Robust investment-reinsurance optimization with multiscale stochastic volatility
Year of publication: |
2015
|
---|---|
Authors: | Pun, Chi Seng ; Wong, Hoi Ying |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 245-256
|
Subject: | Investment and reinsurance | Mixture of power utilities | Hamilton-Jacobi-Bellman-Isaacs equation | Multiscale stochastic volatility | Perturbation methods | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Rückversicherung | Reinsurance |
-
A, Chunxiang, (2015)
-
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang, (2018)
-
Yi, Bo, (2013)
- More ...
-
A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng, (2019)
-
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng, (2015)
-
Robust non-zero-sum stochastic differential reinsurance game
Pun, Chi Seng, (2016)
- More ...