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Mean-variance asset liability management with state-dependent risk aversion

Recurso electrónico / Electronic resource
Section: Articles
Title: Mean-variance asset liability management with state-dependent risk aversion / Yan Zhang... [et al.]
Notes: Sumario: This article investigates the asset liability management problem with state-dependent risk aversion under the mean-variance criterion.
The investor allocates the wealth among multiple assets including a risk-free asset and multiple risky assets governed by a system
of geometric Brownian motion stochastic differential equations, and the investor faces the risk of paying uncontrollable random liabilities.
The state-dependent risk aversion is taken into account in our model, linking the risk aversion to the current wealth held by the
investor. An extended Hamilton-Jacobi-Bellman system is established for the optimization of asset liability management, and by solving
the extended Hamilton-Jacobi-Bellman system, the analytical closed-form expressions for the time-inconsistent optimal investment
strategies and the optimal value function are derived. Finally, numerical examples are presented to illustrate our results.
Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/03/2017 Tomo 21 Número 1 - 2017 , p. 87-106Materia / lugar / evento: Análisis de riesgos Cálculo actuarial Matemática del seguro Other categories: 6
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