Minimum probability function of crossing the upper regulatory threshold for asset-liability management

DOI10.1080/03610926.2020.1734824OpenAlexW3009774677MaRDI QIDQ5079153FDOQ5079153

Authors: Danping Li, Peilong Shen, Delei Sheng 

Publication date: 25 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1734824

zbMATH Keywords

asset-liability multipleminimum probability functionupper regulatory threshold

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal pension management in a stochastic framework.
• Optimal non-proportional reinsurance control
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Asset and liability management under a continuous-time mean-variance optimization framework
• Dynamic asset liability management with tolerance for limited shortfalls
• Stochastic control problems where small intervention costs have big effects
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities
• Minimizing the probability of ruin: optimal per-loss reinsurance
• Mean-variance asset-liability management under constant elasticity of variance process
• Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
• Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee

This page was built for publication: Minimum probability function of crossing the upper regulatory threshold for asset-liability management

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5079153)