Alternative Anlagestrategien werden in den USA schon seit etwa 50 Jahren verfolgt. Unter der Bezeichnung Absolute Rendite haben sich solche Strategien in den letzten 10 Jahren als eine eigenständige Anlageform, insbesondere für wohlhabende amerikanische Privatinvestoren, etabliert.(...)

Die vorliegende Arbeit stellt eine praktikable Umsetzung des Shortfall-Ansatzes für die Asset Allocation -Entscheidung von Lebensversicherungsunternehmen dar. In der unterstellten Konstellation hatten die Änderungen durch die Transformation der dritten Lebensrichtlinie (Erhöhung des maximalen...

This paper suggests that changing risk conveys information useful to improve performance.

We consider a risk process modelled as a compound Poisson process. The ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. ...

An optimal control problem is considered where a risky asset is used for investment and this investment is ...nanced by initial wealth as well as by a state dependent income. The objektive function is accumulated discounted aspected utility of the wealth, where the utility function is increasing...

We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...

This paper considers a problem of DU (Ee and Richardson in an economy in which there are two observable processes X and Y both driven by Brownian motions.

... The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case ...

In a talk given at the Royal Statistical Society of London, Karl Borch in 1967 made the following statement (see Taksar 44):...It took some more time until the first papers on stochastic control in insurance appeared. Since then we can see a rapid development of this field with a series of...

Es wurde die Kapitalanlageperformance der deutschen Lebensversicherer unter Performance- und Risikoaspekten untersucht. Dabei hatte Albrecht festgestellt, dass der erhobene Vorwurf einer unbefriedigenden Kapitalanlageperformance der deutschen Lebensversicherer aus empirischer Sicht unbegründet...