Optimal investment under transaction costs for an insurer
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Publication:487570
DOI10.1007/s13385-013-0078-4zbMath1303.91161OpenAlexW1972303328MaRDI QIDQ487570
Publication date: 22 January 2015
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: http://doc.rero.ch/record/310070/files/13385_2013_Article_78.pdf
numerical examplesinsurance companygeometric Brownian motionoptimal investmentproportional and fixed transaction costs
Related Items
Optimal investment and reinsurance with premium control ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS
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