Optimal investment for an insurer: the martingale approach (Q995514): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2006.05.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2071292843
@@ Property / OpenAlex ID: W2071292843 / rank @@
+Normal rank
@@ Property / cites work @@
+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
+Normal rank
@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+On the structure of general mean-variance hedging strategies
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Q4657106
@@ Property / cites work: Q4657106 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+Normal rank
@@ Property / cites work @@
+Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
+Normal rank
@@ Property / cites work @@
+Optimal Investment for an Insurer to Minimize Its Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Approximating random variables by stochastic integrals
+Normal rank
@@ Property / cites work @@
+Q2771116
@@ Property / cites work: Q2771116 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank