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Pension funds with longevity risk : an optimal portfolio insurance approach

Di Giacinto, Marina; Mancinelli, Daniele; Marino, Mario; … - 2024

Persistent link: https://www.econbiz.de/10015357881

Optimal mean-variance efficiency of a family with life insurance under inflation risk

Liang, Zongxia; Zhao, Xiaoyang - In: Insurance / Mathematics & economics 71 (2016), pp. 164-178

Persistent link: https://www.econbiz.de/10011630638

Optimal portfolio selection with maximal risk adjusted return

Wang, Yue; Qiu, Zhijian; Qu, Xiaomei - In: Applied economics letters 24 (2017) 13/15, pp. 1035-1040

Persistent link: https://www.econbiz.de/10011716547

Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

Fahim, Arash - 2016

The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a … venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk …

Persistent link: https://www.econbiz.de/10013001352

Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

Optimal deterministic investment strategies for insurers

Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to … with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …

Persistent link: https://www.econbiz.de/10010199019

Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming

Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 599-632

Persistent link: https://www.econbiz.de/10011923011

Optimal risk allocation in reinsurance networks

Bäuerle, Nicole; Glauner, Alexander - In: Insurance / Mathematics & economics 82 (2018), pp. 37-47

Persistent link: https://www.econbiz.de/10011929783

Risk reducers in convex order

He, Junnan; Tang, Qihe; Zhang, Huan - In: Insurance / Mathematics & economics 70 (2016), pp. 80-88

Persistent link: https://www.econbiz.de/10011597183