Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629)
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scientific article; zbMATH DE number 6395380
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Mean-variance asset-liability management with asset correlation risk and insurance liabilities |
scientific article; zbMATH DE number 6395380 |
Statements
Mean-variance asset-liability management with asset correlation risk and insurance liabilities (English)
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3 February 2015
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asset-liability management
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correlation risk
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Wishart process
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BSDE
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mean-variance criteria
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0.8268309831619263
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0.789084792137146
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0.7848747372627258
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0.7811719179153442
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0.7691491842269897
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