17 citations · 29 across the 11 of their papers we have counts for
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q-fin.MF2021★ 2 cited
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Marcos Escobar-Anel, Yevhen Havrylenko, Michel Kschonnek +1
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shi…
q-fin.PM2021
Closed-form portfolio optimization under GARCH models
Marcos Escobar-Anel, Maximilian Gollart, Rudi Zagst
This paper develops the first closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant r…