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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/269887
Description: We study an optimal investment-reinsurance problem for an insurer who faces dynamic risk constraint in a Markovian regime-switching environment. The goal of the insurer is to maximize the expected uti ... More
Reviewed: Reviewed
Authors: Perera, Ryle S
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/104951
Description: Numerous researchers have applied the martingale approach for models driven by Lévy processes to study optimal investment problems. The aim of this paper is to apply the martingale approach to obtain ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102465
Description: We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownia ... More
Reviewed: Reviewed
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