Spectral decomposition of optimal asset-liability management

DOI10.1016/J.JEDC.2008.09.002zbMATH Open1170.91376OpenAlexW2155200271MaRDI QIDQ2271663FDOQ2271663

Marc Decamps, Ann De Schepper, Marc J. Goovaerts

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.09.002

zbMATH Keywords

free boundary problemlocal timespectral theoryasset-liability managementHJB principle

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Controlled diffusion models for optimal dividend pay-out
• Applications of eigenfunction expansions in continuous-time finance
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Spectral Expansions for Asian (Average Price) Options
• Portfolio Selection with Transaction Costs
• Optimal Dividends
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Optimal risk and dividend distribution control models for an insurance company
• The heat equation and reflected Brownian motion in time-dependent domains.
• Lookback options and diffusion hitting times: a spectral expansion approach
• Strategic asset allocation with liabilities: beyond stocks and bonds
• Instantaneous Control of Brownian Motion
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• Intertemporal surplus management

Cited In (3)

• On the surplus management of funds with assets and liabilities in presence of solvency requirements
• Singular stochastic control model for algae growth management in dam downstream
• ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS

This page was built for publication: Spectral decomposition of optimal asset-liability management

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2271663)