Optimal investment under VaR-regulation and minimum insurance
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Publication:1742722
DOI10.1016/j.insmatheco.2018.01.008zbMath1401.91108OpenAlexW2793840333MaRDI QIDQ1742722
Publication date: 12 April 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.01.008
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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