Optimization problem of insurance investment based on spectral risk measure and RAROC criterion
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Publication:1721738
DOI10.1155/2018/9838437zbMath1427.91249OpenAlexW2898988099MaRDI QIDQ1721738
Publication date: 8 February 2019
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2018/9838437
Cites Work
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- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Constant proportion portfolio insurance under a regime switching exponential Lévy process
- Optimal reinsurance-investment strategies for insurers under mean-car criteria
- Risk measures via \(g\)-expectations
- Optimal portfolio choice for an insurer with loss aversion
- Coherent Measures of Risk
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