Projects funded by the NCN
Insurer's solvency, portfolio immunization and incomplete markets
2014/13/B/HS4/03222
Keywords:
portfolio immunization term structure of interest rates Vasicek's model Merton's model monotonic integral operator generated by a risk-switching process long-term measures of insolvency risk ruin probability expected deficit at ruin expected harm of the deficit at ruin Markov chains fixed point theory
Descriptors:
- HS4_6: Financial markets, international finance, public finance
- HS4_12: Living conditions and standards, income distribution, poverty
- HS4_8: Behavioral economics, consumption and consumer behavior, marketing
Panel:
HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution :
Politechnika Łódzka, Wydział Fizyki Technicznej, Informatyki i Matematyki Stosowanej
woj. łódzkie
Principal investigator (from the host institution):
Number of co-investigators in the project: 3
Call: OPUS 7 - announced on 2014-03-17
Amount awarded: 229 700 PLN
Project start date (Y-m-d): 2015-02-11
Project end date (Y-m-d): 2017-02-10
Project duration:: 24 months (the same as in the proposal)
Project status: Project settled