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q-fin.PM2018
ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach
Rafael Serrano, Camilo Castillo
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment i…
q-fin.PM2014
Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
Mauricio Junca, Rafael Serrano
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consi…
q-fin.PM2014
Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
Oscar Lopez, Rafael Serrano
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching)…