Mean-variance asset-liability management with asset correlation risk and insurance liabilities

DOI10.1016/J.INSMATHECO.2014.10.003zbMath1306.91122OpenAlexW1977954009WikidataQ58980940 ScholiaQ58980940MaRDI QIDQ2514629

Hoi Ying Wong, Mei Choi Chiu

Publication date: 3 February 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.10.003

zbMATH Keywords

asset-liability managementcorrelation riskWishart processBSDEmean-variance criteria

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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