7 papers
On the sensitivity analysis of energy quanto options
Rodwell Kufakunesu, Farai Mhlanga
In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a pro…
Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
Calisto Guambe, Rodwell Kufakunesu, Gusti Van Zyl +1
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochast…
Optimal investment-consumption and life insurance with capital constraints
Rodwell Kufakunesu, Calisto Guambe
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete mark…
A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
Lesedi Mabitsela, Calisto Guambe, Rodwell Kufakunesu
In this paper, we provide a representation theorem for dynamic capital allocation under It{ô}-L{é}vy model. We consider the representation of dynamic risk measures defined under Ba…
On the optimal investment-consumption and life insurance selection problem with an external stochastic factor
Rodwell Kufakunesu, Calisto Guambe
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we a…
Risk-based optimal portfolio of an insurer with regime switching and noisy memory
Rodwell Kufakunesu, Calisto Guambe, Lesedi Mabitsela
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling,…