Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities

Sascha Desmettre; Markus Wahl; Rudi Zagst

doi:10.1007/s13385-021-00292-z

Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities

Sascha Desmettre
, Markus Wahl
, Rudi Zagst

Institute of Financial Mathematics and Applied Number Theory

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	607-645
Number of pages	39
Journal	European Actuarial Journal
Volume	12
Issue number	2
DOIs	https://doi.org/10.1007/s13385-021-00292-z
Publication status	Published - Dec 2022

Fields of science

101 Mathematics
101007 Financial mathematics
101019 Stochastics
101025 Number theory

JKU Focus areas

Digital Transformation
Transformation in Finance and Financial Institutions

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10.1007/s13385-021-00292-z

Cite this

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title = "Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities",

author = "Sascha Desmettre and Markus Wahl and Rudi Zagst",

year = "2022",

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language = "English",

volume = "12",

pages = "607--645",

journal = "European Actuarial Journal",

issn = "2190-9741",

number = "2",

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T1 - Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities

AU - Desmettre, Sascha

AU - Wahl, Markus

AU - Zagst, Rudi

PY - 2022/12

Y1 - 2022/12

UR - https://www.scopus.com/pages/publications/85113794024

U2 - 10.1007/s13385-021-00292-z

DO - 10.1007/s13385-021-00292-z

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SP - 607

EP - 645

JO - European Actuarial Journal

JF - European Actuarial Journal

IS - 2

ER -

Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities

Fields of science

JKU Focus areas

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