Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
Wissenschaftlicher Artikel
Faculties
Fakultät für Mathematik und WirtschaftswissenschaftenInstitutions
Institut für VersicherungswissenschaftenInstitut für Finanzmathematik
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/10.1137/18M1217322Keywords
nonconcave utility maximization; value-at-risk; optimal portfolio; portfolio insurance; risk management; INTEREST-RATE GUARANTEES; PORTFOLIO MANAGEMENT; FAIR VALUATION; STRATEGIES; UTILITY; COMPENSATION; LIABILITIES; POLICIESDewey Decimal Group
DDC 510 / MathematicsDDC 600 / Technology (Applied sciences)