Asymptotic and numerical analysis of the optimal investment strategy for an insurer

DOI10.1016/j.insmatheco.2006.03.003zbMath1273.91419OpenAlexW1970961143MaRDI QIDQ865616

Steven Haberman, Paul Emms

Publication date: 19 February 2007

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/2294/1/163ARP.pdf

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS, Optimal asset allocation for a general portfolio of life insurance policies

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