Abstract
The following sections are included: • Introduction • Single-Period Markowitz Model • Multi-Period Mean-Variance Model • Model and Problem Formulation • Model Assumption • A Useful Auxiliary Problem • A Brief Review of Merton’s Model • Continuous-Time VaR Optimal Portfolio • Value-at-Risk • Model and Problem Formulation • Solution Approach • Continuous-Time CaR Formulation • Model and CaR • Problem Formulation • Optimal Investment Strategy for Insurance Portfolio • Conclusions • Acknowledgments • Appendix 1 • Appendix 2 • Appendix 3 • References.
| Original language | English |
|---|---|
| Title of host publication | Intelligent And Other Computational Techniques In Insurance |
| Subtitle of host publication | Theory And Applications |
| Publisher | World Scientific Publishing Co. |
| Pages | 587-623 |
| Number of pages | 37 |
| ISBN (Electronic) | 9789812794246 |
| DOIs | |
| Publication status | Published - 1 Jan 2003 |
| Externally published | Yes |