Info
Applications of Stochastic Optimal Control to Economics and Finance
| Applications of Stochastic Optimal Control to Economics and Finance |
| Autore | Federico Salvatore |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 online resource (210 p.) |
| Soggetto topico | Economics, Finance, Business and Management |
| Soggetto non controllato |
American call option
American options asymptotic arbitrage Bayesian learning binomial tree complete market debt crisis decision analysis derivatives pricing energy imbalance market excess-of-loss reinsurance free boundary problem general diffusion geometric Brownian motion government debt management government debt ratio Hamilton-Jacobi-Bellman equation insurance least square method Markov additive processes Markov regime switching market Markovian jump securities Markowitz problem martingale multiple optimal stopping optimal government debt ceiling optimal portfolio optimal reinsurance optimal stopping portfolio selection quadrinomial tree real option analysis risk management stochastic control stochastic factor model stochastic interest rates unemployment utility |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557761803321 |
Federico Salvatore
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Systemic Risk and Reinsurance
| Systemic Risk and Reinsurance |
| Autore | Tian Weidong |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 online resource (146 p.) |
| Soggetto topico | Collecting coins, banknotes, medals and other related items |
| Soggetto non controllato |
capital insurance
capital requirement for premium risk collective risk model community structure complex networks conditional value-at-risk contagion deltaCoVaR equilibrium financial conglomerate financial markets general risk measure insurance sector interconnectedness mean-CVaR portfolio optimization minimum spanning trees-topological indicators Neyman-Pearson problem optimal reinsurance reinsurance strategies risk minimization risk sharing Solvency II systemic risk tail dependence welfare |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557134003321 |
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Tian Weidong
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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