Scan Science and Technology
Contact Leading Edge Experts & Companies
Asset-Liability Management
The Experts below are selected from a list of 111798 Experts worldwide ranked by ideXlab platform
Tianxiao Wang – One of the best experts on this subject based on the ideXlab platform.
-
time inconsistent asset liability Management with partial information
Systems & Control Letters, 2020Co-Authors: Guangchen Wang, Tianxiao WangAbstract:Abstract In this paper, we study a time inconsistent asset–liability Management problem of an insurance firm, where the liability is controllable, the surplus is partially observable. We introduce the open-loop equilibrium premium operator (OLEPO), by which the open-loop equilibrium premium strategy (OLEPS) can be represented. We give the characterization and explicit forms of OLEPO, and also obtain the existence and uniqueness of OLEPS, which is a feedback form of surplus filtering estimate.
-
Time inconsistent asset–liability Management with partial information
Systems & Control Letters, 2020Co-Authors: Guangchen Wang, Tianxiao WangAbstract:Abstract In this paper, we study a time inconsistent asset–liability Management problem of an insurance firm, where the liability is controllable, the surplus is partially observable. We introduce the open-loop equilibrium premium operator (OLEPO), by which the open-loop equilibrium premium strategy (OLEPS) can be represented. We give the characterization and explicit forms of OLEPO, and also obtain the existence and uniqueness of OLEPS, which is a feedback form of surplus filtering estimate.
Fenge Chen – One of the best experts on this subject based on the ideXlab platform.
-
mean variance asset liability Management with inside information
Communications in Statistics-theory and Methods, 2020Co-Authors: Xingchun Peng, Fenge ChenAbstract:This paper studies an Asset-Liability Management (ALM) problem under mean-variance criterion with inside information. The Asset-Liability manager is allowed to invest in a financial market composed…
-
mean variance asset liability Management with partial information and uncertain time horizon
Optimization, 2020Co-Authors: Xingchun Peng, Fenge ChenAbstract:This paper studies a mean-variance asset–liability Management (ALM) problem with uncertain time horizon and partial information. The ALM can invest in an incomplete financial market consisting of o…
-
Mean-variance asset–liability Management with partial information and uncertain time horizon
Optimization, 2020Co-Authors: Xingchun Peng, Fenge ChenAbstract:This paper studies a mean-variance asset–liability Management (ALM) problem with uncertain time horizon and partial information. The ALM can invest in an incomplete financial market consisting of o…
Guangchen Wang – One of the best experts on this subject based on the ideXlab platform.
-
time inconsistent asset liability Management with partial information
Systems & Control Letters, 2020Co-Authors: Guangchen Wang, Tianxiao WangAbstract:Abstract In this paper, we study a time inconsistent asset–liability Management problem of an insurance firm, where the liability is controllable, the surplus is partially observable. We introduce the open-loop equilibrium premium operator (OLEPO), by which the open-loop equilibrium premium strategy (OLEPS) can be represented. We give the characterization and explicit forms of OLEPO, and also obtain the existence and uniqueness of OLEPS, which is a feedback form of surplus filtering estimate.
-
Time inconsistent asset–liability Management with partial information
Systems & Control Letters, 2020Co-Authors: Guangchen Wang, Tianxiao WangAbstract:Abstract In this paper, we study a time inconsistent asset–liability Management problem of an insurance firm, where the liability is controllable, the surplus is partially observable. We introduce the open-loop equilibrium premium operator (OLEPO), by which the open-loop equilibrium premium strategy (OLEPS) can be represented. We give the characterization and explicit forms of OLEPO, and also obtain the existence and uniqueness of OLEPS, which is a feedback form of surplus filtering estimate.