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

DOI10.1016/j.insmatheco.2023.09.001OpenAlexW4386645298MaRDI QIDQ6152696

Ning Wang, Yumo Zhang

Publication date: 13 February 2024

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.09.001

zbMATH Keywords

asset-liability managementbackward stochastic differential equationmodel ambiguitymispricingstochastic factor

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

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