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Worst-case scenario investment for insurers

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  • Korn, Ralf

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  • Korn, Ralf, 2005. "Worst-case scenario investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 1-11, February.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:1:p:1-11
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    References listed on IDEAS

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    1. Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
    2. Sid Browne, 1995. "Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Mathematics of Operations Research, INFORMS, vol. 20(4), pages 937-958, November.
    3. Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
    4. De Vylder, F. & Goovaerts, M. J., 1982. "Analytical best upper bounds on stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 163-175, July.
    5. De Vylder, F., 1982. "Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints," Insurance: Mathematics and Economics, Elsevier, vol. 1(2), pages 109-130, April.
    6. Stanley R. Pliska, 1986. "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 371-382, May.
    7. De Vylder, F. & Goovaerts, M. & De Pril, N., 1982. "Bounds on Modified Stop-Loss Premiums in Case of Known Mean and Variance of the Risk Variable," ASTIN Bulletin, Cambridge University Press, vol. 13(1), pages 23-36, June.
    8. Ralf Korn & Paul Wilmott, 2002. "Optimal Portfolios Under The Threat Of A Crash," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 171-187.
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    Cited by:

    1. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
    2. Bilel Jarraya & Abdelfettah Bouri, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
    3. Ralf Korn, 2008. "Optimal portfolios: new variations of an old theme," Computational Management Science, Springer, vol. 5(4), pages 289-304, October.
    4. Lihua Chen & Ralf Korn, 2019. "Worst-case portfolio optimization in discrete time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(2), pages 197-227, October.
    5. Xiang Lin & Chunhong Zhang & Tak Siu, 2012. "Stochastic differential portfolio games for an insurer in a jump-diffusion risk process," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 75(1), pages 83-100, February.
    6. Hong Mao & Zhongkai Wen, 2020. "Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer with Multi-dimensional Time-Varying Correlation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 29-51, March.
    7. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    8. Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai, 2013. "Optimal decision on dynamic insurance price and investment portfolio of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 359-369.
    9. Ralf Korn & Elisabeth Leoff, 2019. "Multi-Asset Worst-Case Optimal Portfolios," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-24, June.

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