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Browsing Research Articles (University of Pretoria) by Subject "Quadratic-exponential BSDE"
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(Taylor and Francis, 2022)We derive a representation for dynamic capital allocation when the underlying asset price process includes extreme random price movements. Moreover, we consider the representation of dynamic risk measures defined under ...
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Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach (Taylor and Francis, 2018)We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero-coupon bond, the ...
Now showing items 1-2 of 2