Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
Frank Bosserhoff, Mitja Stadje
| Year of publication: |
2021
|
|---|---|
| Authors: | Bosserhoff, Frank ; Stadje, Mitja |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 100.2021, p. 130-146
|
| Subject: | Jump-diffusion | Life insurance | Mean-variance | Risk management | Time-consistency | Lebensversicherung | Portfolio-Management | Portfolio selection | Risikomanagement | Optionspreistheorie | Option pricing theory | Zeitkonsistenz | Time consistency | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.03.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012622385