Optimal reinsurance and asset allocation under regime switching
Bong-Gyu Jang, Kyeong Tae Kim
| Year of publication: |
July 2015
|
|---|---|
| Authors: | Jang, Bong-Gyu ; Kim, Kyeong Tae |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 56.2015, p. 37-47
|
| Subject: | Optimal reinsurance | Optimal portfolio | Asset allocation | Insurance claims | Correlation change | Regime switching | Theorie | Theory | Portfolio-Management | Portfolio selection | Rückversicherung | Reinsurance | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011488574