We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal investment problem of an insurer. A simplified continuous-time economy with two investment vehicles, namely, a fixed interest security and a share, is considered. The insurer's risk process is modeled b
โฆ LIBER โฆ
An Examination of Alternative Approaches to Risk Management and Insurance Research
โ Scribed by Mark S. Dorfman; Steven C. Tippins
- Book ID
- 109178473
- Publisher
- Wiley (Blackwell Publishing)
- Year
- 2006
- Tongue
- English
- Weight
- 134 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1098-1616
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## I. INTRODUCTION edging in futures markets provides a means of shifting the risk of spot price H changes within an economy. Participation in these markets exposes hedgers to the risk of variation in the time pattern of spot and futures prices. Thus hedging programs are described as substituting