Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

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Optimal decisions for allocating resources, reducing financial risks and maximising profitsunder environment uncertainty

2021/41/B/HS4/00599

Keywords:

health care optimal stopping American option dividend regime-switching market

Descriptors:

  • ST1_018:
  • HS4_009:
  • HS4_003:

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 Bogusław Palmowski 

Number of co-investigators in the project: 2

Call: OPUS 21 - announced on 2021-03-15

Amount awarded: 427 000 PLN

Project start date (Y-m-d): 2022-01-10

Project end date (Y-m-d): 2027-01-09

Project duration:: 60 months (the same as in the proposal)

Project status: Pending project

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.

Information in the final report

  • Publication in academic press/journals (7)
  1. Last passage American cancellable option in Lévy models
    Authors:
    Z. Palmowski, P. Stępniak
    Academic press:
    Journal of Risk and Financial Management (rok: 2023, tom: 16(2), strony: 82), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/jrfm16020082 - link to the publication
  2. Perpetual American Options with Asset-Dependent Discounting
    Authors:
    Jonas Al-Hadad, Zbigniew Palmowski
    Academic press:
    Applied Mathematics & Optimization (rok: 2023, tom: 89, strony: 18), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-023-10084-4 - link to the publication
  3. Gerber-Shiu theory for discrete risk processes in a regime switching environment
    Authors:
    Zbigniew Palmowski, Lewis Ramsden, Apostolos D. Papaioannou
    Academic press:
    Applied Mathematics and Computation (rok: 2024, tom: 467, strony: 128491), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.amc.2023.128491 - link to the publication
  4. Asymptotic expected utility of dividend payments in a classical collective risk process,
    Authors:
    S. Baran, C. Constantinescu, Z. Palmowski
    Academic press:
    Risks (rok: 2023, tom: 11(4), strony: 64), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks11040064 - link to the publication
  5. Time-dependent probability density function for partial resetting dynamics
    Authors:
    Costantino Di Bello, Aleksei V Chechkin, Alexander K Hartmann, Zbigniew Palmowski, Ralf Metzler
    Academic press:
    New Journal of Physics (rok: 2023, tom: 25, strony: 82002), Wydawca: IOP Institute of Physics
    Status:
    Published
    DOI:
    10.1088/1367-2630/aced1d - link to the publication
  6. Last passage American cancellable option in Lévy models
    Authors:
    Z. Palmowski, P. Stępniak
    Academic press:
    Journal of Risk and Financial Management (rok: 2023, tom: 16(2), strony: 82), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/jrfm16020082 - link to the publication
  7. Asymptotic expected utility of dividend payments in a classical collective risk process,
    Authors:
    S. Baran, C. Constantinescu, Z. Palmowski
    Academic press:
    Risks (rok: 2023, tom: 11(4), strony: 64), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks11040064 - link to the publication

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