Optimal dividends and ALM under unhedgeable risk

DOI10.1016/J.INSMATHECO.2013.07.007zbMath1290.91097OpenAlexW2133048386MaRDI QIDQ2015618

Roger J. A. Laeven, Antoon Pelsser

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/optimal-dividends-and-alm-under-unhedgeable-risk(fcd8fb09-f5c8-489a-9f57-b56ac2e0068d).html

zbMATH Keywords

HJB equationstochastic control theoryoptimal dividendsunhedgeable riskALM

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Risk Aversion in the Small and in the Large
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