Mean-variance asset liability management with state-dependent risk aversion
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170014454 | ||
| 003 | MAP | ||
| 005 | 20170517163300.0 | ||
| 008 | 170511e20170301esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 245 | 0 | 0 | $aMean-variance asset liability management with state-dependent risk aversion$cYan Zhang... [et al.] |
| 520 | $aThis 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. | ||
| 650 | 4 | $0MAPA20080588953$aAnálisis de riesgos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g01/03/2017 Tomo 21 Número 1 - 2017 , p. 87-106 |