Dynamic surplus optimization with performance- and index-linked liabilities

DOI10.1007/s13385-021-00292-zzbMath1505.91325OpenAlexW3195615882MaRDI QIDQ2677935

Markus Wahl, Rudi Zagst, Sascha Desmettre

Publication date: 9 January 2023

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-021-00292-z

zbMATH Keywords

asset-liability managementrandom utilitymartingale methodperformance participationstochastic liabilitiessurplus optimization

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10) Actuarial mathematics (91G05)

Cites Work

• Intertemporal surplus management
• Theory of constant proportion portfolio insurance
• Optimal asset allocation with fixed-term securities
• Optimal investment strategies for participating contracts
• Optimal investment with random endowments in incomplete markets.
• Optimal investment with deferred capital gains taxes
• Integrated portfolio management with options
• Optimal investment decisions with a liability: the case of defined benefit pension plans
• Dynamic asset liability management with tolerance for limited shortfalls
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Optimal portfolios with a positive lower bound on final wealth

This page was built for publication: Dynamic surplus optimization with performance- and index-linked liabilities