Portfolio insurance and model uncertainty

zbMATH Open1043.91031MaRDI QIDQ1402425FDOQ1402425

Authors: Bernhard Nietert 

Publication date: 27 August 2003

Published in: OR Spectrum (Search for Journal in Brave)

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zbMATH Keywords

model uncertaintyportfolio selectionportfolio insuranceminimum-wealth or income-stream guarantee

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (8)

• On the economic risk capital of portfolio insurance
• The difference between LSMC and replicating portfolio in insurance liability modeling
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• A robust asset-liability management framework for investment products with guarantees
• Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
• A comparative study of portfolio insurance.
• Portfolio insurance under a risk-measure constraint
• Portfolio insurance: A simulation under different market conditions

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