Optimal investment under VaR-regulation and minimum insurance
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Publication:1742722
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Cited in
(34)- Risk management with multiple VaR constraints
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Revisiting optimal investment strategies of value-maximizing insurance firms
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