Spectral decomposition of optimal asset-liability management

DOI10.1016/J.JEDC.2008.09.002MaRDI QIDQ2271663zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
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• Optimal Dividends
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Optimal risk and dividend distribution control models for an insurance company
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Portfolio Selection with Transaction Costs
• Spectral Expansions for Asian (Average Price) Options
• Strategic asset allocation with liabilities: beyond stocks and bonds
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• The heat equation and reflected Brownian motion in time-dependent domains.

Cited in

(4)

• Optimal asset--liability management with constraints: A dynamic programming approach
• 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

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