Optimal investment of a time-dependent renewal risk model with stochastic return (Q264519): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q59434952, #quickstatements; #temporary_batch_1707252663060 |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 23:52, 4 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment of a time-dependent renewal risk model with stochastic return |
scientific article |
Statements
Optimal investment of a time-dependent renewal risk model with stochastic return (English)
0 references
31 March 2016
0 references
dependence
0 references
optimal portfolio
0 references
Lévy process
0 references
asymptotics
0 references
value-at-risk (VaR)
0 references
