Strategic asset allocation for life insurers with stochastic liability

MaRDI QIDQ5230874zbMATH OpenFDO

Authors Sutee Mokkhavesa, Pongsathorn Ingpochai, C. Atkinson

Publication date 29 August 2019

Full work available at URL https://www.ejpam.com/index.php/ejpam/article/view/3478

zbMATH Keywords

insuranceoptimal control problems involving partial differential equationsPDEstochastic controlstochastic dynamic programmingutility theory

Mathematics Subject Classification ID

PDEs in connection with control and optimization (35Q93) Dynamic programming in optimal control and differential games (49L20) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

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Cites work

• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• On an investment-consumption model with transaction costs: an asymptotic analysis
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• Perturbation solution of optimal portfolio theory with transaction costs for any utility function
• Portfolio management with transaction costs
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• The effect of correlation and transaction costs on the pricing of basket options
• Towards the determination of utility preference from optimal portfolio selections

Cited in

(8)

• Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
• Capital and asset allocation
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• scientific article; zbMATH DE number 802753 (Why is no real title available?)
• Optimal asset allocation for a general portfolio of life insurance policies
• Strategic asset allocation with liabilities: beyond stocks and bonds
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies

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