Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
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Publication:5413858
DOI10.1080/07362994.2014.858551zbMath1291.91197OpenAlexW2080166193MaRDI QIDQ5413858
Publication date: 2 May 2014
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2014.858551
regime switchingstochastic differential gamesconvex risk measuresasset allocationpure jump processes
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Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
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