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2017 | OriginalPaper | Buchkapitel

6. Asset-Liability Management in Continuous-Time: Cointegration and Exponential Utility

verfasst von : Mei Choi Chiu

Erschienen in: Optimization and Control for Systems in the Big-Data Era

Verlag: Springer International Publishing

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Abstract

Using the technique of dynamic portfolio optimization, Chiu and Li (Insur. Math. Econ. 39:330–355, 2006) pioneered the optimal asset-liability management (ALM) framework for investors and insurers in a continuous-time economy. Their approach has been generalized to different objective functions under different stochastic models for the assets and the liabilities. This paper briefly summarizes recent advances along this research direction based on the author’s personal interest and the required quantitative tools from stochastic optimal control theory. A new ALM solution is then derived for constant absolute risk averse insurers subject to cointegrated assets and compound Poisson-type insurance liabilities.

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Titel: Asset-Liability Management in Continuous-Time: Cointegration and Exponential Utility
verfasst von: Mei Choi Chiu
Verlag: Springer International Publishing
Buch: Optimization and Control for Systems in the Big-Data Era
Print ISBN: 978-3-319-53516-6

Electronic ISBN: 978-3-319-53518-0

Copyright-Jahr: 2017
DOI: https://doi.org/10.1007/978-3-319-53518-0_6

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