3 search results - page 1 / 1 » A BSDE approach to a risk-based optimal investment of an ins... |
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AUTOMATICA
2011
14 years 5 months ago
2011
111
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AUTOMATICA
2008
14 years 10 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
14 years 10 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...