Portfolio size as function of the premium: modelling and optimization

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Portfolio size as function of the premium : modelling and optimization. / Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael.

I: Stochastics, Bind 85, Nr. 4, 19.06.2013, s. 575-588.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

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@article{4dc784ba87904042a944cdd88318b172,
title = "Portfolio size as function of the premium: modelling and optimization",
keywords = "adverse selection, certainty equivalent, Cram{\'e}r-Lundberg model, diffusion approximation, inverse Gamma distribution, Lambert W function",
author = "S{\o}ren Asmussen and Christensen, {Bent Jesper} and Michael Taksar",
year = "2013",
month = "6",
day = "19",
doi = "10.1080/17442508.2013.797426",
language = "English",
volume = "85",
pages = "575--588",
journal = "Stochastics: An International Journal of Probability and Stochastic Processes",
issn = "1744-2508",
publisher = "Taylor & francis",
number = "4",

}

RIS

TY - JOUR

T1 - Portfolio size as function of the premium

T2 - modelling and optimization

AU - Asmussen, Søren

AU - Christensen, Bent Jesper

AU - Taksar, Michael

PY - 2013/6/19

Y1 - 2013/6/19

KW - adverse selection

KW - certainty equivalent

KW - Cramér-Lundberg model

KW - diffusion approximation

KW - inverse Gamma distribution

KW - Lambert W function

UR - http://www.scopus.com/inward/record.url?scp=84883489081&partnerID=8YFLogxK

U2 - 10.1080/17442508.2013.797426

DO - 10.1080/17442508.2013.797426

M3 - Journal article

VL - 85

SP - 575

EP - 588

JO - Stochastics: An International Journal of Probability and Stochastic Processes

JF - Stochastics: An International Journal of Probability and Stochastic Processes

SN - 1744-2508

IS - 4

ER -