Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
Rafael Serrano
| Year of publication: |
2021
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|---|---|
| Authors: | Serrano, Rafael |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 1, p. 1-34
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| Subject: | Portfolio allocation | expected utility maximization | financial risk | insurancerisk | extreme-event risk | jump-diffusion model | wealth-income ratio | power utility | martingale approach | Portfolio-Management | Portfolio selection | Risiko | Risk | Erwartungsnutzen | Expected utility | Martingal | Martingale | Risikomodell | Risk model | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500059 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012650242