Decamps, Marc; De Schepper, Ann; Goovaerts, Marc - In: Journal of Economic Dynamics and Control 33 (2009) 3, pp. 710-724
This paper concerns optimal asset-liability management when the assets and the liabilities are modeled by means of correlated geometric Brownian motions as suggested in Gerber and Shiu [2003. Geometric Brownian motion models for assets and liabilities: from pension funding to optimal dividends....
