Optimal investment for insurers when the stock price follows an exponential Lévy process (Q2384450)
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scientific article; zbMATH DE number 5194401
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal investment for insurers when the stock price follows an exponential Lévy process |
scientific article; zbMATH DE number 5194401 |
Statements
Optimal investment for insurers when the stock price follows an exponential Lévy process (English)
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21 September 2007
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Discounted net loss process
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exponential Lévy process
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reserve process
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integrated risk management
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optimal portfolio
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Pareto tail approximation
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value-at-Risk (VaR)
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0.8928334712982178
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0.8512535691261292
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0.8387014865875244
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0.8294793367385864
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0.8256179690361023
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