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PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK - MaRDI portal

PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK (Q4990920)

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scientific article; zbMATH DE number 7353442
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English
PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK
scientific article; zbMATH DE number 7353442

    Statements

    title
    PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK (English)
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    author
    Rafael Serrano
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    publication date
    1 June 2021
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    zbMATH Keywords
    portfolio allocation
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    expected utility maximization
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    financial risk
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    insurance risk
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    extreme-event risk
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    jump-diffusion model
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    wealth-income ratio
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    power utility
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    martingale approach
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    cites work
    Q5401013
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    Identifiers

    Mathematics Subject Classification ID
    91G05
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    91G10
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    60G51
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    zbMATH DE Number
    7353442
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    OpenAlex ID
    W3134564224
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