Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model-Reference-Cited by-同舟云学术

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Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model

Published:2013 Issue:2 Volume:9 Page:411-429
ISSN:1553-166X
Container-title:Journal of Industrial & Management Optimization
language:en
Short-container-title:

Author:

Qian Linyi, ,Wang Wei,Wang Rongming, ,

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management,Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management

Reference25 articles.

1. Pricing of unit-linked life insurance policies,;K. Aase;Scandinavian Actuarial Journal

2. Décomposition de Kunita-Watanabe,;J. P. Ansel;in,1993

3. Hedging unit-linked life insurance contracts in a financial market driven by shot-noise processes,;J. Bi;Applied Stochastic Models In Business And Industry,2010

4. Pricing contingent claims on stocks driven by Lévy processes,;T. Chan;The Annals of Applied Probability,1999

5. Risk minimizing option pricing in a regime switching market,;A. Deshpande;Stochastic Analysis and Applications,2008

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