scientific article; zbMATH DE number 1336609

DOI10.1002/(SICI)1099-0747(199812)14:4%3C295::AID-ASM359%3E3.0.CO;2-9MaRDI QIDQ4258746zbMATH OpenFDO

Authors Griselda Deelstra, Jacques Janssen

Publication date 14 September 1999

Full work available at URL https://doi.org/10.1002/(SICI)1099-0747(199812)14:4%3C295::AID-ASM359%3E3.0.CO;2-9

zbMATH Keywords

option theoryOrnstein-Uhlenbeck processprobability of mismatchingstochastic differential equation

Mathematics Subject Classification ID

Recommendations

• Stochastic modeling of assets and liabilities with mortality risk
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
• Asset liability management with stochastic interest rates and inflation risks based on mean-variance criteria
• scientific article; zbMATH DE number 2054510
• A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES

Cited in

(1)

• Linking strategic and tactical planning systems for asset and liability management

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4258746)