Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
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Publication:5222157
DOI10.1137/18M1217322zbMath1433.91142MaRDI QIDQ5222157
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Publication date: 1 April 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/18M1217322
Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
Related Items (8)
Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Decrease of capital guarantees in life insurance products: can reinsurance stop it? ⋮ Combining multi-asset and intrinsic risk measures ⋮ Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Optimal expansion of business opportunity ⋮ Non-concave portfolio optimization with average value-at-risk ⋮ Non-concave expected utility optimization with uncertain time horizon ⋮ A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints
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