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未知市场风险价格下的投资组合和再保险优化

IF 1.5 4区 经济学 Q3 BUSINESS, FINANCE
Quantitative Finance Pub Date : 2024-08-15 DOI:10.1080/14697688.2024.2384392
Claudia Ceci, Katia Colaneri
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引用次数: 0

摘要

我们研究了保险公司在掌握部分风险市场价格信息的情况下的最优投资和再保险问题。通过使用过滤技术，我们将...
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Portfolio and reinsurance optimization under unknown market price of risk
We investigate the optimal investment-and-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques, we convert the...
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来源期刊
Quantitative Finance
Quantitative Finance 社会科学-数学跨学科应用
CiteScore
3.20
自引率
7.70%
发文量
102
审稿时长
4-8 weeks
期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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