Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
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- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
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Cited in
(13)- Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
- A framework for treating model uncertainty in the asset liability management problem
- Optimal investment in a general stochastic factor framework under model uncertainty
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility
- Liability assessment of life insurance companies in regime switching market
- Robust two-player differential investment game of defined contribution pension plans under multiple risks
- Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models
- Global robust optimal investment strategy under the influence of liability
- Robust Nash equilibrium for asset-liability management games under money illusion and mean-reverting return
- Robust optimal investment and reinsurance strategy with exchange rate risk and model uncertainty
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