Optimal investment for insurers with correlation risk: risk aversion and investment horizon-Reference-Cited by-同舟云学术

Optimal investment for insurers with correlation risk: risk aversion and investment horizon

Published:2017-04-05 Issue:2 Volume:29 Page:207-227
ISSN:1471-678X
Container-title:IMA Journal of Management Mathematics
language:en
Short-container-title:

Author:

Chiu Mei Choi¹,Wong Hoi Ying²

Affiliation:

1. Department of Mathematics & Information Technology, Education University of Hong Kong, Tai Po, Hong Kong

2. Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong

Funder

Research Council of Hong Kong

Publisher

Oxford University Press (OUP)

Subject

Applied Mathematics,Management Science and Operations Research,Strategy and Management,General Economics, Econometrics and Finance,Modeling and Simulation,Management Information Systems

Link

http://academic.oup.com/imaman/article-pdf/29/2/207/24347546/dpx001.pdf

Reference28 articles.

1. Matrix Riccati Equations in Control and Systems Theory

2. Asymmetric correlations of equity portfolios;Ang;J. Financ. Econ.,2002

3. An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments;Badaoui;Insur. Math. Econ.,,2013

4. Stochastic correlation across international stock markets;Ball;J. Empir. Financ.,2000

5. Common volatility in major stock index futures markets;Booth;Eur. J. Oper. Res.,1996

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