Optimal investment for insurers with the extended CIR interest rate model

DOI10.1155/2014/129474zbMath1406.91198OpenAlexW2166121489WikidataQ59035325 ScholiaQ59035325MaRDI QIDQ1722131

Mei Choi Chiu, Hoi Ying Wong

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/129474

zbMATH Keywords

jump-diffusion modelextended CIR interest rateinsurers' optimal investment

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Optimal dynamic asset-liability management with stochastic interest rates and inflation risks ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ Optimal investment strategy for asset-liability management under the Heston model

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