Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Year of publication: |
2020
|
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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 | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Bilanzstrukturmanagement |
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