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Optimal reinsurance and asset allocation under regime switching · Study

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ArticleOptimal reinsurance and asset allocation under regime switching

Bong‐Gyu Jang2015

Article2015

Optimal reinsurance and asset allocation under regime switching

Bong‐Gyu Jang · Kyeong Tae Kim

40 citations·0/0 files stored·Journal of Banking & Finance

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1971Optimum consumption and portfolio rules in a continuous-time model 2003UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE 1989Why Does Stock Market Volatility Change Over Time?1992No news is good news 2002International Asset Allocation With Regime Shifts 2001Uncertainty and The Welfare Economics of Medical Care 1991Aspects of Risk Theory

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Year2015

Typearticle

Published2015-03-31

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations40

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.jbankfin.2015.03.002

openalex_workW3122431206

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