Optimal investment for insurers when the stock price follows an exponential Lévy process (Q2384450): Difference between revisions
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Revision as of 00:52, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment for insurers when the stock price follows an exponential Lévy process |
scientific article |
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Optimal investment for insurers when the stock price follows an exponential Lévy process (English)
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21 September 2007
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Discounted net loss process
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exponential Lévy process
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reserve process
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integrated risk management
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optimal portfolio
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Pareto tail approximation
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value-at-Risk (VaR)
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