| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20150002440 |
| 003 | | | MAP |
| 005 | | | 20150122171256.0 |
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| 040 | | | $aMAP$bspa$dMAP |
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| 100 | 1 | | $0MAPA20130000848$aChoi Chiu, Mei |
| 245 | 1 | 0 | $aMean-variance asset-liability management with asset correlation risk and insurance liabilities$cMei Choi Chiu, Hoi Ying Wong |
| 520 | | | $aConsider an insurer who invests in the financial market where correlations among risky asset returns are randomly changing over time. The insurer who faces the risk of paying stochastic insurance claims needs to manage her asset and liability by taking into account of the correlation risk. This paper investigates the impact of correlation risk to the optimal assetliability management (ALM) of an insurer. We employ the Wishart process to model the stochastic covariance matrix of risky asset returns. The insurer aims to minimize the variance of the terminal wealth given an expected terminal wealth subject to the risk of paying out random liabilities of compound Poisson process. This ALM problem then becomes a linearquadratic stochastic optimal control problem with stochastic volatilities, stochastic correlations and jumps. The recognition of an affine form in the solution process enables us to derive the explicit closed-form solution to the optimal ALM portfolio policy, obtain the efficient frontier, and identify the condition that the solution is well behaved. |
| 773 | 0 | | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g03/11/2014 Volumen 59 Número 1 - noviembre 2014 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
