The paper, by providing example of an efficient liability assignment rule under which liabilities of interacting …

The paper provides example of an efficient liability assignment rule under which liabilities of interacting parties for …

The increasing importance of liability-driven investment strategies and the shift towards retirement products with … optimization setting, we obtain closed-form solutions for the optimal investment strategy for various specific liability models …-hedge-able risk components, different ways of modeling the liabilities and the relative risk aversion parameter. We find that …