Stochastic discounting models are generally recognized as extremely strong analytical tools for a very wide variety of fundamental areas in the actuarial discipline. The paper is mainly devoted to the formulation, investigation and application in the actuarial discipline of a stochastic...

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...