104 citations · 216 across the 12 of their papers we have counts for
Showing 1999Show all
3 papers · 1 filter
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…
cond-mat.stat-mech1999★ 6 cited
Scaling transformation and probability distributions for financial time series
Marc-Etienne Brachet, Erik Taflin, Jean Marcel Tcheou
The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scal…