Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Zhongyang Sun, Xin Zhang and Kam Chuen Yuen
| Year of publication: |
2020
|
|---|---|
| Authors: | Sun, Zhongyang ; Zhang, Xin ; Yuen, Kam Chuen |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2020.2020, 3, p. 218-244
|
| Subject: | affine diffusion | Asset-liability management | backward stochastic differential equation | efficient strategy and efficient frontier | mean-variance criterion | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1658619 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012195046