Optimal investment and proportional reinsurance with risk constraint
Jingzhen Liu; Ka Fai Cedric Yiu; Ryan C. Loxton; Kok Lay Teo
| Year of publication: |
2013
|
|---|---|
| Authors: | Liu, Jingzhen ; Yiu, Ka Fai Cedric ; Loxton, Ryan C. ; Teo, Kok Lay |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 4, p. 437-447
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| Subject: | Proportional Reinsurance | Martingale Transform | Value-at-Risk | Stochastic Control | Deterministic Optimal Control | Rückversicherung | Reinsurance | Risikomaß | Risk measure | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Martingal | Martingale | Risikomanagement | Risk management | Risikomodell | Risk model | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010240806