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

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<title>Mean-variance asset liability management with state-dependent risk aversion</title>
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<dateIssued encoding="marc">2017</dateIssued>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Yan Zhang... [et al.]</note>
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<topic>Análisis de riesgos</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Matemática del seguro</topic>
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<titleInfo>
<title>North American actuarial journal</title>
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<originInfo>
<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>01/03/2017 Tomo 21 Número 1 - 2017 , p. 87-106</text>
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