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

PDEstochastic controlutility theoryinsurancestochastic dynamic programmingoptimal control problems involving partial differential equations

Mathematics Subject Classification ID

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

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Cites work

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

(7)

• Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
• Capital and asset allocation
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• Optimal asset allocation for a general portfolio of life insurance policies
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• Strategic asset allocation with liabilities: beyond stocks and bonds

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