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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, 2020
    Co-Authors: Guangchen Wang, Tianxiao Wang
    Abstract:

    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, 2020
    Co-Authors: Guangchen Wang, Tianxiao Wang
    Abstract:

    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.

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, 2020
    Co-Authors: Guangchen Wang, Tianxiao Wang
    Abstract:

    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, 2020
    Co-Authors: Guangchen Wang, Tianxiao Wang
    Abstract:

    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.

Stefan Weber - One of the best experts on this subject based on the ideXlab platform.

  • Optimal risk sharing in insurance networks: An application to asset–liability Management
    European Actuarial Journal, 2019
    Co-Authors: Anna-maria Hamm, Thomas Knispel, Stefan Weber
    Abstract:

    We discuss the impact of risk sharing and asset–liability Management on capital requirements. Our analysis contributes to the evaluation of the merits and deficiencies of different risk measures. In particular, we highlight that the class of V@R-based risk measures allows for a substantial reduction of the total capital requirement in corporate networks that share risks between entities. We provide case studies that complement previous theoretical results and demonstrate their practical relevance. For large networks, optimal asset–liability Management is often contrary to those strategies that are desirable from a regulatory point of view.

  • Optimal risk sharing in insurance networks
    European Actuarial Journal, 2019
    Co-Authors: Anna-maria Hamm, Thomas Knispel, Stefan Weber
    Abstract:

    We discuss the impact of risk sharing and asset–liability Management on capital requirements. Our analysis contributes to the evaluation of the merits and deficiencies of different risk measures. In particular, we highlight that the class of V@R-based risk measures allows for a substantial reduction of the total capital requirement in corporate networks that share risks between entities. We provide case studies that complement previous theoretical results and demonstrate their practical relevance. For large networks, optimal asset–liability Management is often contrary to those strategies that are desirable from a regulatory point of view.

Xingchun Peng - One of the best experts on this subject based on the ideXlab platform.