Article, 2023

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics

INSURANCE MATHEMATICS & ECONOMICS, ISSN 0167-6687, Volume 113, Pages 251-273, 10.1016/j.insmatheco.2023.09.001

Contributors

Wang, Ning 0000-0002-7667-2423 [1] Zhang, Yumo 0000-0003-0915-5116 (Corresponding author) [2]

Affiliations

  1. [1] Macquarie Univ, Macquarie Business Sch, Dept Actuarial Studies & Business Analyt, Sydney, NSW 2109, Australia
    2. [NORA names: Australia; Oceania; OECD];
  2. [2] Univ Copenhagen, Dept Math Sci, Univ Pk 5, Copenhagen 2100, Denmark
    3. [NORA names: KU University of Copenhagen; University; Denmark; Europe, EU; Nordic; OECD]

Abstract

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Keywords

Asset-liability management, Backward stochastic differential equation, Mispricing, Model ambiguity, Stochastic factor

Data Provider: Clarivate

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