Strategic Asset Allocation for Life Insurers with Stochastic Liability
نویسندگان
چکیده
منابع مشابه
a benchmarking approach to optimal asset allocation for insurers and pension funds
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
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ژورنال
عنوان ژورنال: European Journal of Pure and Applied Mathematics
سال: 2019
ISSN: 1307-5543
DOI: 10.29020/nybg.ejpam.v12i3.3478