Optimal investment for insurers when the stock price follows an exponential Lévy process

DOI10.1016/j.insmatheco.2006.10.018zbMath1193.91141OpenAlexW1989353383MaRDI QIDQ2384450

Radostina Kostadinova

Publication date: 21 September 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.10.018

zbMATH Keywords

optimal portfolioexponential Lévy processintegrated risk managementDiscounted net loss processPareto tail approximationreserve processvalue-at-Risk (VaR)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Portfolio theory (91G10)

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