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Portfolio Optimization under Solvency Constraints: A Dynamical Approach - MaRDI portal

Portfolio Optimization under Solvency Constraints: A Dynamical Approach (Q5379126)

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scientific article; zbMATH DE number 7059798
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English
Portfolio Optimization under Solvency Constraints: A Dynamical Approach
scientific article; zbMATH DE number 7059798

    Statements

    title
    Portfolio Optimization under Solvency Constraints: A Dynamical Approach (English)
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    author
    Sujith Asanga
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    Alexandru V. Asimit
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    Steven Haberman
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    Alexandru M. Badescu
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    publication date
    28 May 2019
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    zbMATH Keywords
    portfolio optimization
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    nonlife insurance company
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    ruin probability
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    conditional value-at-risk
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    expected policyholder deficit ratio
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    91G70
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    zbMATH DE Number
    7059798
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    OpenAlex ID
    W3125539795
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