17 citations · 29 across the 11 of their papers we have counts for
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q-fin.PM2022
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To…
q-fin.RM2022★ 5 cited
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
Yevhen Havrylenko, Maria Hinken, Rudi Zagst
We study the optimal investment-reinsurance problem in the context of equity-linked insurance products. Such products often have a capital guarantee, which can motivate insurers to…