Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
Wissenschaftlicher Artikel
Authors
Thai Nguyen
Stadje, Mitja
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)