Optimal asset allocation for participating contracts under short-selling and VaR constraints -- based on the dual perspective of the insurer and the insured

MaRDI QIDQ6080484zbMATH OpenFDO

Authors Yinghui Dong, Zihan Yin

Publication date 2 October 2023

Full work available at URL http://aps.ecnu.edu.cn/EN/10.3969/j.issn.1001-4268.2023.02.006

zbMATH Keywords

concavificationdual controlparticipating contractshort-sellingtwo-VaR constraint

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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