Portfolio insurance and model uncertainty

zbMath1043.91031MaRDI QIDQ1402425

Bernhard Nietert

Publication date: 27 August 2003

Published in: OR Spectrum (Search for Journal in Brave)

zbMATH Keywords

model uncertaintyportfolio insuranceportfolio selectionminimum-wealth or income-stream guarantee

Mathematics Subject Classification ID

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A robust asset-liability management framework for investment products with guarantees ⋮ Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria

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