Article, 2024

Robust asset-liability management games for n players under multivariate stochastic covariance models

INSURANCE MATHEMATICS & ECONOMICS, ISSN 0167-6687, Volume 117, Pages 67-98, 10.1016/j.insmatheco.2024.04.001

Contributors

Wang, Ning [1] Zhang, Yumo (Corresponding author) [2]

Affiliations

  1. [1] Australian Natl Univ, Res Sch Finance Actuarial Studies & Stat, CBE Bldg 26C,Kingsley St, Canberra, ACT 2601, Australia
    2. [NORA names: Australia; Oceania; OECD];
  2. [2] Nordea Bank Danmark AS, Model Risk & Validat Unit, Gronjordsvej 10, DK-2300 Copenhagen, Denmark
    3. [NORA names: Other Companies; Private Research; Denmark; Europe, EU; Nordic; OECD]

Abstract

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Keywords

Asset-liability management, Backward stochastic differential equation, Model ambiguity, Nash equilibrium, Stochastic covariance model

Data Provider: Clarivate

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