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.
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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.
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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.
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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...
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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...
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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.
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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.
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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.
Stefan Weber - One of the best experts on this subject based on the ideXlab platform.
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Optimal risk sharing in insurance networks: An application to asset–liability Management
European Actuarial Journal, 2019Co-Authors: Anna-maria Hamm, Thomas Knispel, Stefan WeberAbstract: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.
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Optimal risk sharing in insurance networks
European Actuarial Journal, 2019Co-Authors: Anna-maria Hamm, Thomas Knispel, Stefan WeberAbstract: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.
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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...
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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...
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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...