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Insurance: Mathematics and Economics
Volumn 36, Issue 1, 2005, Pages 1-11
Worst-case scenario investment for insurers
Author keywords

Crash modelling; Exponential utility; Insurance mathematics; Optimal portfolios; Worst case scenario
Indexed keywords

EID: 13844271137     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.10.004     Document Type: Article
Times cited : (27)
References (11)
  • 1
    • 0001138724 scopus 로고
    • Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin
    • S. Browne Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin Math. Operations Res. 20 1995 937-957
    • (1995) Math. Operations Res. , vol.20 , pp. 937-957
    • Browne, S.1
  • 2
    • 0346662076 scopus 로고
    • Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
    • F. De Vylder Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints Insurance: Math. Econ. 1 1982 109-130
    • (1982) Insurance: Math. Econ. , vol.1 , pp. 109-130
    • De Vylder, F.1
  • 3
    • 49049137292 scopus 로고
    • Analytical best upper bounds for stop-loss premiums
    • F. De Vylder M.J. Goovaerts Analytical best upper bounds for stop-loss premiums Insurance: Math. Econ. 1 1982 197-212
    • (1982) Insurance: Math. Econ. , vol.1 , pp. 197-212
    • De Vylder, F.1    Goovaerts, M.J.2
  • 4
    • 0009416942 scopus 로고
    • Upper and lower bounds on stop-loss premiums in case of known expectation and variance of the risk variable
    • F. De Vylder M.J. Goovaerts Upper and lower bounds on stop-loss premiums in case of known expectation and variance of the risk variable Mitt. der Verw. Schw. Vers. Math. 1982 149-164
    • (1982) Mitt. Der Verw. Schw. Vers. Math. , pp. 149-164
    • De Vylder, F.1    Goovaerts, M.J.2
  • 5
    • 0347922643 scopus 로고
    • Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions
    • M.J. Goovaerts F. De Vylder Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions Scand. Actuarial J. 1980 141-148
    • (1980) Scand. Actuarial J. , pp. 141-148
    • Goovaerts, M.J.1    De Vylder, F.2
  • 7
    • 0006157712 scopus 로고    scopus 로고
    • Optimal investment for insurers
    • C. Hipp M. Plum Optimal investment for insurers Insurance: Math. Econ. 26 2000 215-228
    • (2000) Insurance: Math. Econ. , vol.26 , pp. 215-228
    • Hipp, C.1    Plum, M.2
  • 8
    • 13844301019 scopus 로고    scopus 로고
    • Worst-case scenario portfolio optimization: A new stochastic control approach
    • Working paper
    • Korn, R., Menkens, O., 2002. Worst-case scenario portfolio optimization: a new stochastic control approach. Working paper.
    • (2002)
    • Korn, R.1    Menkens, O.2
  • 9
    • 13844260321 scopus 로고    scopus 로고
    • Optimal portfolios under the threat of a crash
    • R. Korn P. Wilmott Optimal portfolios under the threat of a crash Int. J. Theor. Appl. Finance 5 2002 171-187
    • (2002) Int. J. Theor. Appl. Finance , vol.5 , pp. 171-187
    • Korn, R.1    Wilmott, P.2
  • 10
    • 13844283298 scopus 로고    scopus 로고
    • Crash hedging strategies and optimal portfolios
    • Ph.D. Thesis. Technische Universitaet Kaiserslautern
    • Menkens, O., 2004. Crash hedging strategies and optimal portfolios. Ph.D. Thesis. Technische Universitaet Kaiserslautern.
    • (2004)
    • Menkens, O.1
  • 11
    • 0003103429 scopus 로고
    • A stochastic calculus model of continuous trading: Optimal portfolios
    • S. Pliska A stochastic calculus model of continuous trading: Optimal portfolios Math. Operations Res. 11 1986 371-382
    • (1986) Math. Operations Res. , vol.11 , pp. 371-382
    • Pliska, S.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.