Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach.
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- Optimization, 2018, v. 67, n. 4, p. 457, doi. 10.1080/02331934.2017.1405956
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- Article
Works matching AU Guambe, Calisto
Results: 9
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A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations.
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- Communications in Statistics: Theory & Methods, 2022, v. 51, n. 6, p. 1791, doi. 10.1080/03610926.2020.1768405
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- Article
3
Optimal asset allocation for a DC plan with partial information under inflation and mortality risks.
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- Communications in Statistics: Theory & Methods, 2021, v. 50, n. 9, p. 2048, doi. 10.1080/03610926.2019.1657458
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- Article
4
Optimal investment-consumption and life insurance with capital constraints.
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- Communications in Statistics: Theory & Methods, 2020, v. 49, n. 3, p. 648, doi. 10.1080/03610926.2018.1549246
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- Article
5
Stochastic differential game strategies in the presence of reinsurance and dividend payout.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 5, p. 1, doi. 10.3934/jimo.2022099
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6
Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory.
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- Mathematical Control & Related Fields, 2024, v. 14, n. 2, p. 1, doi. 10.3934/mcrf.2023023
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AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK.
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- International Journal of Theoretical & Applied Finance, 2021, v. 24, n. 3, p. 1, doi. 10.1142/S0219024921500151
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8
Time-consistent investment-proportional reinsurance strategy under a jump-diffusion model.
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- Mathematical Communications, 2023, v. 28, n. 2, p. 235
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- Article
9
On the sensitivity analysis of energy quanto options.
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- Stochastic Analysis & Applications, 2022, v. 40, n. 6, p. 1104, doi. 10.1080/07362994.2021.1984945
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