Asymptotic and numerical analysis of the optimal investment strategy for an insurer
From MaRDI portal
Publication:865616
DOI10.1016/j.insmatheco.2006.03.003zbMath1273.91419OpenAlexW1970961143MaRDI QIDQ865616
Publication date: 19 February 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/2294/1/163ARP.pdf
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RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS, Optimal asset allocation for a general portfolio of life insurance policies
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