General Trigger Values of Optimal Investment

نویسندگان

چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Reinsurance / Investment Problems for General Insurance Models

In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, representing the randomness from the financial market and the insurance claims, respectively. The random safety loading and stochastic interest rates are ...

متن کامل

Optimal consumption and investment in incomplete markets with general constraints

We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We provide explicit solutions for investors with exponential, logarithmic as well as power utility and show that they are unique if the constraints are convex. Our approach is based on martingale methods that rely on results on the existence and un...

متن کامل

Optimal Responsible Investment

Numerous institutions are now engaged in Socially Responsible Investment or have signed the ”UN Principles for Responsible Investment”. Retail investors, however, are still lacking behind. This is peculiar since the sector constitutes key stakeholders in environmental, social and governmental standards. This paper considers optimal responsible investment for a small retail investor. It extends ...

متن کامل

Optimal investment for insurers

We consider a risk process modelled as a compound Poisson process. The ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. The optimal strategy is computed using the Bellman equation. We prove the existence of a smooth solution and a verification theorem, and give explicit solutions in some cases with exponential claim s...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 1998

ISSN: 1556-5068

DOI: 10.2139/ssrn.47405