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Ragnar Norberg 《Finance and Stochastics》2005,9(4):519-537
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Pricing options on realized variance 总被引:1,自引:0,他引:1
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Yoshifumi Muroi 《Finance and Stochastics》2005,9(3):415-427
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Conditional and dynamic convex risk measures 总被引:1,自引:0,他引:1
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This study designs an optimal insurance policy form endogenously, assuming the objective of the insured is to maximize expected
final wealth under the Value-at-Risk (VaR) constraint. The optimal insurance policy can be replicated using three options,
including a long call option with a small strike price, a short call option with a large strike price, and a short cash-or-nothing
call option. Additionally, this study also calculates the optimal insurance levels for these models when we restrict the indemnity
to be one of three common forms: a deductible policy, an upper-limit policy, or a policy with proportional coinsurance.
JEL Classification No: G22 相似文献