Add to ORKGIn this paper we apply the martingale approach, which has been widely used in mathematical finance, to study the optimal investment problem for an insurer. When the risk and security assets are described by the Lévy processes and utility is CARA, the closed-form solutions to the maximization problem are obtained.
We investigate an optimal investment problem of an insurance company in the presence of risk constra...
We introduce a novel approach to optimal investment–reinsurance problems of an insurance company fac...
This thesis is devoted to deal with the stochastic optimization problems in various situations with ...
Numerous researchers have applied the martingale approach for models driven by Lévy processes to stu...
Abstract. In this work we determine the optimal asset allocation of pure endowments insurance contra...
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and whi...
We investigate an insurer's optimal investment and liability problem by maximizing the expected term...
We consider an insurance business with a Cramer-Lundberg risk process and an in-vestment portfolio c...
In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model unc...
In this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. ...
In this paper we consider the problem of an insurance company where the wealth of the insurer is des...
The stock price process is modelled by a geometric Lévy process (tak-ing into account jumps). Excep...
This paper investigates the optimal investment problems for an insurer whose reserve proce...
In this work, we examine the combined problem of optimal portfolio selection rules for an insurer in...
Stochastic modeling of the reserve surplus of an insurance business plays a critical role in the fou...
We investigate an optimal investment problem of an insurance company in the presence of risk constra...
We introduce a novel approach to optimal investment–reinsurance problems of an insurance company fac...
This thesis is devoted to deal with the stochastic optimization problems in various situations with ...
Numerous researchers have applied the martingale approach for models driven by Lévy processes to stu...
Abstract. In this work we determine the optimal asset allocation of pure endowments insurance contra...
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and whi...
We investigate an insurer's optimal investment and liability problem by maximizing the expected term...
We consider an insurance business with a Cramer-Lundberg risk process and an in-vestment portfolio c...
In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model unc...
In this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. ...
In this paper we consider the problem of an insurance company where the wealth of the insurer is des...
The stock price process is modelled by a geometric Lévy process (tak-ing into account jumps). Excep...
This paper investigates the optimal investment problems for an insurer whose reserve proce...
In this work, we examine the combined problem of optimal portfolio selection rules for an insurer in...
Stochastic modeling of the reserve surplus of an insurance business plays a critical role in the fou...
We investigate an optimal investment problem of an insurance company in the presence of risk constra...
We introduce a novel approach to optimal investment–reinsurance problems of an insurance company fac...
This thesis is devoted to deal with the stochastic optimization problems in various situations with ...