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Optimal dividend control for a generalized risk model with investment incomes and debit interest
Absolute ruin dividend optimization stochastic control value function viscosity solution
2011/3/23
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound ...
Convex pricing by a generalized entropy penalty
Convex pricing generalized entropy penalty
2010/12/17
In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The...
Continuous growth models in terms of generalized logarithm and exponential functions
Continuous growth models generalized logarithm exponential functions
2010/12/17
Consider the one-parameter generalizations of the logarithmic and exponential functions which are obtained from the integration of non-symmetrical hyperboles. These generalizations coincide to the on...