Strategic asset allocation for life insurers with stochastic liability

zbMATH Open1438.91103MaRDI QIDQ5230874FDOQ5230874

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

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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)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
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• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• The effect of correlation and transaction costs on the pricing of basket options
• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
• On an investment-consumption model with transaction costs: an asymptotic analysis
• Towards the determination of utility preference from optimal portfolio selections
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
• Perturbation solution of optimal portfolio theory with transaction costs for any utility function

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 IN LIFE INSURANCE: THE IMPACT OF REGULATION
• Optimal asset allocation for a general portfolio of life insurance policies
• Strategic asset allocation with liabilities: beyond stocks and bonds

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