Wei, J.; Wong, K.C.; Yam, S.C.P.; Yung, S.P. - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 281-291
In this article, we provide the first study in the time consistent solution of the mean–variance asset–liability management (MVALM). The framework is even considered under a continuous time Markov regime-switching setting. Using the extended Hamilton–Jacobi–Bellman equation (HJB) (see...
