A framework for treating model uncertainty in the asset liability management problem

DOI10.3934/JIMO.2023021zbMATH Open1524.62515OpenAlexW4322747605MaRDI QIDQ6102863FDOQ6102863

Authors: Georgios I. Papayiannis 

Publication date: 23 June 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2023021

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zbMATH Keywords

model uncertaintyWasserstein barycentermultiple priorsasset liability managementrobust decision making

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Title not available (Why is that?)
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Cited In (2)

• Optimal investment in a general stochastic factor framework under model uncertainty
• An asset liability management model for casualty insurers: Complexity reduction vs. parameterized decision rules

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