Thai Nguyen

University of Ulm - Institute of Insurance Science

Ulm, 89081

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

270

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Constrained Non-Concave Utility Maximization: An Application to Life Insurance Contracts with Guarantees

European Journal of Operational Research, Vol. 273, No. 3, pp. 1119-1135, 2019
Number of pages: 40 Posted: 11 Aug 2017 Last Revised: 06 Dec 2018
An Chen, Peter Hieber and Thai Nguyen
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Ulm - Institute of Insurance Science
Downloads 160 (221,056)
Citation 6

Abstract:

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optimal asset alllocation, insurance contract design, investment guarantee, utility maximization

2.

Optimal Collective Investment: The Impact of Sharing Rules, Management Fees and Guarantees

Number of pages: 52 Posted: 20 Sep 2018 Last Revised: 09 Nov 2020
An Chen, Thai Nguyen and Manuel Rach
University of Ulm, University of Ulm - Institute of Insurance Science and University of Ulm - Institute of Insurance Science
Downloads 70 (389,504)

Abstract:

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Collective investment problems, guarantee design, risk sharing

3.

A Collective Investment Problem in a Stochastic Volatility Environment: The Impact of Sharing Rules

Number of pages: 34 Posted: 24 Jul 2019 Last Revised: 11 May 2020
An Chen, Thai Nguyen and Manuel Rach
University of Ulm, University of Ulm - Institute of Insurance Science and University of Ulm - Institute of Insurance Science
Downloads 24 (587,308)

Abstract:

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collective investment problems, stochastic volatility, portfolio insurance, sharing rules

4.

Indifference Pricing Under Sahara Utility

Journal of Computational and Applied Mathematics
Number of pages: 26 Posted: 25 Jan 2021
An Chen, Thai Nguyen and Nils Sørensen
University of Ulm, University of Ulm - Institute of Insurance Science and University of Ulm
Downloads 16 (641,287)

Abstract:

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SAHARA Utility, Indifference Pricing, Utility Maximization, Finite Difference Scheme, Incomplete Markets