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- W2085348839 abstract "This paper analyzes trading and payment strategies for participating policies in a continuous-time economy by utilizing the martingale method for problems of optimal portfolio selection. We assume that an insurance company invests the premiums collected from policyholders by choosing a portfolio with minimum equity risk among all portfolios characterized by the same expected return of the equity, and a portfolio with maximum expected return among those with the same risk. Based on these assumptions, we derive an efficient frontier of the equity return of the company as well as trading strategies to realize efficient portfolios." @default.
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- W2085348839 date "2004-12-01" @default.
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- W2085348839 title "An efficient frontier for participating policies in a continuous-time economy" @default.
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- W2085348839 doi "https://doi.org/10.1016/j.insmatheco.2004.08.005" @default.
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