Portfolio insurance and model uncertainty

MaRDI QIDQ1402425zbMATH OpenFDO

Authors Bernhard Nietert

Publication date 27 August 2003

Published in OR Spectrum (Search for Journal in Brave)

zbMATH Keywords

model uncertaintyportfolio selectionportfolio insuranceminimum-wealth or income-stream guarantee

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(8)

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

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