An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process (Q661250)
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scientific article; zbMATH DE number 6004758
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| English | An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process |
scientific article; zbMATH DE number 6004758 |
Statements
An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process (English)
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10 February 2012
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backward stochastic differential equation
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weak property of predictable representation
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quadratic optimization
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equity-linked payment process
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unsystematic and systematic insurance risk
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0.8291934728622437
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0.7829691767692566
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0.7804648876190186
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