A BSDE approach to a risk-based optimal investment of an insurer-Reference-Cited by-同舟云学术

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A BSDE approach to a risk-based optimal investment of an insurer

Published:2011-02 Issue:2 Volume:47 Page:253-261
ISSN:0005-1098
Container-title:Automatica
language:en
Short-container-title:Automatica

Author:

Elliott Robert J.,Siu Tak Kuen

Funder

Australian Research Council (ARC)

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Control and Systems Engineering

Reference30 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. Optimal derivatives design under dynamic risk measures;Barrieu,2004

3. Optimal risk transfer;Barrieu;Finance,2004

4. Value-at-risk based risk management: optimal policies and asset prices;Basak;Review of Financial Studies,2001

5. The theory of risk;Borch;Journal of the Royal Statistical Society Series B,1967

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