Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion (Q2405932): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic mean-variance problem with constrained risk control for the insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Benchmark and mean-variance problems for insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On optimal investment in a reinsurance context with a point process market model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and proportional reinsurance with constrained control variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment for an insurer: the martingale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment for insurer with jump-diffusion risk process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment for an insurer in the Lévy market: the martingale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and risk control policies for an insurer: expected utility maximization / rank
 
Normal rank

Latest revision as of 10:44, 14 July 2024

scientific article
Language Label Description Also known as
English
Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
scientific article

    Statements

    Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion (English)
    0 references
    28 September 2017
    0 references
    mean-variance
    0 references
    martingale approach
    0 references
    quadratic utility
    0 references
    Lévy process
    0 references
    0 references
    0 references
    0 references

    Identifiers