Asset-Liability Management in Continuous-Time: Cointegration and Exponential Utility

Mei Choi Chiu ()
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Mei Choi Chiu: The Education University of Hong Kong

Chapter Chapter 6 in Optimization and Control for Systems in the Big-Data Era, 2017, pp 85-100 from Springer

Abstract: Abstract Using the technique of dynamic portfolio optimization, Chiu and Li (Insur. Math. Econ. 39:330–355, 2006) pioneered the optimal asset-liability management (ALM) framework for investors and insurers in a continuous-time economy. Their approach has been generalized to different objective functions under different stochastic models for the assets and the liabilities. This paper briefly summarizes recent advances along this research direction based on the author’s personal interest and the required quantitative tools from stochastic optimal control theory. A new ALM solution is then derived for constant absolute risk averse insurers subject to cointegrated assets and compound Poisson-type insurance liabilities.

Keywords: Asset-liability management; Cointegration; Utility theory (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-53518-0_6

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DOI: 10.1007/978-3-319-53518-0_6

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