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PORTFOLIO ALLOCATION in A LEVY-TYPE JUMP-DIFFUSION MODEL with NONLIFE INSURANCE RISK
Rafael Serrano
Faculty of Economics
Faculty of Economics Research Group
urosario
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peer-review
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Dive into the research topics of 'PORTFOLIO ALLOCATION in A LEVY-TYPE JUMP-DIFFUSION MODEL with NONLIFE INSURANCE RISK'. Together they form a unique fingerprint.
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Business & Economics
Jump-diffusion Model
100%
Underwriting
90%
Income
72%
Log-utility
60%
Martingale Method
59%
Wealth
58%
Catastrophic Events
54%
Worst-Case Scenario
53%
Expected Utility
53%
Portfolio Insurance
52%
Power Utility
50%
Jump Diffusion
50%
Extreme Events
49%
Insurance Risk
49%
Economic Shocks
46%
Dividend Payout
46%
Jump
44%
Dividend Policy
44%
Insurance Premium
44%
Risk Control
44%
Solvency
41%
Control Variable
38%
Disaster
38%
Severity
37%
Investment Strategy
37%
Insurer
36%
Utility Function
34%
Liability
33%
Capital Markets
32%