The UvA-LINKER will give you a range of other options to find the full text of a publication (including a direct link to the full-text if it is located on another database on the internet).
De UvA-LINKER biedt mogelijkheden om een publicatie elders te vinden (inclusief een directe link naar de publicatie online als deze beschikbaar is in een database op het internet).


Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2006"

AuteursA.A.J. Pelsser, R.J.A. Laeven
TitelOptimal dividends and ALM under unhedgeable risk
UitgeverFaculteit Economie en Bedrijfskunde
SerietitelWorking Paper
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam Business School Research Institute (ABS-RI)
SamenvattingIn this paper we develop a framework for optimal investment decisions for insurance companies under unhedgeable risk. The perspective that we choose is from an insurance company that tries to maximise the stream of dividends paid to its shareholders. The policy instruments that the company has are the dividend policy and the investment policy. The insurance company can continue to pay dividends until bankruptcy, and hence the time of bankruptcy is also endogenously controlled by the dividend and investment policies. Using stochastic control theory, we derive simultaneously the optimal investment policy and the optimal dividend policy, taking the insurance risks to be given.
Soort documentRapport
Document finderUvA-Linker