Worst-case scenario investment for insurers (Q2483943)

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Language	Label	Description	Also known as
English	Worst-case scenario investment for insurers	scientific article

Statements

scholarly article

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Worst-case scenario investment for insurers (English)

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Insurance Mathematics \& Economics

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publication date

1 August 2005

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zbMATH Keywords

Optimal portfolios

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Crash modelling

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Exponential utility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2004.10.004

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Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints

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Analytical best upper bounds on stop-loss premiums

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Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions

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Numerical best bounds on stop-loss premiums

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Optimal investment for insurers

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Worst-case scenario portfolio optimization: a new stochastic control approach

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OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH

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A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

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Identifiers

zbMATH Open document ID

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10.1016/j.insmatheco.2004.10.004

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2483943

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