Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts

Erstveröffentlichung

2020

Authors

Thai Nguyen

Stadje, Mitja

Wissenschaftlicher Artikel

Published in

SIAM journal on control and optimization ; 58 (2020), 2. - S. 895-936. - ISSN 0363-0129. - eISSN 1095-7138

Link to publication

https://dx.doi.org/10.1137/18M1217322

Faculties

Fakultät für Mathematik und Wirtschaftswissenschaften

Institutions

Institut für Versicherungswissenschaften
Institut für Finanzmathematik

Subject headings

[Free subject headings]: nonconcave utility maximization | value-at-risk | optimal portfolio | portfolio insurance | risk management | INTEREST-RATE GUARANTEES | PORTFOLIO MANAGEMENT | FAIR VALUATION | STRATEGIES | UTILITY | COMPENSATION | LIABILITIES | POLICIES
[DDC subject group]: DDC 510 / Mathematics | DDC 600 / Technology (Applied sciences)

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