Add to ORKGABSTRACT. In this article we obtain the ratio of risk investment and the optimal accumulated level of single premium endowment insurance in the case of dynamic investment strategies of life insurance company by BSDEs. It gives an illustration of traditional reserve valuation, and prudential rules
In this thesis we describe the dynamics of solvency level in life insurance contracts. We do this by...
We consider a general wealth process with a drift coefficient which is a function of the wealth proc...
Backward stochastic di fferential equations (BSDE) were firstly introduced by Bismut in 1973. Follow...
We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal in...
In this paper, we study backward stochastic differential equations (BSDEs) with respect to general f...
We discuss an optimal investment problem of an insurer in a hidden Markov, regime-switching, modelin...
In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), prov...
Considerably much work has been done on Backward Stochastic Differential Equations (BSDEs) in contin...
With the gradual development and improvement of the financial market, financial derivatives such as ...
AbstractInsider trading consists in having an additional information, unknown from the common invest...
An asset allocation problem of a member of a defined contribution (DC) pension fund is discussed in ...
Stochastic modeling of the reserve surplus of an insurance business plays a critical role in the fou...
Differential Equation Theory is just a thing happened in the past years. Although its development an...
We study an optimal investment problem under contagion risk in a financial model subject to multiple...
A backward stochastic differential equation (BSDE) approach is used to evaluate convex risk measures...
In this thesis we describe the dynamics of solvency level in life insurance contracts. We do this by...
We consider a general wealth process with a drift coefficient which is a function of the wealth proc...
Backward stochastic di fferential equations (BSDE) were firstly introduced by Bismut in 1973. Follow...
We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal in...
In this paper, we study backward stochastic differential equations (BSDEs) with respect to general f...
We discuss an optimal investment problem of an insurer in a hidden Markov, regime-switching, modelin...
In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), prov...
Considerably much work has been done on Backward Stochastic Differential Equations (BSDEs) in contin...
With the gradual development and improvement of the financial market, financial derivatives such as ...
AbstractInsider trading consists in having an additional information, unknown from the common invest...
An asset allocation problem of a member of a defined contribution (DC) pension fund is discussed in ...
Stochastic modeling of the reserve surplus of an insurance business plays a critical role in the fou...
Differential Equation Theory is just a thing happened in the past years. Although its development an...
We study an optimal investment problem under contagion risk in a financial model subject to multiple...
A backward stochastic differential equation (BSDE) approach is used to evaluate convex risk measures...
In this thesis we describe the dynamics of solvency level in life insurance contracts. We do this by...
We consider a general wealth process with a drift coefficient which is a function of the wealth proc...
Backward stochastic di fferential equations (BSDE) were firstly introduced by Bismut in 1973. Follow...