PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2021-02-24 DOI:10.1142/S0219024921500059

Rafael Serrano

引用次数: 0

Abstract

We propose a model that integrates investment, underwriting, and consumption/dividend policy decisions for a nonlife insurer by using a risk control variable related to the wealth-income ratio of t...

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具有非寿险风险的赋税型跳跃扩散模型中的投资组合配置

我们提出了一个模型，通过使用与财富收入比相关的风险控制变量，将非人寿保险公司的投资、承保和消费/股息政策决策整合在一起。。。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.