Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market

DOI10.1007/s10690-014-9187-6zbMath1368.91167OpenAlexW2086346897MaRDI QIDQ2398579

Jun Yu

Publication date: 16 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9187-6

zbMATH Keywords

linear-quadratic controlMarkov regime-switchingjump-diffusion processasset-liability

Mathematics Subject Classification ID

Related Items (9)

Variance swap pricing under Markov-modulated jump-diffusion model ⋮ Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ Mean-Variance Asset Liability Management with State-Dependent Risk Aversion ⋮ Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion ⋮ The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market ⋮ Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

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