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The paper, by providing example of an efficient liability assignment rule under which liabilities of interacting …
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The paper provides example of an efficient liability assignment rule under which liabilities of interacting parties for …
Persistent link: https://www.econbiz.de/10012845507
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 …
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firms. Such points represent a promise for future service, and their monetary value thus counts as a liability on the … tools, without studying the liability angle.Methodology. We develop a multi-period model and use dynamic programming …
Persistent link: https://www.econbiz.de/10011870182
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and therefore readily solved. For this optimal control...
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