Optimal investment of a time-dependent renewal risk model with stochastic return (Q264519)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Optimal investment of a time-dependent renewal risk model with stochastic return
scientific article

    Statements

    Optimal investment of a time-dependent renewal risk model with stochastic return (English)
    0 references
    0 references
    0 references
    31 March 2016
    0 references
    dependence
    0 references
    optimal portfolio
    0 references
    Lévy process
    0 references
    asymptotics
    0 references
    value-at-risk (VaR)
    0 references
    0 references
    0 references

    Identifiers