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Portfolio management with targeted constant market volatility
Bao Doan; Papageorgiou, Nicolas A.; Reeves, Jonathan J.; … - In: Insurance / Mathematics & economics 83 (2018), pp. 134-147
Persistent link: https://www.econbiz.de/10011944110
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Robust optimal reinsurance and investment strategies for an AAI with multiple risks
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 89 (2019), pp. 63-78
Persistent link: https://www.econbiz.de/10012133510
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Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin; Wong, Hoi Ying - In: Insurance / Mathematics & economics 90 (2020), pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
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Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei; Li, Zhongfei - In: Insurance / Mathematics & economics 80 (2018), pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
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Quantile hedging on equity-linked life insurance contracts with transaction costs
Melʹnikov, Aleksandr V.; Tong, Shuo - In: Insurance / Mathematics & economics 58 (2014), pp. 77-88
Persistent link: https://www.econbiz.de/10010437626
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An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
Badaoui, Mohamed; Fernández, Begoña - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10009785429
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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Optimal management of DC pension plan in stochastic interest rate and stochastic volatility framework
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 57 (2014), pp. 58-66
Persistent link: https://www.econbiz.de/10010402734
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On the threshold dividend strategy for a generalized jump : diffusion risk model
Chi, Yichun; Lin, X. Sheldon - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 326-337
Persistent link: https://www.econbiz.de/10008989302