Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration (Q2374128): Difference between revisions

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+A class of non-zero-sum stochastic differential investment and reinsurance games
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+Stochastic mortality under measure changes
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+Longevity hedge effectiveness: a decomposition
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+Mean-variance portfolio selection of cointegrated assets
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+Mean-variance asset-liability management: cointegrated assets and insurance liability
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+Optimal investment for an insurer with cointegrated assets: CRRA utility
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+Lifetime consumption and investment: retirement and constrained borrowing
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+On Models of Default Risk
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
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+Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
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+The role of longevity bonds in optimal portfolios
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+Longevity-linked assets and pre-retirement consumption/portfolio decisions
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+Error Correction and Long-Run Equilibrium in Continuous Time
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+Non-zero-sum reinsurance games subject to ambiguous correlations
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+Editorial: Longevity risk and capital markets: the 2013--14 update
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+Time-consistent mean-variance hedging of longevity risk: effect of cointegration
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