Equity allocation and portfolio selection in insurance

DOI10.1016/S0167-6687(99)00062-1zbMath1017.91050arXivmath/9907160MaRDI QIDQ1584584

Erik Taflin

Publication date: 7 May 2002

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/9907160

zbMATH Keywords

nonlinear modelstochastic processinsuranceportfolio selectionrisk evaluationquadratic modeloptimization problem with constraintsequity allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Special processes (60K99) Portfolio theory (91G10)

Cites Work

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• Martingales and arbitrage in multiperiod securities markets
• EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL

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