Risk-Sensitive Asset Management and Cascading Defaults
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Publication:5219291
DOI10.1287/MOOR.2017.0856zbMath1443.91256OpenAlexW3121984455MaRDI QIDQ5219291
John R. Birge, Agostino Capponi, Li Jun Bo
Publication date: 11 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2017.0856
Related Items (6)
Optimal credit investment and risk control for an insurer with regime-switching ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk ⋮ Optimal dividend strategy for an insurance group with contagious default risk ⋮ Risk-sensitive mean field games with major and minor players
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