Portfolio optimization under Solvency II
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Publication:2288904
DOI10.1007/S10479-018-2835-XzbMATH Open1433.91130OpenAlexW2765843129WikidataQ130028677 ScholiaQ130028677MaRDI QIDQ2288904FDOQ2288904
Authors: M. Escobar, Paul Kriebel, Markus Wahl, R. Zagst 
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-018-2835-x
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- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
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- Interest-rate management
- Consumption-Investment Models with Constraints
- Fundamental definition of the solvency capital requirement in Solvency II
- Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
- Solvency II: stability problems with the SCR aggregation formula
- Monotonicity and bounds for convex stochastic control models
Cited In (14)
- Optimal portfolios with sustainable assets: aspects for life insurers
- Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Optimal investment under VaR-regulation and minimum insurance
- Robust Eligible Own Funds and Value at Risk Under Solvency II System
- Optimal HARA investments with terminal VaR constraints
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
- Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints
- Portfolio optimization with wealth-dependent risk constraints
- Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
- EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL
- Optimal investment and life insurance strategies under minimum and maximum constraints
- Portfolio optimization under solvency constraints: a dynamical approach
- Black-Scholes approximation of warrant prices: slight return in a low interest rate environment
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