Worst-case scenario investment for insurers
From MaRDI portal
Publication:2483943
DOI10.1016/j.insmatheco.2004.10.004zbMath1111.91017OpenAlexW2031498795MaRDI QIDQ2483943
Publication date: 1 August 2005
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.10.004
Related Items
Optimal portfolios in the presence of stress scenarios a worst-case approach ⋮ Optimal algorithms for \(k\)-search with application in option pricing ⋮ Worst-case-optimal dynamic reinsurance for large claims ⋮ Optimal dynamic reinsurance with worst-case default of the reinsurer ⋮ Stochastic differential portfolio games for an insurer in a jump-diffusion risk process ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ Optimal decision on dynamic insurance price and investment portfolio of an insurer ⋮ Robust portfolio decisions for financial institutions ⋮ MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS ⋮ Worst-case portfolio optimization in discrete time ⋮ Risk minimization with inflation and interest rate risk: applications to non-life insurance ⋮ CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION ⋮ Optimal portfolios: new variations of an old theme ⋮ Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty ⋮ Optimal pension fund management under risk and uncertainty: the case study of Poland ⋮ Uncertainty and inside information
Cites Work
- Unnamed Item
- Worst-case scenario portfolio optimization: a new stochastic control approach
- Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
- Numerical best bounds on stop-loss premiums
- Analytical best upper bounds on stop-loss premiums
- OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
- Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment for insurers