A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES

DOI10.1142/S0219024903001906zbMath1079.91538OpenAlexW2161258757MaRDI QIDQ5696854

Simone Sbaraglia, Marco Papi, Maya Briani, Massimo Bernaschi, Fausto Gozzi

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024903001906

zbMATH Keywords

asset-liability managementportfolio optimizationtransaction costs

Mathematics Subject Classification ID

Related Items (3)

Pension funds with a minimum guarantee: a stochastic control approach ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ Optimal asset--liability management with constraints: A dynamic programming approach

Cites Work

• Unnamed Item
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets

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