Risk-Sensitive Dynamic Asset Management
β Scribed by T. R. Bielecki; S. R. Pliska
- Publisher
- Springer
- Year
- 1999
- Tongue
- English
- Weight
- 146 KB
- Volume
- 39
- Category
- Article
- ISSN
- 0095-4616
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In order to apply the ALM model of Janssen (see also References 2 and 3), to insurance companies, we study an extension of the model in which the asset fund A takes into account "xed-income securities. Therefore, we model the rates of return of the portfolio by a Vasicek process. The liability proce
Basket options are among the most popular products of the new generation of exotic options. They are particularly attractive because they can efficiently and simultaneously hedge a wide variety of intrinsically different financial risks and are flexible enough to cover all the risks faced by firms.