Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
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Publication:4959771
DOI10.1080/03461238.2019.1658619zbMath1436.91104OpenAlexW2970339371WikidataQ127306249 ScholiaQ127306249MaRDI QIDQ4959771
Xin Zhang, Zhongyang Sun, Kam-Chuen Yuen
Publication date: 7 April 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2019.1658619
asset-liability managementbackward stochastic differential equationaffine diffusionmean-variance criterionefficient strategy and efficient frontier
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Actuarial mathematics (91G05)
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