An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
type: Item
instance of: scholarly article
title: An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
zbMATH Open document ID: 1231.91491
author: Łukasz Delong
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49N90
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6004758
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: weak property of predictable representation
zbMATH Keywords: quadratic optimization
zbMATH Keywords: equity-linked payment process
zbMATH Keywords: unsystematic and systematic insurance risk
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2010.07.003
OpenAlex ID: W2031555114
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DOI: 10.1016/J.INSMATHECO.2010.07.003
description: scientific article; zbMATH DE number 6004758