104 citations · 216 across the 12 of their papers we have counts for
Showing 1999 · math.OCShow all
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math.OC1999★ 1 cited
Equity Allocation and Portfolio Selection in Insurance
Erik Taflin
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with…
math.OC1999★ 3 cited
Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
Erik Taflin
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the a…