An Optimal Model for Asset Liability Management
نویسنده
چکیده
This 1)aper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating of the liabilities of the insurance company in general. We then tbrnmlate the ALM process into a stochastic control problem. With this approach, we present a Bel|man-Dreyfus Fundamental type formula for ALM process in terms of the solution of a system of algebraic equations and partial differential equations. K e y w o r d s Jump-diffnsion processl optinlal portfolio selection; stochastic control; heat equation; inverse problem.
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