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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Optimization methods in actuarial science and finance

2016/23/B/HS4/00566

Keywords:

optimization ruin dividends VAR mortality rate

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_16: Other related subjects
  • ST1_18: Control theory and optimisation

Panel:

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

Host institution :

Politechnika Wrocławska

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 12 - announced on 2016-09-15

Amount awarded: 243 900 PLN

Project start date (Y-m-d): 2017-07-17

Project end date (Y-m-d): 2021-07-16

Project duration:: 48 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Notebook (6 000 PLN)

Information in the final report

  • Publication in academic press/journals (17)
  1. Phase-type approximations perturbed by a heavytailed component for the Gerber-Shiu function of risk processes with two-sided jumps
    Authors:
    Z. Palmowski, E. Vatamidou
    Academic press:
    Stochastic Models (rok: 2020, tom: 36(2), strony: 337-363), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/15326349.2020.1717344 - link to the publication
  2. Pricing Perpetual American Put Options with Asset-Dependent Discounting
    Authors:
    Jonas Al-Hadad, Zbigniew Palmowski
    Academic press:
    Journal of Risk and Financial Management (rok: 2021, tom: 14(3), strony: 130), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/jrfm14030130 - link to the publication
  3. The Leland-Toft optimal capital structure model under Poisson observations
    Authors:
    Z. Palmowski, J.L. Perez, B. Surya, K. Yamazaki
    Academic press:
    Finance and Stochastics (rok: 2020, tom: 24, strony: 1035-1082), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00780-020-00431-6 - link to the publication
  4. Zabezpieczenie przed spadkiem aktywa w modelu typu Lévy'ego z fazowymi skokami i dowolną funkcją wynagrodzenia
    Authors:
    Zbigniew Palmowski, Joanna Tumilewicz
    Academic press:
    Roczniki Kolegium Analiz Ekonomicznych (rok: 2018, tom: 51, strony: 255-270), Wydawca: Szkoła Główna Handlowa w Warszawie
    Status:
    Published
    DOI:
    Brak - link to the publication
  5. Double continuation regions for American options under Poisson exercise opportunities
    Authors:
    Z. Palmowski, J.L. Pérez, K. Yamazaki
    Academic press:
    Mathematical Finance (rok: 2021, tom: 31, strony: 722-771), Wydawca: Wiley
    Status:
    Accepted for publication
    DOI:
    10.1111/mafi.1230 - link to the publication
  6. An application of dynamic programming to assign pressing tanks at wineries
    Authors:
    Z. Palmowski, O. Sidorowicz
    Academic press:
    European Journal of Operational Research (rok: 2020, tom: 287(1), strony: 293-305), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ejor.2020.04.030 - link to the publication
  7. Double continuation regions for American and Swing options with negative discount rate in L'evy models
    Authors:
    Marzia de Donno, Zbigniew Palmowski, Joanna Tumilewicz
    Academic press:
    Mathematical Finance (rok: 2020, tom: 30(1), strony: 196-227), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1111/mafi.12218 - link to the publication
  8. Optimal valuation of American callable credit default swaps under drawdown of L'evy insurance risk process
    Authors:
    Z. Palmowski. B. Surya
    Academic press:
    Insurance: Mathematics and Economics (rok: 2020, tom: 93, strony: 168-177), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.insmatheco.2020.04.011 - link to the publication
  9. Parisian ruin for the dual risk process in discrete-time
    Authors:
    Zbigniew Palmowski, Lewis Ramsden, Apostolos Papaioannou
    Academic press:
    European Actuarial Journal (rok: 2018, tom: 8(1), strony: 197-214), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s13385-018-0172-8 - link to the publication
  10. Quickest drift change detection in Lévy-type force of mortality model
    Authors:
    Michał Krawiec, Zbigniew Palmowski, Łukasz Płociniczak
    Academic press:
    Applied Mathematics and Computation (rok: 2018, tom: 338, strony: 432-450), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.amc.2018.06.038 - link to the publication
  11. Note on simulation pricing of pi-options
    Authors:
    Z. Palmowski, T. Serafin
    Academic press:
    Risks (rok: 2020, tom: 8(3), strony: 90), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks8030090 - link to the publication
  12. Fluctuation identities for omega-killed Markov additive processes and dividend problem
    Authors:
    Irmina Czarna, Adam Kaszubowski, Shu Li, Zbigniew Palmowski
    Academic press:
    Advances in Applied Probability (rok: 2020, tom: 52(2), strony: 404-432), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/apr.2020.2 - link to the publication
  13. Discounted penalty function at Parisian ruin for Lévy insurance risk process
    Authors:
    Ronnie Loeffen, Zbigniew Palmowski, Budhi Surya
    Academic press:
    Insurance: Mathematics and Economics (rok: 2018, tom: 83, strony: 190-197), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.008 - link to the publication
  14. Distributional Properties of Fluid Queues Busy Period and First Passage Times
    Authors:
    Z. Palmowski
    Academic press:
    Mathematics (rok: 2020, tom: 8(11), strony: 1988), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/math8111988 - link to the publication
  15. Optimal portfolio selection in an Ito-Markov additive market
    Authors:
    Zbigniew Palmowski, Łukasz Stettner, Anna Sulima
    Academic press:
    Risks (rok: 2019, tom: 7(1), strony: 34), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks7010034 - link to the publication
  16. The Valuation of Contingent Convertible Catastrophe Bonds - the Case for Equity Conversion
    Authors:
    Krzysztof Burnecki, Mario Giuricich, Zbigniew Palmowski
    Academic press:
    Insurance: Mathematics and Economics (rok: 2019, tom: 88, strony: 238-254), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.insmatheco.2019.07.006 - link to the publication
  17. Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
    Authors:
    J. Eisenberg, Z. Palmowski
    Academic press:
    North American Actuarial Journal (rok: 2021, tom: 25(3), strony: 417-437), Wydawca: Taylor and Francis
    Status:
    Accepted for publication
    DOI:
    10.1080/10920277.2020.1805633 - link to the publication

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