Optimization problem of insurance investment based on spectral risk measure and RAROC criterion

DOI10.1155/2018/9838437zbMath1427.91249OpenAlexW2898988099MaRDI QIDQ1721738

Yu Shi, Hongyan Ji, Xia Zhao

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/9838437

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Constant proportion portfolio insurance under a regime switching exponential Lévy process
• Optimal reinsurance-investment strategies for insurers under mean-car criteria
• Risk measures via \(g\)-expectations
• Optimal portfolio choice for an insurer with loss aversion
• Coherent Measures of Risk

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