Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Optimal investments and dividend policies

2013/09/B/HS4/01496

Keywords:

ruin probability dividend investemnts Brownian motion strategy

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_15: Land management, urban studies

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: 1

Call: OPUS 5 - announced on 2013-03-15

Amount awarded: 82 160 PLN

Project start date (Y-m-d): 2014-02-12

Project end date (Y-m-d): 2016-02-11

Project duration:: 24 months (the same as in the proposal)

Project status: Project settled

Information in the final report

  • Publication in academic press/journals (7)
  1. Parisian quasi-stationary distributions for asymmetric L'{e}vy processes
    Authors:
    I. Czarna, Z. Palmowski
    Academic press:
    Statistics and Probability Letters (rok: 2017, tom: 127, strony: 75-84), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spl.2017.03.011 - link to the publication
  2. On Future Drawdowns of L'evy processes
    Authors:
    E. Baurdoux, Z. Palmowski, M. R. Pistorius
    Academic press:
    Stochastic Processes and their Applications (rok: 2017, tom: 127, strony: 2679-2698), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2016.12.008 - link to the publication
  3. Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process
    Authors:
    Irmina Czarna, Yanhong Li, Zbigniew Palmowski, Chunming Zhao
    Academic press:
    Probability and Mathematical Statistics , Wydawca: Uniwersytet Wrocławski, Politechnika Wrocławska
    Status:
    Submitted
    DOI:
    Brak - link to the publication
  4. Problem optymalizacyjny de Finettiego
    Authors:
    Z. Palmowski
    Academic press:
    Wiadomości Matematyczne (rok: 2016, tom: 52(1), strony: 45310), Wydawca: PTM
    Status:
    Published
    DOI:
    10.14708/wm - link to the publication
  5. The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
    Authors:
    Irmina Czarna, Yanhong Li, Zbigniew Palmowski, Chunming Zhao
    Academic press:
    Journal of Computational and Applied Mathematics (rok: 2017, tom: 313, strony: 499-514), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.cam.2016.09.045 - link to the publication
  6. Two-dimensional ruin probability for subexponential claim size
    Authors:
    S. Foss, D. Korshunov, Z. Palmowski, T. Rolski
    Academic press:
    Probability and Mathematical Statistics (rok: 2017, tom: 37(2), strony: 319-335), Wydawca: Uniwersytet Wrocławski, Politechnika Wrocławska
    Status:
    Published
    DOI:
    10.19195/0208-4147.37.2.7 - link to the publication
  7. Number of claims and ruin time for a refracted risk process
    Authors:
    Yanhong Li, Chunming Zhao, Chunsheng Zhang, Zbigniew Palmowski
    Academic press:
    Matrix Proceedings , Wydawca: Springer
    Status:
    Submitted
    DOI:
    Brak - link to the publication

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