PORTFOLIO ALLOCATION in A LEVY-TYPE JUMP-DIFFUSION MODEL with NONLIFE INSURANCE RISK

Keyphrases

• Levy 100%
• Jump-diffusion Process 100%
• Wealth-income Ratio 66%
• Underwriting 66%
• Policy Decisions 33%
• Business Line 33%
• Insurer 33%
• Capital Markets 33%
• Solvency 33%
• Control Variables 33%
• Numerical Examples 33%
• Dividend Policy 33%
• Policyholders 33%
• Bounded Variation 33%
• Investment Strategy 33%
• Extreme Events 33%
• Expected Utility 33%
• Insurance Premium 33%
• Extreme Disaster 33%
• Insurance Portfolio 33%
• Power Utility Function 33%
• Martingale Method 33%
• Event Risk 33%
• Insurance Liabilities 33%
• Disaster Risk 33%
• Efficient Transfer 33%
• Tempered Stable 33%
• Catastrophic Events 33%
• Shock Event 33%
• Negative Income Shock 33%
• Jump-diffusion Dynamics 33%
• Insurance Risk 33%
• Risk Control 33%
• Log-returns 33%
• Dividend Payout 33%
• Log Utility 33%

Economics, Econometrics and Finance

• Wealth 100%
• Portfolio Selection 50%
• Payout Policy 50%
• Risk Control 50%
• Utility Function 50%
• Investment Strategies 50%
• Dividend Payouts 50%
• Worst-Case Scenario 50%