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K. Sari

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Open access Sep 2026

Insurance Portfolio Valuation under Market Jumps: A Framework Combining Kou Jump-Diffusion Forecasting and Dynamic CPPI Hedging

This study develops an integrated valuation framework for insurance portfolios under discontinuous market conditions. The framework combines asset-price forecasting based on the Kou jump-diffusion model with Dynamic Constant Proportion Portfolio Insurance (D-CPPI) to support portfolio protection and capital guarantee m...

Andi Fitriawati, S. Indratno, K. Sari et al. · 0 citations

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