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Asset-Liability Management

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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.

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  • 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.

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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, 2020
    Co-Authors: Xingchun Peng, Fenge Chen

    Abstract:

    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, 2020
    Co-Authors: Xingchun Peng, Fenge Chen

    Abstract:

    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, 2020
    Co-Authors: Xingchun Peng, Fenge Chen

    Abstract:

    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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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.

    Free Register to Access Article

  • 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.

    Free Register to Access Article