Search Results - subject:"stochastic factor model"

Expected power utility maximization of insurers

Hata, Hiroaki; Yasuda, Kazuhiro - In: Asia Pacific financial markets 31 (2024) 3, pp. 543-577

Persistent link: https://www.econbiz.de/10015072354

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks 7 (2019) 2, pp. 1-23

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed by a marked point process with dual-predictable...

Persistent link: https://www.econbiz.de/10013200466

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks : open access journal 7 (2019) 2/48, pp. 1-23

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer’s surplus is governed by a marked point process with dual-predictable...

Persistent link: https://www.econbiz.de/10012019228

Continuous-time portfolio choice under monotone mean-variance preferences : stochastic factor case

Trybuła, Jakub; Zawisza, Dariusz - In: Mathematics of operations research 44 (2019) 3, pp. 966-987

Persistent link: https://www.econbiz.de/10012105828

Portfolio management in a stochastic factor model under the existence of private information

Baltas, Ioannis; Yannacopoulos, Athanasios N. - In: IMA journal of management mathematics 30 (2019) 1, pp. 77-103

Persistent link: https://www.econbiz.de/10012057100

Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model

Hata, Hiroaki; Yasuda, Kazuhiro - In: Scandinavian actuarial journal (2018) 5, pp. 357-378

Persistent link: https://www.econbiz.de/10011881444

The Impact of Oil Price on the Stock Market - L’impatto del prezzo del petrolio sul mercato azionario

Alghalith, Moawia; Polius, Tracy; Franklin, Martin - In: Economia Internazionale / International Economics 67 (2014) 4, pp. 433-438

Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the stock market. We apply our approach to the Jamaican financial market. Our result indicates a negative weak relationship between the oil price and the stock index. - Attraverso...

Persistent link: https://www.econbiz.de/10011165624

The impact of oil price on the stock market

Alghalith, Moawia; Polius, Tracy; Franklin, Martin - In: Economia internazionale 67 (2014) 4, pp. 433-438

Persistent link: https://www.econbiz.de/10010502109

Robust Maximization of Consumption with Logarithmic Utility

Hernández-Hernández, Daniel; Schied, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

maximization in a stochastic factor model. Stat. Decisions 24, 109-125 (2006). [14] Hern´andez-Hern´andez D., Schied, A. A control …-129 (2007). [22] Schied, A. Robust control of consumption-investment strategies in a stochastic factor model. Preprint, TU …

Persistent link: https://www.econbiz.de/10005652724

The Impact of the Exchange Rate on the Stock Market - L’impatto del tasso di cambio sul mercato azionario

Alghalith, Moawia; Polius, Tracy; Franklin, Martin - In: Economia Internazionale / International Economics 65 (2012) 4, pp. 495-502

. In doing so, we utilize the new stochastic-factor model (a recent development in mathematical finance). Our results …

Persistent link: https://www.econbiz.de/10010991488