Mean–variance asset–liability management: Cointegrated assets and insurance liability

► Consider the mean–variance ALM for an insurer investing in cointegrated assets. ► The insurer has random insurance claims during the investment period. ► The problem is solved by generalizing the approach in Lim (2005). ► The optimal control is obtained in explicit and closed-form formulas. ► Nume...

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Veröffentlicht in:	European journal of operational research Jg. 223; H. 3; S. 785 - 793
Hauptverfasser:	Chiu, Mei Choi, Wong, Hoi Ying
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Amsterdam Elsevier B.V 16.12.2012 Elsevier Elsevier Sequoia S.A
Schlagworte:	Applied sciences Asset liability management Cointegration Exact sciences and technology Exact solutions Firm modelling Inference from stochastic processes; time series analysis Insurance Insurance companies Liability Management Markets Mathematical models Mathematics Mean–variance portfolio theory Operational research and scientific management Operational research. Management science Optimization algorithms Policies Portfolio management Portfolio theory Probability and statistics Sciences and techniques of general use Statistics Studies Terminals Asset–liability management Cointegration Mean–variance portfolio theory Asset and liability Management Asset-liability management Empirical method Time series Mean-variance portfolio theory Financial management Continuous time Financial market Modeling Poisson process Marketing Exact solution Brownian motion Protest Uncertain system Insurance Incomplete market Error correction Portfolio management Investment
ISSN:	0377-2217, 1872-6860
Online-Zugang:	Volltext
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