Management of catastrophic risks considering the existence of early warning systems

DOI10.1080/03461230701862848zbMath1224.91058OpenAlexW2061390443MaRDI QIDQ3077726

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Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701862848

zbMATH Keywords

stochastic optimizationearly warning systemarrival processrisk reserve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Mean-variance hedging in continuous time
• The variance-optimal martingale measure for continuous processes
• A Minimum Variance Result in Continuous Trading Portfolio Optimization

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