Strategic asset allocation for insurers under Solvency II
© 2018, Springer Nature Limited. An important question in asset management is how solvency requirements impact the investment strategies of institutional investors. In this paper, we derive the optimal asset allocation of an insurer that minimizes its capital requirement for market risk determined w...
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| Format: | Article |
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2019
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| Online Access: | https://repository.li.mahidol.ac.th/handle/123456789/45346 |
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| Institution: | Mahidol University |