOURNAL , Wydawca: Taylor & Francis
    Status:
    Submitted
    DOI:
    Brak - link to the publication

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