Kaiserslautern
Germany
RPTU Kaiserslautern-Landau
structured products, risk measures, optimal expected utility, implied risk aversion
risk measure, certainty equivalent, utility maximization
Multivariate HMM, Filtering, Regime switching model, Portfolio optimization
balance sheet, life insurance, model points, asset liability management, guaranteed interest rate
Multi-asset risk measure, portfolio optimization, utility maximization, certainty equivalent, capital adequacy test
Intrinsic risk measure, multi-asset risk measure, multiple eligible assets, diversification, Expected Shortfall, Solvency II
Emissions Trading System, Stochastic Optimal Control, Banking of Allowances, Emissions Dynamics, Allowance Prices
Trading System, Cap Compliance, Stochastic Optimal Control, Discontinuous SDE, Existence of a Unique Solution, Convergence Euler-Maryama scheme
life insurance, compression, new business, balance sheet
Utility Maximization, Transaction Costs, Reflected Diffusions, Superharmonic Functions
unbounded viscosity solutions, comparison principle, optimal terminal wealth, transaction costs
Portfolio optimization, worst-case scenarios, crash modeling, transaction costs, dynamic programming, viscosity solutions