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Optimal investment for insurers with the extended CIR interest rate model
Mei Choi CHIU
, Hoi Ying WONG
Department of Mathematics and Information Technology (MIT)
Research output
:
Contribution to journal
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Articles
›
peer-review
4
Citations (Scopus)
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Keyphrases
Insurer
100%
Optimal Investment
100%
Stochastic Interest Rate
100%
Interest Rate Models
100%
CIR Interest Rate
100%
Insurance Liabilities
50%
Copyright
25%
Management Challenges
25%
Risk Management
25%
Compound Poisson Process
25%
Asset Liability Management
25%
Relative Risk
25%
Risk Averse Utility
25%
Utility Function
25%
Stochastic Optimal Control Problems
25%
Interest Rate Shocks
25%
Uniform Integrability
25%
Verification Theorem
25%
Tight Upper Bound
25%
CIR Model
25%
Jump-diffusion Process
25%
Investment Management
25%
Fundamental Challenges
25%
Low Interest Rate Environment
25%
Poisson Shock
25%
Insurance Companies
25%
Computer Science
Poisson Process
100%
Averse Utility Function
100%
Problem Management
100%
Risk Management
100%
Diffusion Model
100%
Objective Function
100%
Optimal Control Problem
100%
Economics, Econometrics and Finance
Liability Insurance
100%
Levy Process
50%
Wealth
50%
Asset-Liability Management
50%
Utility Function
50%
Risk Management
50%
Insurance Company
50%
Optimal Control
50%
Social Sciences
Interest Rate
100%
Stochastics
83%
Liability Insurance
33%
Wealth
16%
Optimal Control
16%
Risk Management
16%
Investment Management
16%
Insurance
16%
Mathematics
Stochastics
100%
Upper Bound
20%
Utility Function
20%
Optimal Control Problem
20%
Compound Poisson Process
20%
Uniform Integrability
20%
Diffusion Model
20%
Closed Form Solution
20%
Relative Risk
20%
Objective Function
20%