PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK (Q4990920)
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scientific article; zbMATH DE number 7353442
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK |
scientific article; zbMATH DE number 7353442 |
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PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK (English)
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1 June 2021
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portfolio allocation
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expected utility maximization
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financial risk
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insurance risk
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extreme-event risk
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jump-diffusion model
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wealth-income ratio
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power utility
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martingale approach
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