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Stochastic Analysis and Applications Volume 32, 2014 - Issue 2
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Original Articles

Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes

Hui Meng China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, P.R. China
&
Tak Kuen Siu Cass Business School, City University London, London, UK; Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, AustraliaCorrespondence[email protected] [email protected]
Pages 191-206 | Received 16 Nov 2012, Accepted 15 Jul 2013, Published online: 28 Feb 2014

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Yingchun Deng, Man Li, Ya Huang & Jieming Zhou. (2021) Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond. Communications in Statistics - Theory and Methods 50:21, pages 5126-5159.
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Articles from other publishers (4)

Calisto Guambe, Rodwell Kufakunesu & Lesedi Mabitsela. (2023) Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory. Mathematical Control and Related Fields 0:0, pages 0-0.
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Liuling Luo & Xingchun Peng. (2022) Asset allocation for a DC pension plan with minimum guarantee constraint and hidden Markov regime-switching. Probability in the Engineering and Informational Sciences, pages 1-28.
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Yang Shen & Tak Siu. (2018) A Risk-Based Approach for Asset Allocation with A Defaultable Share. Risks 6:1, pages 14.
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Tak Kuen Siu & Yang Shen. (2017) Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. Discrete & Continuous Dynamical Systems - B 22:7, pages 2595-2626.
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