Asset and liability management with no-shorting constraints of an insurance company

MaRDI QIDQ4902078zbMATH OpenFDO

Authors Limin Liu, Qingxian Xiao

Publication date 24 January 2013

zbMATH Keywords

asset and liability managementdynamic programmingefficient frontiermean-variance portfolio selectionshort-selling prohibitionviscosity super-solution

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39) Portfolio theory (91G10)

Recommendations

• Dynamic mean-variance portfolio selection with liability and no-shorting constraints
• Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
• Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
• A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

Cited in

(6)

• Computation of feasible portfolio control strategies for an insurance company using a discrete time asset/liability model
• Dynamic mean-variance portfolio selection with liability and no-shorting constraints
• Strategic asset allocation for life insurers with stochastic liability
• A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES
• An asset liability management model for casualty insurers: Complexity reduction vs. parameterized decision rules
• The impact of illiquidity on the asset management of insurance companies

This page was built for publication: Asset and liability management with no-shorting constraints of an insurance company

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4902078)