Optimal investment and risk control policies for an insurer : expected utility maximization
Bin Zou; Abel Cadenillas
| Year of publication: |
2014
|
|---|---|
| Authors: | Zou, Bin ; Cadenillas, Abel |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 58.2014, p. 57-67
|
| Subject: | Jump-diffusion process | Martingale approach | HARA utility | CARA utility | Quadratic utility | Erwartungsnutzen | Expected utility | Nutzen | Utility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function | Martingal | Martingale | Optionspreistheorie | Option pricing theory |
| 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/10010437631