3 search results - page 1 / 1 » A BSDE approach to a risk-based optimal investment of an ins... |
AUTOMATICA
2011
12 years 11 months ago
2011
AUTOMATICA
2008
13 years 4 months ago
2008
This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maxi...
FS
2006
13 years 4 months ago
2006
We study the problem of finding optimal strategies for a life insurance company or pension fund that acts on behalf of an insured so as to maximize the expected utility (in a gene...